Samuel N. Cohen

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Robert ElliottResearch Professor, University of South Australia.. Faculty Professor and Emeritus ProfessorVerified email at ucalgary.ca
Lukasz SzpruchUniversity of Edinburgh and The Alan Turing InstituteVerified email at ed.ac.uk
Florimond HoussiauAlan Turing InstituteVerified email at turing.ac.uk
Christoph ReisingerProfessor of Applied Mathematics, University of OxfordVerified email at maths.ox.ac.uk
Sheng WangUniversity of OxfordVerified email at maths.ox.ac.uk
James JordonResearch Assistant, The Alan Turing InstituteVerified email at turing.ac.uk
Adrian WellerDirector of Research, Machine Learning, University of CambridgeVerified email at eng.cam.ac.uk
Giovanni CherubinMicrosoftVerified email at microsoft.com
Mirko BottarelliUniversity of WarwickVerified email at warwick.ac.uk
Charles E. M. PearceElder Chair of Mathematics, University of AdelaideVerified email at adelaide.edu.au
Tanut TreetanthiploetThe Alan Turing InstituteVerified email at turing.ac.uk
Shaolin JiShandong UniversityVerified email at sdu.edu.cn
Victor FedyashovResearch Fellow, University of MelbourneVerified email at unimelb.edu.au
Andrew L. AllanAssistant Professor, Durham UniversityVerified email at durham.ac.uk
Carsten MapleProfessor of Cyber Systems Engineering, University of WarwickVerified email at warwick.ac.uk
Callum MoleThe Alan Turing InstituteVerified email at turing.ac.uk
Haoyang CaoDepartment of Applied Mathematics and Statistics, Johns Hopkins UniversityVerified email at jhu.edu
Álvaro CarteaUniversity of Oxford and Oxford-Man InstituteVerified email at maths.ox.ac.uk
David SiskaSchool of Mathematics, University of Edinburgh and Vega ResearchVerified email at ed.ac.uk
Camila Rangel SmithThe Alan Turing InstituteVerified email at turing.ac.uk

Samuel N. Cohen

Professor of Mathematics, University of Oxford

Verified email at maths.ox.ac.uk - Homepage

Stochastic analysis mathematical finance


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Stochastic Calculus and Applications SN Cohen, RJ Elliott Birkhäuser Basel-New York, 2nd ed., 2015	1578	2015
A general theory of finite state backward stochastic difference equations SN Cohen, RJ Elliott Stochastic Processes and their Applications 120 (4), 442-466, 2010	100	2010
Synthetic Data--what, why and how? J Jordon, L Szpruch, F Houssiau, M Bottarelli, G Cherubin, C Maple, ... arXiv preprint arXiv:2205.03257, 2022	91	2022
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions SN Cohen, RJ Elliott	91	2010
Solutions of backward stochastic differential equations on Markov chains SN Cohen, RJ Elliott arXiv preprint arXiv:0809.5102, 2008	88	2008
Existence, uniqueness and comparisons for BSDEs in general spaces SN Cohen, RJ Elliott	70	2012
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	42	2011
A general comparison theorem for backward stochastic differential equations SN Cohen, RJ Elliott, CEM Pearce Advances in Applied Probability 42 (3), 878-898, 2010	42	2010
Identifiability in inverse reinforcement learning H Cao, S Cohen, L Szpruch Advances in Neural Information Processing Systems 34, 12362-12373, 2021	37	2021
Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces S Cohen	37	2012
Ergodic BSDEs driven by Markov chains SN Cohen, Y Hu SIAM Journal on Control and Optimization 51 (5), 4138-4168, 2013	28	2013
A limit order book model for latency arbitrage SN Cohen, L Szpruch Mathematics and Financial Economics 6, 211-227, 2012	28	2012
Sublinear expectations and martingales in discrete time S Cohen, S Ji, S Peng arXiv preprint arXiv:1104.5390, 2011	27	2011
Arbitrage-free neural-SDE market models SN Cohen, C Reisinger, S Wang Applied Mathematical Finance 30 (1), 1-46, 2023	26	2023
Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces SN Cohen Stochastic Processes and their Applications 122 (4), 1601-1626, 2012	26	2012
On Markovian solutions to Markov chain BSDEs SN Cohen, L Szpruch arXiv preprint arXiv:1111.5739, 2011	24	2011
Detecting and repairing arbitrage in traded option prices SN Cohen, C Reisinger, S Wang Applied Mathematical Finance 27 (5), 345-373, 2020	20	2020
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	18	2022
Data-driven nonlinear expectations for statistical uncertainty in decisions SN Cohen	17	2017
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	15	2015

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