Publications
The following is a list of my publications (most recent first), with links to journals/preprints where available.
Semimathematical work

Cohen, S.N. The Lehman Collapse: What went wrong?, Areté, Issue 57 Winter 2018

Cohen, S.N., The dynamic programming principle in Math in Seventeen Syllables: A Folder of Mathematical Haiku, Journal of Humanistic Mathematics, 8(1), 2018 (on journal page)
Books

Cohen, S.N. and Elliott, R.J. Stochastic Processes and Applications (2nd Ed.), Birkhäuser, 2015 (on amazon.co.uk, Springer)

Cohen, S.N., Madan, D.B., Siu, T.K and Yang, H. (Eds) Stochastic processes, filtering and control: A festschrift in honour of Robert J. Elliott, World Scientific, 2012 (on amazon.co.uk, World Scientific)

Cohen S., Gyöngy I., dos Reis G., Siska D., Szpruch Ł. (eds) Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications. BSDESPDE 2017. Springer Proceedings in Mathematics & Statistics, vol 289, 2019 (at Springer)
Papers

Cohen, S.N., Reisinger, C. and Wang, S. Arbitragefree neuralSDE market models , preprint on arXiv

Cohen, S.N., Snow, D. and Szpruch, L. Blackbox model risk in finance , preprint on arXiv

Cohen, S.N. and Treetanthiploet, T. Correlated Bandits for Dynamic Pricing via the ARC algorithm , preprint on arXiv

Cohen, S.N. and Treetanthiploet, T. Asymptotic Randomised Control with applications to bandits , preprint on arXiv

Cohen, S.N., Riesinger, C. and Wang, S. Detecting and repairing arbitrage in traded option prices , Applied Mathematical Finance, 2021, 27(5):345373 (available at publisher, preprint on arXiv, Github code)

Cohen, S.N. and Treetanthiploet, T. Gittins' theorem under uncertainty , preprint on arXiv

Cohen, S.N., Tegnér, M.N.A and Wiesel, J. Bounding quantiles of Wasserstein distance between true and empirical measure , preprint on arXiv

Cohen, S.N. and Tegner, M. European Option Pricing with Stochastic Volatility models under Parameter Uncertainty , Cohen S., Gyöngy I., dos Reis G., Siska D., Szpruch Ł. (eds) Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications. BSDESPDE 2017. Springer Proceedings in Mathematics & Statistics, vol 289 (available at arXiv

Cohen, S.N., Elliott, R.J., Siu, T.K. Malliavin calculus in a binomial framework , Appl. Stochastic Models Bus. Ind., 2018, 1:18 (available at publisher)

Cohen, S.N. Data an Uncertainty in extreme risks  a nonlinear expectations approach , in Innovations in Insurance, Risk and Asset Management, World Scientific, 2018 ( publisher site, preprint on arXiv)

Cohen, S.N. Datadriven nonlinear expectations for statistical uncertainty in decisions , Electronic Journal of Statistics, 2017, 11(1):18581889 ( final version, preprint on arXiv)

Cohen, S.N. Uncertainty and filtering of hidden Markov models in discrete time , Probability, Uncertainty and Quantitative Risk, 2020, 5:Article 4 ( final version, preprint on arXiv)

Cohen, S.N. and Fedyashov, V. Classical Adjoints for Ergodic Stochastic Control , preprint on arXiv

Cohen, S.N. and Fedyashov, V. Nash equilibria for non zerosum ergodic stochastic differential games , Journal of Applied Probability, 2017, 54(4):977994 ( final version, preprint on arXiv)

Allan, A.L. and Cohen, S.N. Ergodic Backward Stochastic Difference Equations , Stochastics, 2016 (final version, preprint on arXiv)

Cohen, S.N. and Fedyashov, V. Ergodic BSDEs with jumps and time dependence , preprint on arXiv

Cohen, S.N. and Elliott, R.J. Filters and smoothers for selfexciting Markov modulated counting processes , preprint on arXiv

Cohen, S.N. A martingale representation theorem for a class of jump processes , preprint on arXiv

An, L., Cohen, S.N. and Ji, S. Reflected Backward Stochastic Difference Equations and Optimal Stopping Problems under gexpectation , preprint on arXiv

Cohen, S.N., Ji, S. and Yang, S. A generalized Girsanov transformation of finite state stochastic processes in discrete time , Statistics and Probability Letters, 2014, 84:3339 (final version)

Cohen, S.N. Undiscounted Markov chain BSDEs to stopping times , Journal of Applied Probability, 2014, 51(1) (preprint on arXiv)

Cohen, S.N. and Hu, Y. Ergodic BSDEs driven by Markov Chains , SIAM Journal of Control and Optimization, 2013, 51(5):41384168 (final version, preprint on arXiv)

Cohen, S.N. and Szpruch, L. On Markovian Solutions to Markov Chain BSDEs , Numerical Algebra, Control and Optimization, 2012, 2(2):257269 (final version, preprint on arXiv, local pdf)

Cohen, S.N. and Szpruch, L. A limit order book model for latency arbitrage, Mathematics and Financial Economics, 2012, 6(3):211227 (final version, preprint on arXiv, SSRN)

Cohen, S.N. Quasisure analysis, aggregation and dual representations of sublinear expectations in general spaces , Electronic Journal of Probability, 2012, 17:Article 62 (final version, preprint on arXiv)

Cohen, S.N. Chaos representations for Marked Point Processes , Communications on Stochastic Analysis, 2012, 6(2):263279 (final version, preprint on arXiv)

Cohen, S.N., Ji, S. and Peng, S. Sublinear Expectations and Martingales in discrete time , submitted (preprint on arXiv)

Cohen, S.N. Representing filtration consistent nonlinear expectations as gexpectations in general probability spaces, Stochastic Processes and their Applications, 2012, 122(4):16011626, (available at ScienceDirect, preprint on arXiv)

Elliott, R.J., Siu, T.K. and Cohen, S.N.Backward Stochastic Difference Equations for Dynamic Convex Risk Measures on a Binomial Tree, Journal of Applied probability, 2015, 52(3) (local pdf)

Cohen, S.N. Pricing and risk measurement with Backward Stochastic Differential Equations, invited contribution in AustMS Gazette 37(3):168169

Cohen, S.N. What risk measures are time consistent for all filtrations?, submitted (preprint on arXiv)

Cohen, S.N. and Elliott, R.J. Existence, Uniqueness and Comparisons for BSDEs in General Spaces, Annals of Probability, 40(5):22642297 (available at ProjectEuclid, arXiv)

Pearce, C.E.M, Cohen, S.N. and Tuke, S.J. New Zealand palaeodemography: Pitfalls and possibilities, in BIOMAT 2009: International Symposium on Mathematical and Computational Biology (Brasilia 16 August 2009) Ed. R.P. Mondaini, World Scientific 2010, 194212

Cohen, S.N. and Elliott, R.J. Backward Stochastic Difference Equations and nearlytimeconsistent nonlinear expectations, SIAM Journal of Control and Optimization, 49:125139 (final version, preprint pdf)

Cohen, S.N., Elliott, R.J. and Pearce, C.E.M. A general comparison theorem for Backward Stochastic Differential Equations , Advances in Applied Probability, September 2010, 42(3):878898 (available at Project Euclid, preprint pdf )

Cohen, S.N. and Elliott, R.J. A general theory of Finite State Backward Stochastic Difference Equations, Stochastic Processes and their Applications, April 2010, 120(4):442466 (final version at ScienceDirect, preprint on arXiv)

Cohen, S.N. and Elliott, R.J., Comparison theorems for finite state backward stochastic differential equations, in Contemporary Quantitative Finance  Essays in honour of Eckhard Platen, Chiarella, C and Novikov, A (eds), Springer, 2010

Cohen, S.N. and Elliott, R.J. Backward Stochastic Difference Equations with Finite States, in Stochastic Analysis with Financial Applications, Hong Kong 2009, A. KohatsuHiga, N. Privault and S.J. Sheu (eds), Birkhauser, 2010, 3343

Cohen, S.N. and Elliott, R.J., Comparisons for Backward Stochastic Differential Equations on Markov Chains and related NoArbitrage Conditions, Annals of Applied Probability, January 2010, 20(1):267311, (available at ProjectEuclid, arXiv)

Cohen, S.N., Elliott, R.J. and Pearce, C.E.M. A Ring Isomorphism and corresponding Pseudoinverses, (preprint on arXiv)

Cohen, S.N. and Elliott, R.J., Solutions of Backward Stochastic Differential Equations on Markov Chains, Communications on Stochastic Analysis, August 2008 2(2):251262 (final version, preprint on arXiv)

Cohen, S.N., Gains, claims and pains: Mathematical and Statistical Problems in Occupational Health and Safety, honours thesis, University of Adelaide, 2007 (pdf )

Cohen, S.N, Forbes, B. and Lee, P. First Steps Toward a New OptimisedSampling Index Portfolio, presented at the 2nd Australan Business and Behavioural Sciences Association International Conference, Adelaide, (2006)
more to come soon...