25 citations · 48 across the 13 of their papers we have counts for
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math.ST2018★ 5 cited
On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case
M. Barkhagen, N. H. Chau, É. Moulines +3
We study the problem of sampling from a probability distribution on $\rset^d$ which has a density \wrt\ the Lebesgue measure known up to a normalization factor $x \mapsto \rme^…
q-fin.MF2018★ 5 cited
On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets
Miklós Rásonyi, Andrea Meireles-Rodrigues
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets…