25 citations · 48 across the 13 of their papers we have counts for
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math.PR2016
On fixed gain recursive estimators with discontinuity in the parameters
Huy N. Chau, Chaman Kumar, Miklós Rásonyi +1
In this paper we estimate the tracking error of a fixed gain stochastic approximation scheme. The underlying process is not assumed Markovian, a mixing condition is required instea…
q-fin.MF2016★ 2 cited
Non-concave optimal investment and no-arbitrage: a measure theoretical approach
Romain Blanchard, Laurence Carassus, Miklós Rásonyi
We consider non-concave and non-smooth random utility functions with do- main of definition equal to the non-negative half-line. We use a dynamic pro- gramming framework together w…