An, Lifen; Cohen, Samuel N.; Ji, Shaolin Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation. (English) Zbl 07733584 Electron. J. Probab. 28, Paper No. 99, 24 p. (2023). MSC: 60H10 60G40 91G80 PDFBibTeX XMLCite \textit{L. An} et al., Electron. J. Probab. 28, Paper No. 99, 24 p. (2023; Zbl 07733584) Full Text: DOI arXiv Link
Allan, Andrew L.; Cohen, Samuel N. Pathwise stochastic control with applications to robust filtering. (English) Zbl 1471.93265 Ann. Appl. Probab. 30, No. 5, 2274-2310 (2020). Reviewer: Andrzej Świerniak (Gliwice) MSC: 93E11 93E20 49K45 PDFBibTeX XMLCite \textit{A. L. Allan} and \textit{S. N. Cohen}, Ann. Appl. Probab. 30, No. 5, 2274--2310 (2020; Zbl 1471.93265) Full Text: DOI arXiv Euclid
Allan, Andrew L.; Cohen, Samuel N. Parameter uncertainty in the Kalman-Bucy filter. (English) Zbl 1420.62407 SIAM J. Control Optim. 57, No. 3, 1646-1671 (2019). MSC: 62M20 60G35 93E11 62F86 49L25 PDFBibTeX XMLCite \textit{A. L. Allan} and \textit{S. N. Cohen}, SIAM J. Control Optim. 57, No. 3, 1646--1671 (2019; Zbl 1420.62407) Full Text: DOI arXiv
Cohen, Samuel N.; Fedyashov, Victor Nash equilibria for nonzero-sum ergodic stochastic differential games. (English) Zbl 1416.91029 J. Appl. Probab. 54, No. 4, 977-994 (2017). MSC: 91A15 60H10 91A05 91A06 PDFBibTeX XMLCite \textit{S. N. Cohen} and \textit{V. Fedyashov}, J. Appl. Probab. 54, No. 4, 977--994 (2017; Zbl 1416.91029) Full Text: DOI arXiv
Cohen, Samuel N.; Elliott, Robert J. Existence, uniqueness and comparisons for BSDEs in general spaces. (English) Zbl 1260.60128 Ann. Probab. 40, No. 5, 2264-2297 (2012). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H20 60H10 91B16 PDFBibTeX XMLCite \textit{S. N. Cohen} and \textit{R. J. Elliott}, Ann. Probab. 40, No. 5, 2264--2297 (2012; Zbl 1260.60128) Full Text: DOI arXiv Euclid
Cohen, Samuel N.; Elliott, Robert J.; Pearce, Charles E. M. A general comparison theorem for backward stochastic differential equations. (English) Zbl 1221.60079 Adv. Appl. Probab. 42, No. 3, 878-898 (2010). Reviewer: Nicolas Perkowski (Berlin) MSC: 60H10 93E20 PDFBibTeX XMLCite \textit{S. N. Cohen} et al., Adv. Appl. Probab. 42, No. 3, 878--898 (2010; Zbl 1221.60079) Full Text: DOI
Cohen, Samuel N.; Elliott, Robert J. A general theory of finite state backward stochastic difference equations. (English) Zbl 1205.60111 Stochastic Processes Appl. 120, No. 4, 442-466 (2010). Reviewer: Romeo Negrea (Timisoara) MSC: 60H10 37H10 60G42 65C30 PDFBibTeX XMLCite \textit{S. N. Cohen} and \textit{R. J. Elliott}, Stochastic Processes Appl. 120, No. 4, 442--466 (2010; Zbl 1205.60111) Full Text: DOI arXiv