Financial mathematics, Machine learning, Data Science.
Main publications:
On stochastic gradient Langevin dynamics with dependent data streams: the fully non-convex case, (with Éric Moulines, Miklós Rásonyi, Sotirios Sabanis, Ying Zhang), 2019. [Arxiv]
Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning in the Big Data Regime, (with Miklós Rásonyi), 2019. [Arxiv]
Behavioural investors in conic market models, (with Miklós Rásonyi), 2019. [Arxiv]
On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case (with M. Barkhagen, E. Moulines, M. Rásonyi, S. Sabanis and Y. Zhang) [Arxiv]
Robust utility maximization in markets with transaction costs (with Miklós Rásonyi) Finance and Stochastics 2019. [Arxiv]
The value of informational arbitrage (with Andrea Cosso and Claudio Fontana) [Arxiv]
On fixed gain recursive estimators with discontinuity in the parameters (with Chaman Kumar, Miklós Rásonyi and Sotirios Sabanis), ESAIM: Probability and Statistics 2019. [Arxiv]
On optimal investment with processes of long or negative memory (with Miklós Rásonyi), Stochastic Processes and their Applications, 2017. [Arxiv]
Skorohod's representation theorem and optimal strategies for markets with frictions (with Miklós Rásonyi), SIAM Journal on Control and Optimization 55.6 (2017): 3592-3608. [Arxiv]
Arbitrage and utility maximization in market models with an insider (with Peter Tankov and Wolfgang Runggaldier), Mathematics and Financial Economics. [Arxiv]
Optimal investment with intermediate consumption under no unbounded profit with bounded risk (with Andrea Cosso, Claudio Fontana, and Oleksii Mostovyi), Journal of Applied Probability 54.3 (2017): 710-719. [Arxiv]
Market models with optimal arbitrage (with Peter Tankov), SIAM Journal on Financial Mathematics, Vol. 6(1), 66-85 (2015).
