Staff profile
Overview
https://apps.dur.ac.uk/biography/image/677
Affiliation | Telephone |
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Assistant Professor in the Department of Mathematical Sciences |
Research interests
- Stochastic Analysis
- Rough Path Theory
- Financial Mathematics
Publications
Journal Article
- A càdlàg rough path foundation for robust financeAllan, 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 approachAllan, 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 barriersAllan, 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 modelsAllan, 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 filteringAllan, 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 FilterAllan, 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 equationsAllan, A. L., & Cohen, S. N. (2016). Ergodic backward stochastic difference equations. Stochastics, 88(8), 1207-1239. https://doi.org/10.1080/17442508.2016.1224881
Supervision students
Jost Pieper
1Prob