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Huy N. Chau

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Journal Articles

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2024
[j4]
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Huy N. Chau:
On Robust Fundamental Theorems of Asset Pricing in Discrete Time. SIAM J. Financial Math. 15(3): 571-600 (2024)
2017
[j3]
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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): 710-719 (2017)
[j2]
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Huy N. Chau, Miklós Rásonyi:
Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions. SIAM J. Control. Optim. 55(6): 3592-3608 (2017)
2015
[j1]
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Huy N. Chau, Peter Tankov:
Market Models with Optimal Arbitrage. SIAM J. Financial Math. 6(1): 66-85 (2015)

Informal and Other Publications

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2019
[i1]
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Huy N. Chau, Miklós Rásonyi:
Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning in the Big Data Regime. CoRR abs/1903.10328 (2019)

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