Status:
+44 1865 615301
Research groups:
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research interests:
My research interest lies in the fields of mathematical finance, stochastic analysis and statistics. I am interested to understand how statistical information (i.e. sufficient statistics) can be used to make an optimal strategy under exploration-exploitation trade-off with consistency in the decision. This problem leads to a number of areas in mathematics such as nonlinear expectations, Backward Stochastic Differential Equations (BSDE) and Snell's envelope theory. My current research is to generalise Gittins' index theorem to the set up under nonlinear expectation. This approach allows us to obtain consistency in the optimal decision under statistical learning.
Teaching:
HT 2017: Part B Martingales Through measure theory (TA)
LT 2018: Part B Mathematical Models of Financial Derivatives (TA)
LT 2018: Part B Continuous Martingales and Stochastic Calculus (TA)
LT 2018: MSc Machine Learning (TA)
HT 2018: MSc Financial Derivative (Tutor)
HT 2018: Part B Probability, Measure and Martingales (Tutor)
LT 2019: Part B Continuous Martingales and Stochastic Calculus (Tutor)
Major / recent publications:
- S.N. Cohen and T. Treetanthiploet, Gittins' theorem under uncertainty, preprint available at https://arxiv.org/abs/1907.05689
- S.N. Cohen and T. Treetanthiploet, Asymptotic Randomised Control with applications to bandits, preprint available at https://arxiv.org/abs/2010.07252