Samuel Cohen

University Research Lecturer in Mathematical Finance at the Mathematical Institute, University of Oxford

Sam Cohen is a University Research Lecturer in the Mathematical Institute at Oxford, an Associate Member of the Oxford-Man Institute, and a College Lecturer at Exeter College.

His main research interests are in the areas of stochastic analysis and mathematical finance. In particular, he works with Backward Stochastic Differential Equations (BSDEs), which arise in various areas in stochastic control and mathematical finance. He is interested in problems associated with decision making in the presence of risk and uncertainty.

His doctoral work at the University of Adelaide concerned Backward Stochastic Differential Equations in non-classical situations, namely where randomness can arise from processes other than a Brownian motion. He also considered the corresponding equations in discrete time.

His work at Oxford concerns various extensions of these equations to allow for different forms of uncertainty, and for possible forms of time-inconsistency.

Working Paper

Cohen, S.N. (2013). A martingale representation theorem for a class of jump processes.
Cohen, S.N. and Elliott, R.J. (2013). Filters and smoothers for self-exciting Markov modulated counting processes.
An, L., Cohen, S.N. and Ji, S. (2013). Reflected backward stochastic difference equations and optimal stopping problems under g-expectation.
Cohen, S.N., Elliott, R.J. and Siu, T.K. (2011). Backward stochastic difference equations for dynamic convex risk measures on a binomial tree.

Published Research

Cohen, S.N., Ji, S. and Yang, S. (2014). A generalized Girsanov transformation of finite state stochastic processes in discrete time. Statistics and Probability Letters. 84. P33-39.
Cohen, S.N. (2012). Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces. Stochastic processes and their Applications. 122 (4). 1601-1626.
Cohen, S.N. and Elliott, R.J. (2011). Existence, Uniqueness and Comparisons for BSDEs in General Spaces. Annals of Probability. 40 (5). 2264-2297.
Cohen, S.N. and Elliott, R.J. (2011). Backward Stochastic Difference Equations and nearly-time-consistent nonlinear expectations. SIAM Journal of Control and Optimization. 49 (1). 125-139.
Cohen, S.N., Elliott, R.J. and Pearce, C.E.M. (2010). A general comparison theorem for backward stochastic differential equations. Advances in Applied Probability. 42 (3). 878-898.