Alexander Matthew Gordon Cox

Available identifiers

zbMath Open cox.alexander-matthew-gordonMaRDI QIDQ457778

List of research outcomes

Publication	Date of Publication	Type
Delayed switching identities and multi-marginal solutions to the Skorokhod embedding problem	2023-12-07	Paper
SDEs with no strong solution arising from a problem of stochastic control	2023-09-01	Paper
Optimal control of martingales in a radially symmetric environment	2023-04-24	Paper
Monte Carlo Methods for the Neutron Transport Equation	2022-09-01	Paper
Model-independent pricing with insider information: a skorokhod embedding approach	2022-01-18	Paper
Optimal control of martingales in a radially symmetric environment	2021-08-10	Paper
Stochastic Methods for Neutron Transport Equation III: Generational Many-to-One and $k_{\texttt{eff}}$	2021-06-02	Paper
Using Echo State Networks to Approximate Value Functions for Control	2021-02-11	Paper
The geometry of multi-marginal Skorokhod embedding	2020-04-21	Paper
Switching Identities by Probabilistic Means	2020-02-28	Paper
Multi-species neutron transport equation	2019-08-01	Paper
Discretisation and duality of optimal Skorokhod embedding problems	2019-06-28	Paper
Robust hedging of options on a leveraged exchange traded fund	2019-03-20	Paper
The structure of non-linear martingale optimal transport problems	2019-03-15	Paper
The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach	2019-02-28	Paper
Martingale Optimal Transport with Stopping	2018-02-22	Paper
Model-Independent Bounds for Asian Options: A Dynamic Programming Approach	2017-11-13	Paper
Pathwise superreplication via Vovk's outer measure	2017-10-23	Paper
Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem	2017-08-23	Paper
Optimal transport and Skorokhod embedding	2017-06-07	Paper
Robust pricing and hedging under trading restrictions and the emergence of local martingale models	2016-09-07	Paper
MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS	2016-04-14	Paper
Embedding laws in diffusions by functions of time	2015-10-30	Paper
On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale	2015-05-27	Paper
Robust pricing and hedging of double no-touch options	2014-12-17	Paper
From minimal embeddings to minimal diffusions	2014-09-29	Paper
UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES	2014-06-13	Paper
Root's barrier: construction, optimality and applications to variance options	2013-05-10	Paper
Robust Hedging of Double Touch Barrier Options	2011-02-10	Paper
Time-Homogeneous Diffusions with a Given Marginal at a Random Time	2009-12-09	Paper
Classes of measures which can be embedded in the simple symmetric random walk	2009-11-20	Paper
Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping	2008-11-27	Paper
https://portal.mardi4nfdi.de/entity/Q3526638	2008-09-25	Paper
A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings	2007-05-15	Paper
Classes of Skorokhod Embeddings for the Simple Symmetric Random Walk	2006-09-12	Paper
Skorokhod embeddings, minimality and non-centred target distributions	2006-06-26	Paper
Local martingales, bubbles and option prices	2006-05-24	Paper
An optimal Skorokhod embedding for diffusions	2005-08-05	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Alexander Matthew Gordon Cox