Samuel N. Cohen

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Robert ElliottResearch Professor, University of South Australia.. Faculty Professor and Emeritus ProfessorVerified email at ucalgary.ca
Lukasz SzpruchUniversity of Edinburgh and The Alan Turing InstituteVerified email at ed.ac.uk
Christoph ReisingerProfessor of Applied Mathematics, University of OxfordVerified email at maths.ox.ac.uk
Sheng WangUniversity of OxfordVerified email at maths.ox.ac.uk
Florimond HoussiauAlan Turing InstituteVerified email at turing.ac.uk
Charles E. M. PearceElder Chair of Mathematics, University of AdelaideVerified email at adelaide.edu.au
Tanut TreetanthiploetThe Alan Turing InstituteVerified email at turing.ac.uk
Shaolin JiShandong UniversityVerified email at sdu.edu.cn
James JordonResearch Assistant, The Alan Turing InstituteVerified email at turing.ac.uk
Andrew L. AllanAssistant Professor, Durham UniversityVerified email at durham.ac.uk
Adrian WellerDirector of Research, Machine Learning, University of CambridgeVerified email at eng.cam.ac.uk
Victor FedyashovResearch Fellow, University of MelbourneVerified email at unimelb.edu.au
Carsten MapleProfessor of Cyber Systems Engineering, University of WarwickVerified email at warwick.ac.uk
Giovanni CherubinMicrosoft ResearchVerified email at microsoft.com
Mirko BottarelliUniversity of WarwickVerified email at warwick.ac.uk
Haoyang CaoCMAP, École PolytechniqueVerified email at polytechnique.edu
Álvaro CarteaUniversity of Oxford and Oxford-Man InstituteVerified email at maths.ox.ac.uk
Callum MoleThe Alan Turing InstituteVerified email at turing.ac.uk
David SiskaSchool of Mathematics, University of Edinburgh and Vega ResearchVerified email at ed.ac.uk
Justin SirignanoUniversity of OxfordVerified email at maths.ox.ac.uk

Samuel N. Cohen

Professor of Mathematics, University of Oxford

Verified email at maths.ox.ac.uk - Homepage

Stochastic analysis mathematical finance


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Stochastic Calculus and Applications SN Cohen, RJ Elliott Birkhäuser Basel-New York, 2nd ed., 2015	1529	2015
A general theory of finite state backward stochastic difference equations SN Cohen, RJ Elliott Stochastic Processes and their Applications 120 (4), 442-466, 2010	98	2010
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions SN Cohen, RJ Elliott	91	2010
Solutions of backward stochastic differential equations on Markov chains SN Cohen, RJ Elliott arXiv preprint arXiv:0809.5102, 2008	87	2008
Existence, uniqueness and comparisons for BSDEs in general spaces SN Cohen, RJ Elliott	66	2012
Synthetic Data--what, why and how? J Jordon, L Szpruch, F Houssiau, M Bottarelli, G Cherubin, C Maple, ... arXiv preprint arXiv:2205.03257, 2022	45	2022
A general comparison theorem for backward stochastic differential equations SN Cohen, RJ Elliott, CEM Pearce Advances in Applied Probability 42 (3), 878-898, 2010	42	2010
Backward stochastic difference equations and nearly time-consistent nonlinear expectations SN Cohen, RJ Elliott SIAM Journal on Control and Optimization 49 (1), 125-139, 2011	40	2011
Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces S Cohen	36	2012
Ergodic BSDEs driven by Markov chains SN Cohen, Y Hu SIAM Journal on Control and Optimization 51 (5), 4138-4168, 2013	27	2013
A limit order book model for latency arbitrage SN Cohen, L Szpruch Mathematics and Financial Economics 6, 211-227, 2012	27	2012
Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces SN Cohen Stochastic Processes and their applications 122 (4), 1601-1626, 2012	26	2012
Sublinear expectations and martingales in discrete time S Cohen, S Ji, S Peng arXiv preprint arXiv:1104.5390, 2011	25	2011
On Markovian solutions to Markov chain BSDEs SN Cohen, L Szpruch arXiv preprint arXiv:1111.5739, 2011	23	2011
Identifiability in inverse reinforcement learning H Cao, S Cohen, L Szpruch Advances in Neural Information Processing Systems 34, 12362-12373, 2021	21	2021
Arbitrage-free neural-SDE market models SN Cohen, C Reisinger, S Wang arXiv preprint arXiv:2105.11053, 2021	20	2021
Data-driven nonlinear expectations for statistical uncertainty in decisions SN Cohen	17	2017
Detecting and repairing arbitrage in traded option prices SN Cohen, C Reisinger, S Wang Applied Mathematical Finance 27 (5), 345-373, 2020	15	2020
European option pricing with stochastic volatility models under parameter uncertainty SN Cohen, M Tegnér Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications …, 2019	13	2019
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree RJ Elliott, TK Siu, SN Cohen Journal of Applied probability 52 (3), 771-785, 2015	13	2015

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