Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng Hedging option books using neural-SDE market models. (English) Zbl 1520.91400 Appl. Math. Finance 29, No. 5, 366-401 (2022). MSC: 91G20 60H35 PDFBibTeX XMLCite \textit{S. N. Cohen} et al., Appl. Math. Finance 29, No. 5, 366--401 (2022; Zbl 1520.91400) Full Text: DOI arXiv
Cohen, Samuel N.; Treetanthiploet, Tanut Gittins’ theorem under uncertainty. (English) Zbl 1485.91060 Electron. J. Probab. 27, Paper No. 17, 48 p. (2022). MSC: 91B06 93E20 PDFBibTeX XMLCite \textit{S. N. Cohen} and \textit{T. Treetanthiploet}, Electron. J. Probab. 27, Paper No. 17, 48 p. (2022; Zbl 1485.91060) Full Text: DOI arXiv
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
Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N. Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. (English) Zbl 1390.91333 J. Appl. Probab. 52, No. 3, 771-785 (2015). MSC: 91G70 39A50 60H30 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., J. Appl. Probab. 52, No. 3, 771--785 (2015; Zbl 1390.91333) Full Text: DOI Euclid
Cohen, Samuel N. Undiscounted Markov chain BSDEs to stopping times. (English) Zbl 1408.60043 J. Appl. Probab. 51, No. 1, 262-281 (2014). MSC: 60H10 60G40 60J27 93E20 PDFBibTeX XMLCite \textit{S. N. Cohen}, J. Appl. Probab. 51, No. 1, 262--281 (2014; Zbl 1408.60043) Full Text: DOI arXiv Euclid
Cohen, Samuel N. Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces. (English) Zbl 1254.60045 Stochastic Processes Appl. 122, No. 4, 1601-1626 (2012). Reviewer: Dominique Lepingle (Orléans) MSC: 60G48 60H20 60H10 PDFBibTeX XMLCite \textit{S. N. Cohen}, Stochastic Processes Appl. 122, No. 4, 1601--1626 (2012; Zbl 1254.60045) Full Text: DOI arXiv
Cohen, Samuel N.; Elliott, Robert J. Backward stochastic difference equations with finite states. (English) Zbl 1254.60055 Kohatsu-Higa, Arturo (ed.) et al., Stochastic analysis with financial applications, Hong Kong 2009. Proceedings of the workshop, Hong Kong, China, June 29 to July 3, 2009. New York, NY: Springer (ISBN 978-3-0348-0096-9/hbk; 978-3-0348-0097-6/ebook). Progress in Probability 65, 33-42 (2011). Reviewer: Romeo Negrea (Timisoara) MSC: 60H10 60G42 65C30 PDFBibTeX XMLCite \textit{S. N. Cohen} and \textit{R. J. Elliott}, Prog. Probab. 65, 33--42 (2011; Zbl 1254.60055) 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
Cohen, Samuel N.; Elliott, Robert J. Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions. (English) Zbl 1195.60077 Ann. Appl. Probab. 20, No. 1, 267-311 (2010). Reviewer: Nikolaos Halidias (Athens) MSC: 60H10 91B70 PDFBibTeX XMLCite \textit{S. N. Cohen} and \textit{R. J. Elliott}, Ann. Appl. Probab. 20, No. 1, 267--311 (2010; Zbl 1195.60077) Full Text: DOI arXiv