Publications

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

Semi-mathematical 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. BSDE-SPDE 2017. Springer Proceedings in Mathematics & Statistics, vol 289, 2019 (at Springer)

Papers

  • Cohen, S.N., Reisinger, C. and Wang, S. Arbitrage-free neural-SDE market models , preprint on arXiv
  • Cohen, S.N., Snow, D. and Szpruch, L. Black-box 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):345-373 (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
  • Allan, A.L. and Cohen, S.N. Pathwise Stochastic Control with Applications to Robust Filtering , Annals of Applied Probability, 2020, 30(5):2274-2310 (available at publisher, preprint on arXiv)
  • Cohen, S.N., Henckel, T., Menzies, G.D., Muhle-Karbe, J. and Zizzo, D.J. Switching cost models as hypothesis tests , Economics Letters, 2019, 175:32-35 (available at publisher, 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. BSDE-SPDE 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, 1:1-8 (available at publisher)
  • Allan, A.L. and Cohen, S.N. Parameter Uncertainty in the Kalman-Bucy Filter , SIAM Control & Optimization, 2019, 57(3):1646-1671) (available at publisher, preprint on arXiv)
  • 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. Data-driven nonlinear expectations for statistical uncertainty in decisions , Electronic Journal of Statistics, 2017, 11(1):1858-1889 ( 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 zero-sum ergodic stochastic differential games , Journal of Applied Probability, 2017, 54(4):977-994 ( 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 self-exciting 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 g-expectation , 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, 84:33-39 (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):4138-4168 (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):257-269 (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):211-227 (final version, preprint on arXiv, SSRN)
  • Cohen, S.N. Quasi-sure 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):263-279 (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 g-expectations in general probability spaces, Stochastic Processes and their Applications, 2012, 122(4):1601-1626, (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):168-169
  • 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):2264-2297 (available at  ProjectEuclid, arXiv)
  • 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 (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):442-466 (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. 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)
  • 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):251-262 (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 Optimised-Sampling Index Portfolio, presented at the 2nd Australan Business and Behavioural Sciences Association International Conference, Adelaide,  (2006)

more to come soon...