Huy N. Chau

Publication Activity (10 Years)

Years Active: 2015-2024
Publications (10 Years): 5

Top Topics

Investment Strategies

Stochastic Gradient

Optimal Strategy

Top Venues

SIAM J. Financial Math.

J. Appl. Probab.

SIAM J. Control. Optim.

Publications

Huy N. Chau
On Robust Fundamental Theorems of Asset Pricing in Discrete Time. SIAM J. Financial Math. 15 (3) (2024)
Huy N. Chau, Miklós Rásonyi
Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning in the Big Data Regime. CoRR (2019)
Huy N. Chau, Miklós Rásonyi
Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions. SIAM J. Control. Optim. 55 (6) (2017)
Huy N. Chau, Andrea Cosso, Claudio Fontana, Oleksii Mostovyi
Optimal investment with intermediate consumption under no unbounded profit with bounded risk. J. Appl. Probab. 54 (3) (2017)
Huy N. Chau, Peter Tankov
Market Models with Optimal Arbitrage. SIAM J. Financial Math. 6 (1) (2015)