Huy N. Chau

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach European Journal of Operational Research	2026-02-09	Paper
On the inversion-free Newton's method and its applications International Statistical Review	2024-09-30	Paper
On robust fundamental theorems of asset pricing in discrete time SIAM Journal on Financial Mathematics	2024-08-12	Paper
Super‐replication with transaction costs under model uncertainty for continuous processes Mathematical Finance	2023-09-28	Paper
Stochastic gradient Hamiltonian Monte Carlo for non-convex learning Stochastic Processes and their Applications	2022-05-16	Paper
Behavioral investors in conic market models Theory of Probability & Its Applications	2020-09-16	Paper
The value of informational arbitrage Finance and Stochastics	2020-03-25	Paper
On fixed gain recursive estimators with discontinuity in the parameters ESAIM: Probability and Statistics	2019-07-11	Paper
Robust utility maximisation in markets with transaction costs Finance and Stochastics	2019-06-27	Paper
Optimal investment with intermediate consumption under no unbounded profit with bounded risk Journal of Applied Probability	2018-09-26	Paper
Optimal investment with intermediate consumption under no unbounded profit with bounded risk Journal of Applied Probability	2018-09-26	Paper
Arbitrage and utility maximization in market models with an insider Mathematics and Financial Economics	2018-09-05	Paper
Arbitrage and utility maximization in market models with an insider Mathematics and Financial Economics	2018-09-05	Paper
On optimal investment with processes of long or negative memory Stochastic Processes and their Applications	2018-04-13	Paper
On optimal investment with processes of long or negative memory Stochastic Processes and their Applications	2018-04-13	Paper
The value of informational arbitrage (available as arXiv preprint)	2018-01-01	Paper
Skorohod's representation theorem and optimal strategies for markets with frictions SIAM Journal on Control and Optimization	2017-11-24	Paper
Market Models with Optimal Arbitrage SIAM Journal on Financial Mathematics	2015-05-15	Paper

Research outcomes over time

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