Papers & Publications

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

  • Cohen, S.N. and Szpruch, L. On Markovian Solutions to Markov Chain BSDEs , submitted (arxiv, local pdf)
  • Cohen, S.N. and Szpruch, L. A limit order book model for latency arbitrage , submitted (preprint on arxiv, SSRN, local pdf)
  • Cohen, S.N. Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces , submitted (preprint on arxiv, local pdf)
  • Cohen, S.N. Chaos representations for Marked Point Processes , submitted (preprint on arxiv, local pdf)
  • Cohen, S.N., Ji, S. and Peng, S. Sublinear Expectations and Martingales in discrete time , submitted (preprint on arxiv, local pdf)
  • Cohen, S.N. Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces, submitted (preprint on arxiv, local pdf)
  • Elliott, R.J., Siu, T.K. and Cohen, S.N.Backward Stochastic Difference Equations for Dynamic Convex Risk Measures on a Binomial Tree, submitted (local pdf)
  • Cohen, S.N. Pricing and risk measurement with Backward Stochastic Differential Equations, invited contribution in AustMS Gazette 37(3):168-169
  • Cohen, S.N. What risk measures are time consistent for all filtrations?, submitted (preprint on arXiv, local pdf)
  • Cohen, S.N. and Elliott, R.J. Existence, Uniqueness and Comparisons for BSDEs in General Spaces, to appear in Annals of Probability (preprint on arXiv, local pdf)
  • Cohen, S.N. and Elliott, R.J. Time consistency and moving horizons for risk measures , submitted (preprint on arXiv, local pdf)
  • 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 1-6 August 2009) Ed. R.P. Mondaini, World Scientific 2010, 194-212
  • Cohen, S.N. and Elliott, R.J. Backward Stochastic Difference Equations and nearly-time-consistent nonlinear expectations, SIAM Journal of Control and Optimization, 49:125-139 (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):878-898 (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):442-466 (final version at ScienceDirect , preprint on arXiv, local preprint  pdf)
  • 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. Kohatsu-Higa, N. Privault and S.-J. Sheu (eds), Birkhauser, 2010, 33-43
    Cohen, S.N. and Elliott, R.J., Comparisons for Backward Stochastic Differential Equations on Markov Chains and related No-Arbitrage Conditions, Annals of Applied Probability, January 2010, 20(1):267-311, (available at  ProjectEuclid , arXiv, local pdf)
  • Cohen, S.N., Elliott, R.J. and Pearce, C.E.M. A Ring Isomorphism and corresponding Pseudoinverses , (preprint on arXiv, local pdf)
  • Cohen, S.N. and Elliott, R.J., Solutions of Backward Stochastic Differential Equations on Markov Chains, Communications on Stochastic Analysis, August 2008 2(2):251-262 (preprint on arXiv, local pdf)
  • 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 Optimised-Sampling Index Portfolio, presented at the 2nd Australan Business and Behavioural Sciences Association International Conference, Adelaide,  (2006)

more to come soon...