2 papers
q-fin.PM2026
Exponential utility maximization in small/large financial markets
Miklós Rásonyi, Hasanjan Sayit
Obtaining utility maximizing optimal portfolios in closed form is a challenging issue when the return vector follows a more general distribution than the normal one. In this note,…
math.PR2025
Stochastic Approximation in a Markovian Framework Revisited: Lipschitz Continuity of the Poisson Equation
Algo Carè, Balázs Csanád Csáji, Balázs Gerencsér +2
In this paper we revisit a fundamental technical issue within the theory of stochastic approximation (SA) in a Markovian framework, first proposed in the book by Djereveckii and Fr…