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Sztochasztikus Rendszerek és Pénzügyi Piacok Modellezése
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Ezen az oldalon az NKFI Elektronikus Pályázatkezelő Rendszerében nyilvánosságra hozott projektjeit tekintheti meg.
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GERENCSÉR, L. - HJALMARSSON, H.: Adaptive input design for ARX systems, Proc. of the European Control Conference, ECC’06, Kos, Greece, July 2-5, 2007., 2007 | GERENCSÉR, L. – MÁTYÁS, Z.: A behavioral stock market model, In: Proc. of the International Conference on Stochastic Finance, Lisbon, Portugal, September 26-30, (electronic), 2004 | GERENCSÉR, L. – MOLNÁR-SÁSKA, G.: Change detection of Hidden Markov Models, In: Proc. of the 43rd IEEE Conference on Decision and Control, Nassau, The Bahamas, December 14-17, 2004, WeA11.2, 2004 | GERENCSÉR, L. – HILL, S.D. - VÁGÓ, Zs. – VINCZE, Z.: Discrete optimization, SPSA and Markov Chain Monte Carlo methods, In: Proc. of the American Control Conference, Boston, MA, USA, June 30 - July 2, 2004, ThP17, pp. 3814-3819, 2004 | HILL,S. D. – GERENCSÉR,L. - VÁGÓ,Zs.: Stochastic Approximation on Discrete Sets Using Simultaneous Perturbation Difference Approximations, In: Proc. of theAmerican Control Conference 2004, June 30- July 2, 2004, Boston, MA, USA, ThM06, pp. 2795-2798, 2004 | GERENCSÉR,L. – RÁSONYI, M.-VÁGÓ,Zs.: Controlled Lyapunov-Exponents with Applications, In: Proc. of the 43rd IEEE Conference on Decision and Control, Nassau, The Bahamas, December 14-17 2004, WeC08, 2004 | RÁSONYI, M: Utility maximization in discrete-time financial market models, In: Proc. of the International Conference on Stochastic Finance, Lisbon, Portugal, September 26-30, 2004, (electronic), 2004 | RÁSONYI, M.: Arbitrage theory and risk-neutral measures, Decisions in Economics and Finance, vol. 27, no. 2, pp. 109-123, 2004., 2004 | RÁSONYI, M.: Arbitrázs nagy pénzügyi piacokon, Szigma, vol. 35, no. 3-4, pp. 123-130, 2004, 2005 | GERENCSÉR, L. MOLNÁR-SÁSKA, G.: Identification of hidden Markov models - uniform LLN-s, Modeling, Estimation and Control: Festschrift in honor of Giorgio Picci, 2007 | GERENCSÉR, L. , VÁGÓ, Zs.: The Mathematics of Noise-Free SPSA Stochastic Approximation with Vanishing Random Fields, átdolgozás alatt, IEEE Trans. Automatic Control, 2007 | GERENCSÉR, L. - MICHALETZKY, Gy. - VÁGÓ, Zs.: Risk-sensitive identification of linear stochastic systems, Mathematics of Control, Signals and Systems, vol 27, no 2, pp. 77-100, 2005 | SZEIDL, Á. – GERENCSÉR, L. – MICHALETZKY, Gy.: Quantized Gaussian ARMA identification, Systems and Control Letters, közlésre elfogadva, 2005 | GERENCSÉR, L.: A representation theorem for recursive estimators, SIAM Journal on Control and Optimization, 44 (2005), pp. 2123-2188, 2005 | CARASSUS, L. – RÁSONYI, M.: Convergence of utility indifference prices to the superreplication prices to the super-replication price, Mathematical Methods of Operations Research, vol. 64, pp. 145-154, 2006, 2006 | FINESSO, L. - GERENCSÉR, L. – KMECS, I.-SZILÁGYI, T.: Estimation of quantized Gaussian linear models - a randomized EM method, Int. Journal of Adaptive Control and Signal Processing Control, átdolgozás alatt, 2006 | BERLINGER, E. – GERENCSÉR, L. – MÁTYÁS, Z. – RÁSONYI, M.: Analysis of an income-contingent student loan system, The Economics of Transition, benyújtás előtt, 2006 | GERENCSÉR, L. – HILL, S.D. – VÁGÓ, Zs.: Discrete Stochastic Approximation Via Simultaneous Difference Approximations, In: Proc. of the American Control Conference, Portland, Oregon, USA, June 8 - 10, 2005, pp. 307-308, 2005 | GERENCSÉR, L. – HJALMARSSON, H.: Adaptive input design in system identification, In: Proc. of the 44th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC’05, Seville, Spain, December 12-15, 2005, WeB04.4, 4988-4993, 2005 | GERENCSÉR, L. – MÁTYÁS, Z. – SZÁZ, J.: A stochastic feedback system model of a stock exchange., In: Proc. of the 44th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC’05, Seville, Spain, December 12-15, 2005, WeB11.1, pp. 5215-5, 2006 | GERENCSÉR, L.– MÁTYÁS, Z.: Almost sure convergence of stochastic appoximation algorithms with resetting, IEEE Trans. on Information Theory, benyújtás előtt, 2006 | GERENCSÉR, L. - MICHALETZKY, Gy. - ORLOVITS, Zs.: On the Top-Lyapunov Exponent of Block-triangular Stationary Random Matrices, Proc. of the European Control Conference, ECC’07, Kos, Greece, July 2-5, 2007, accepted for publication., 2007 | GERENCSÉR, L. – MICHALETZKY, Gy. – MOLNÁR-SÁSKA, G.: Improved estimation of the exponential stability of the predictive filter in Hidden Markov Models, American Control Conference, ACC 2006, Minneapolis, Minnesota, USA, June 14-16, 2006, FrB08.5, pp. 5177- 5182., 2006 | GERENCSÉR, L. – MICHALETZKY, Gy. – ORLOVITS, ZS.: On the top Lyapunov-exponent of block-tringular stationary random matrices, Systems and Control Letters, közlésre benyújtva, 2007 | GERENCSÉR, L. – MOLNÁR-SÁSKA, G. – ORLOVITS, Zs.: Recursive estimation of Hidden Markov Models, In: Proc. of the 44th IEEE Conference on Decision and Control and European Control Conference CDC-ECC’05, Seville, Spain, December 12-15, 2005. MoB16.3, pp. 1209-12, 2005 | GERENCSÉR, L. – RÁSONYI, M. – SZEPESVÁRI, Cs. – VÁGÓ, Zs.: Log-optimal portfolios and control Lyapunov-exponents, In : Proc. of the 44th Conference on Decision and Control and European Control Conference, CDC-ECC'05, Seville, Spain, December 12-15, 2005, MoC11.4, pp. 1764-1769, 2005 | MOLNÁR-SÁSKA, G.: Statistical Analysis of Hidden Markov Models, PhD Doktori Értekezés, 2005 | STETTNER, L. - RÁSONYI,M.: On utility maximization in discrete-time market models, Annals of Applied Probability, vol. 15, no. 2, pp. 1367-1395, 2005 | GERENCSÉR, L. – MOLNÁR-SÁSKA, G. – ORLOVITS, Zs.: Change-detection of Hidden Markov Models and GARCH processes, In: Proc. of the International Conference on Stochastic Finance, Lisbon, Portugal, September 26-30, 2004, (electronic), 2005 | GERENCSÉR, L.: A representation theorem for recursive estimators, Proc. of 45th IEEE Conference on Decision and Control CDC’06, San Diego, California, USA, December 13-15, 2006, WeA09.5, Stochastic Systems I (SIAM), pp. 320-325, 2006 | GERENCSÉR, L. – MOLNÁR-SÁSKA, G. – MICHALETZKY, - GY TUSNÁDY, G.: New methods for the statistical analysis of Hidden Markov Models, IEEE Trans. Automatic Control, under revision, 2007 | GERENCSÉR, L. - MICHALETZKY, Gy. - MOLNÁR-SÁSKA, G.: An improved bound for the exponential stability of predictive filters of hidden Markov models, Communications in Information and Systems. Special Volume Dedicated to the 65th Birthday of Tyrone Duncan (guest eds.: A. Bensoussan, S. Mitter and B. Pasik-Duncan), 7.1,, 2007 | GERENCSÉR, L. - MÁTYÁS, Z.: A behavioral stock market model, Mathematical Methods of Operations Research, átdolgozás alatt., 2007 | CARASSUS, L. – RÁSONYI, M.: Optimal Strategires and Utility-Based Prices Converge When Agents' Preferences Do, Mathematics of Operations Research, vol.32, pp. 102-117, 2007 |
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