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Samuel N. Cohen
Samuel N. Cohen
Professor of Mathematics, University of Oxford
Bestätigte E-Mail-Adresse bei maths.ox.ac.uk - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Stochastic Calculus and Applications
SN Cohen, RJ Elliott
Birkhäuser Basel-New York, 2nd ed., 2015
15792015
A general theory of finite state backward stochastic difference equations
SN Cohen, RJ Elliott
Stochastic Processes and their Applications 120 (4), 442-466, 2010
1002010
Synthetic Data--what, why and how?
J Jordon, L Szpruch, F Houssiau, M Bottarelli, G Cherubin, C Maple, ...
arXiv preprint arXiv:2205.03257, 2022
922022
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
SN Cohen, RJ Elliott
912010
Solutions of backward stochastic differential equations on Markov chains
SN Cohen, RJ Elliott
arXiv preprint arXiv:0809.5102, 2008
882008
Existence, uniqueness and comparisons for BSDEs in general spaces
SN Cohen, RJ Elliott
702012
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
422011
A general comparison theorem for backward stochastic differential equations
SN Cohen, RJ Elliott, CEM Pearce
Advances in Applied Probability 42 (3), 878-898, 2010
422010
Identifiability in inverse reinforcement learning
H Cao, S Cohen, L Szpruch
Advances in Neural Information Processing Systems 34, 12362-12373, 2021
372021
Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces
S Cohen
372012
Ergodic BSDEs driven by Markov chains
SN Cohen, Y Hu
SIAM Journal on Control and Optimization 51 (5), 4138-4168, 2013
282013
A limit order book model for latency arbitrage
SN Cohen, L Szpruch
Mathematics and Financial Economics 6, 211-227, 2012
282012
Sublinear expectations and martingales in discrete time
S Cohen, S Ji, S Peng
arXiv preprint arXiv:1104.5390, 2011
272011
Arbitrage-free neural-SDE market models
SN Cohen, C Reisinger, S Wang
Applied Mathematical Finance 30 (1), 1-46, 2023
262023
Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces
SN Cohen
Stochastic Processes and their Applications 122 (4), 1601-1626, 2012
262012
On Markovian solutions to Markov chain BSDEs
SN Cohen, L Szpruch
arXiv preprint arXiv:1111.5739, 2011
242011
Detecting and repairing arbitrage in traded option prices
SN Cohen, C Reisinger, S Wang
Applied Mathematical Finance 27 (5), 345-373, 2020
202020
Tapas: a toolbox for adversarial privacy auditing of synthetic data
F Houssiau, J Jordon, SN Cohen, O Daniel, A Elliott, J Geddes, C Mole, ...
arXiv preprint arXiv:2211.06550, 2022
182022
Data-driven nonlinear expectations for statistical uncertainty in decisions
SN Cohen
172017
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
152015
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