Samuel N. Cohen

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Person:424489

Available identifiers

zbMath Open cohen.samuel-nMaRDI QIDQ424489

List of research outcomes

PublicationDate of PublicationType
Arbitrage-Free Neural-SDE Market Models2023-11-23Paper
Optimal adaptive control with separable drift uncertainty2023-09-13Paper
Hyperbolic contractivity and the Hilbert metric on probability measures2023-09-05Paper
Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation2023-09-01Paper
Hedging Option Books Using Neural-SDE Market Models2023-08-07Paper
Nowcasting with signature methods2023-05-17Paper
Global Convergence of Deep Galerkin and PINNs Methods for Solving Partial Differential Equations2023-05-10Paper
Exponential contractions and robustness for approximate Wonham filters2023-05-03Paper
European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty2022-09-30Paper
Neural Q-learning for solving PDEs2022-03-31Paper
Gittins' theorem under uncertainty2022-02-22Paper
Estimating risks of option books using neural-SDE market models2022-02-14Paper
Detecting and Repairing Arbitrage in Traded Option Prices2021-06-21Paper
Pathwise stochastic control with applications to robust filtering2021-03-18Paper
Parameter Uncertainty in the Kalman--Bucy Filter2019-08-30Paper
Bounding quantiles of Wasserstein distance between true and empirical measure2019-07-03Paper
Malliavin calculus in a binomial framework2019-03-07Paper
Switching cost models as hypothesis tests2019-01-31Paper
Nash equilibria for nonzero-sum ergodic stochastic differential games2018-09-26Paper
Data and uncertainty in extreme risks - a nonlinear expectations approach2017-05-23Paper
Data-driven nonlinear expectations for statistical uncertainty in decisions2017-05-16Paper
Ergodic backward stochastic difference equations2016-11-25Paper
Chaos representations for Marked Point Processes2016-03-04Paper
Solutions of Backward Stochastic Differential Equations on Markov Chains2016-03-04Paper
Classical Adjoints for Ergodic Stochastic Control2015-11-13Paper
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree2015-10-30Paper
Stochastic Calculus and Applications2015-06-11Paper
Undiscounted Markov Chain BSDEs to Stopping Times2014-05-14Paper
A generalized Girsanov transformation of finite state stochastic processes in discrete time2014-04-09Paper
Ergodic BSDEs Driven by Markov Chains2014-01-27Paper
Filters and smoothers for self-exciting Markov modulated counting processes2013-11-25Paper
A martingale representation theorem for a class of jump processes2013-10-23Paper
A limit order book model for latency arbitrage2013-02-26Paper
Existence, uniqueness and comparisons for BSDEs in general spaces2012-11-29Paper
Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces2012-10-23Paper
On Markovian solutions to Markov chain BSDEs2012-09-14Paper
Backward Stochastic Difference Equations with Finite States2012-09-07Paper
Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces2012-06-01Paper
Comparison Theorems for Finite State Backward Stochastic Differential Equations2011-05-31Paper
Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations2011-05-17Paper
Sublinear Expectations and Martingales in discrete time2011-04-28Paper
https://portal.mardi4nfdi.de/entity/Q30622432011-01-03Paper
A general comparison theorem for backward stochastic differential equations2010-11-26Paper
What risk measures are time consistent for all filtrations?2010-07-04Paper
A general theory of finite state backward stochastic difference equations2010-04-08Paper
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions2010-03-08Paper
A Ring Isomorphism and corresponding Pseudoinverses2008-10-01Paper

Research outcomes over time


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