Dr Samuel Cohen

I am a Junior Research Fellow in Mathematics at St John's College, working with the Mathematical and Computational Finance Group. My main research interests are in the areas of stochastic analysis and mathematical finance. In particular, I work with Backward Stochastic Differential Equations (BSDEs), which arise in various areas in stochastic control and mathematical finance. I am interested in problems associated with decision making in the presence of risk and uncertainty.

A key problem in risk-averse decision making is time-consistency - "How can I be sure that tomorrow's decisions will satisfy today's objectives?" To guarantee time-consistency, we must ensure that the objective pursued satisfies certain properties. These properties, in general, are satisfied by solutions to BSDEs.

For more details, see my Personal Site.