Publications

The following is a list of my publications (most recent first), with links to journals/preprints where available. It's usually up-to-date, but see also Google scholar

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

• Jiang, D., Sirignano, J., and Cohen, S.N., Global Convergence of Deep Galerkin and PINNs Methods for Solving Partial Differential Equations (preprint on arXiv)
• Cohen, S.N. and Fausti, E., Exponential contractions and robustness for approximate Wonham filters (preprint on arXiv)
• Cartea, A., Cohen, S.N., Graumans, R., Labyad, S., Sanchez-Betancourt, L., and van Veldhuijzen, L., Statistical Predictions of Trading Strategies in Electronic Markets (preprint on SSRN)
• Cohen, S.N., Liu, S., Malpass, W., Mantoan, G., Nesheim, L., de Paula, A., Scott, C., Small, E. and Yang, L., Nowcasting with signature methods (preprint on arXiv)
• Cohen, S.N., Sabate Vidales, M., Siska, D., and Szpruch, L., Inefficiency of CFMs: hedging perspective and agent-based simulations (preprint on arXiv)
• Houssiau, F., Cohen, S.N., Szpruch, L., Daniel, O., Lawrence, M.G., Mitra, R., Wilde, H. and Mole, C., A framework for auditable synthetic data generation (preprint on arXiv)
• Houssiau, F., Jordon, J., Mole, C., Rangel-Smith, C., Geddes, J., Elliott, A., Daniel, O., Cohen, S.N. and Szpruch, L., TAPAS: a Toolbox for Adversarial Privacy Auditing of Synthetic Data, {SyntheticData4ML Workshop, NeurIPS 2022} (preprint on arXiv)
• Cohen, S.N., Reisinger, C. and Wang, S., Hedging option books using neural-SDE market models (preprint on arXiv)
• Jordon, J., Szpruch, L., Houssiau, F., Bottarelli, M., Cherubin, G., Maple, C., Cohen, S.N. and Weller, A., Synthetic data -- what, why and how? (published as a Royal society report, preprint on arXiv)
• Cohen, S.N., Jiang, D., and Sirignano, J., Neural Q-learning for solving elliptic PDEs (preprint on arXiv)
• Cohen, S.N., Reisinger, C., and Wang, S., Estimating risks of option books using neural-SDE market models, Journal of Computational Finance, 26(3):33-72, 2022 (available from publisher, preprint on arXiv)
• Cartea, A, Cohen, S.N., and Labyad, S., Gradient-based estimation of linear Hawkes processes with general kernels (preprint on arXiv)
Cao, H., Cohen S.N and Szpruch, L., Identifiability in inverse reinforcement learning, Advances in Neural Information Processing Systems 34 (NeurIPS 2021) (available from open review, preprint on arXiv)
• 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, to appear in Machine Learning in Financial Markets: A Guide to Contemporary Practice, Capponi, C. and Lehalle, C.-A. (Eds), Cambridge University Press, 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 , Electronic Journal of Probability, 27:1--48, 2022 (available at publisher, 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)