Miklós Rásonyi

Publication Activity (10 Years)

Years Active: 2002-2024
Publications (10 Years): 15

Top Topics

Diffusion Models

Nearest Neighbor Classifier

Stochastic Gradient

Top Venues

SIAM J. Financial Math.

SIAM J. Math. Data Sci.

Finance Stochastics

Publications

Attila Lovas, Miklós Rásonyi
Ergodic aspects of trading with threshold strategies. Ann. Oper. Res. 336 (1-2) (2024)
Marcin Pitera, Miklós Rásonyi
Short Communication: Utility-Based Acceptability Indices. SIAM J. Financial Math. 15 (2) (2024)
Attila Lovas, Iosif Lytras, Miklós Rásonyi, Sotirios Sabanis
Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms. SIAM J. Math. Data Sci. 5 (2) (2023)
Attila Lovas, Miklós Rásonyi
Functional Central Limit Theorem and Strong Law of Large Numbers for Stochastic Gradient Langevin Dynamics. CoRR (2022)
Attila Lovas, Miklós Rásonyi
Ergodic theorems for queuing systems with dependent inter-arrival times. Oper. Res. Lett. 49 (5) (2021)
Ngoc Huy Chau, Éric Moulines, Miklós Rásonyi, Sotirios Sabanis, Ying Zhang
On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case. SIAM J. Math. Data Sci. 3 (3) (2021)
Laurence Carassus, Miklós Rásonyi
Risk-Neutral Pricing for Arbitrage Pricing Theory. J. Optim. Theory Appl. 186 (1) (2020)
Attila Lovas, Iosif Lytras, Miklós Rásonyi, Sotirios Sabanis
Taming neural networks with TUSLA: Non-convex learning via adaptive stochastic gradient Langevin algorithms. CoRR (2020)
Algo Carè, Balázs Csanád Csáji, Balázs Gerencsér, László Gerencsér, Miklós Rásonyi
On the Poisson Equation of Parameter-Dependent Markov Chains. CoRR (2019)
Algo Carè, Balázs Csanád Csáji, Balázs Gerencsér, László Gerencsér, Miklós Rásonyi
Parameter-Dependent Poisson Equations: Tools for Stochastic Approximation in a Markovian Framework. CDC (2019)
Huy N. Chau, Miklós Rásonyi
Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning in the Big Data Regime. CoRR (2019)
Paolo Guasoni, Zsolt Nika, Miklós Rásonyi
Trading Fractional Brownian Motion. SIAM J. Financial Math. 10 (3) (2019)
Romain Blanchard, Laurence Carassus, Miklós Rásonyi
No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach. Math. Methods Oper. Res. 88 (2) (2018)
Huy N. Chau, Miklós Rásonyi
Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions. SIAM J. Control. Optim. 55 (6) (2017)
Laurence Carassus, Miklós Rásonyi
Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models. Math. Oper. Res. 41 (1) (2016)
Paolo Guasoni, Miklós Rásonyi
Fragility of arbitrage and bubbles in local martingale diffusion models. Finance Stochastics 19 (2) (2015)
Miklós Rásonyi
Optimal Investment with Nonconcave Utilities in Discrete-Time Markets. SIAM J. Financial Math. 6 (1) (2015)
András Horváth, Miklós Rásonyi
Topographic implementation of particle filters on cellular processor arrays. Signal Process. 93 (7) (2013)
András Horváth, Miklós Rásonyi
Implementation of cellular genetic algorithms on a CNN chip: Simulations and experimental results. Int. J. Circuit Theory Appl. 40 (12) (2012)
Paolo Guasoni, Emmanuel Lépinette, Miklós Rásonyi
The fundamental theorem of asset pricing under transaction costs. Finance Stochastics 16 (4) (2012)
Martin Le Doux Mbele Bidima, Miklós Rásonyi
On long-term arbitrage opportunities in Markovian models of financial markets. Ann. Oper. Res. 200 (1) (2012)
Miklós Rásonyi
Rehabilitating Fractal Models in Finance. ERCIM News 2009 (78) (2009)
Laurence Carassus, Miklós Rásonyi
Optimal Strategies and Utility-Based Prices Converge When Agents' Preferences Do. Math. Oper. Res. 32 (1) (2007)
Laurence Carassus, Miklós Rásonyi
Convergence of Utility Indifference Prices to the Superreplication Price. Math. Methods Oper. Res. 64 (1) (2006)
L. Gerencseer, Miklós Rásonyi, C. S. Szepesvari, Zsuzsanna Vágó
Log-optimal currency portfolios and control Lyapunov exponents. CDC/ECC (2005)
László Gerencsér, Miklós Rásonyi, Zsuzsanna Vágó
Controlled Lyapunov-exponents with applications. CDC (2004)
László Gerencsér, Miklós Rásonyi, Zsuzsanna Vágó
Controlled Lyapunov-exponents in optimization and finance. ECC (2003)
Miklós Rásonyi
Equivalent martingale measures for large financial markets in discrete time. Math. Methods Oper. Res. 58 (3) (2003)
Yuri Kabanov, Miklós Rásonyi, Christophe Stricker
and the robust no-arbitrage property. Finance Stochastics 7 (3) (2003)
Yuri Kabanov, Miklós Rásonyi, Christophe Stricker
No-arbitrage criteria for financial markets with efficient friction. Finance Stochastics 6 (3) (2002)