Staff profile

• Stochastic Analysis
• Rough Path Theory
• Financial Mathematics

Journal Article

• Pathwise Convergence of the Euler Scheme for Rough and Stochastic Differential Equations
  
  Allan, A., Kwossek, A., Liu, C., & Prömel, D. (in press). Pathwise Convergence of the Euler Scheme for Rough and Stochastic Differential Equations. Journal of the London Mathematical Society.
• A càdlàg rough path foundation for robust finance
  
  Allan, A. L., Liu, C., & Prömel, D. J. (2024). A càdlàg rough path foundation for robust finance. Finance and Stochastics, 28(1), 215-257. https://doi.org/10.1007/s00780-023-00522-0
• Model‐free portfolio theory: A rough path approach
  
  Allan, A. L., Cuchiero, C., Liu, C., & Prömel, D. J. (2023). Model‐free portfolio theory: A rough path approach. Mathematical Finance, 33(3), 709-765. https://doi.org/10.1111/mafi.12376
• Càdlàg rough differential equations with reflecting barriers
  
  Allan, A. L., Liu, C., & Prömel, D. J. (2021). Càdlàg rough differential equations with reflecting barriers. Stochastic Processes and Their Applications, 142, 79-104. https://doi.org/10.1016/j.spa.2021.08.004
• Robust filtering and propagation of uncertainty in hidden Markov models
  
  Allan, A. L. (2021). Robust filtering and propagation of uncertainty in hidden Markov models. Electronic Journal of Probability, 26, Article 73. https://doi.org/10.1214/21-ejp633
• Pathwise stochastic control with applications to robust filtering
  
  Allan, A. L., & Cohen, S. N. (2020). Pathwise stochastic control with applications to robust filtering. The Annals of Applied Probability, 30(5), 2274-2310. https://doi.org/10.1214/19-aap1558
• Parameter Uncertainty in the Kalman--Bucy Filter
  
  Allan, A. L., & Cohen, S. N. (2019). Parameter Uncertainty in the Kalman--Bucy Filter. SIAM Journal on Control and Optimization, 57(3), 1646-1671. https://doi.org/10.1137/18m1167693
• Ergodic backward stochastic difference equations
  
  Allan, A. L., & Cohen, S. N. (2016). Ergodic backward stochastic difference equations. Stochastics, 88(8), 1207-1239. https://doi.org/10.1080/17442508.2016.1224881