25 citations · 48 across the 13 of their papers we have counts for
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q-fin.MF2021
What if we knew what the future brings? Optimal investment for a frontrunner with price impact
Peter Bank, Yan Dolinsky, Miklós Rásonyi
In this paper we study optimal investment when the investor can peek some time units into the future, but cannot fully take advantage of this knowledge because of quadratic transac…
math.PR2021
On the stability of the stochastic gradient Langevin algorithm with dependent data stream
Miklós Rásonyi, Kinga Tikosi
We prove, under mild conditions, that the stochastic gradient Langevin dynamics converges to a limiting law as time tends to infinity, even in the case where the driving data seque…