Research output per year
Research output per year
Personal profile
Research interests
Financial mathematics, Machine learning, Data Science
Biography
Before joining the University of Manchester in November 2021, I was a Specially Appointed Assistant Professor at Center for Mathematical Modeling and Data Science, Osaka University, Japan (September 2019 - November 2021), a Post-doctoral researcher at Alfred Renyi Institute of Mathematics, Hungary (October, 2015 - August 2019). I completed my PhD at University of Padova and LPMA, University Paris Diderot in February 2016 under the supervision of Prof. Wolfgang J. Runggaldier and Prof. Peter Tankov.
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Research output
- 6 Article
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On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case
Chau, H., Moulines, E., Rasonyi, M., Sabanis, S. & Zhang, Y., 20 Sep 2021, In: SIAM Journal on Mathematics of Data Science. 3, 3, p. 959-986Research output: Contribution to journal › Article › peer-review
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On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case
Chau, H., Barkhagen, M., Moulines, E., Rasonyi, M., Sabanis, S. & Zhang, Y., 1 Feb 2021, In: Bernoulli. 27, 1, p. 1-33 33 p.Research output: Contribution to journal › Article › peer-review
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The value of informational arbitrage
Chau, H., Cosso, A. & Fontana, C., 2020, In: Finance and Stochastics. 24, p. 277-307 31 p.Research output: Contribution to journal › Article › peer-review
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On fixed gain recursive estimators with discontinuity in the parameters
Chau, H., Kumar, C., Rasonyi, M. & Sabanis, S., 2019, In: ESAIM: Probability and Statistics. 23, p. 217-244 28 p.Research output: Contribution to journal › Article › peer-review
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Robust utility maximization in markets with transaction costs
Chau, H. & Rasonyi, M., 2019, In: Finance and Stochastics. 23, p. 677-696 20 p.Research output: Contribution to journal › Article › peer-review