Andrew Allan - Durham University

Andrew Allan

Assistant Professor, Probability

DPhil University of Oxford

Affiliations
Affiliation	Room number	Telephone
Assistant Professor, Probability in the Department of Mathematical Sciences	MCS2085	+44 (0) 191 33 43061

Research groups

Probability

Publications

Journal Article

Allan, Andrew L., Liu, Chong & Prömel, David J. (Accepted). A Càdlàg Rough Path Foundation for Robust Finance. Finance and Stochastics
Allan, Andrew L., Cuchiero, Christa, Liu, Chong & Prömel, David J. (2023). Model‐free portfolio theory: A rough path approach. Mathematical Finance 33(3): 709-765.
Allan, Andrew L., Liu, Chong & Prömel, David J. (2021). Càdlàg rough differential equations with reflecting barriers. Stochastic Processes and their Applications 142: 79-104.
Allan, Andrew L. (2021). Robust filtering and propagation of uncertainty in hidden Markov models. Electronic Journal of Probability 26: 73, 1-37.
Allan, Andrew L. & Cohen, Samuel N. (2020). Pathwise stochastic control with applications to robust filtering. The Annals of Applied Probability 30(5): 2274-2310.
Allan, Andrew L. & Cohen, Samuel N. (2019). Parameter Uncertainty in the Kalman--Bucy Filter. SIAM Journal on Control and Optimization 57(3): 1646-1671.
Allan, Andrew L. & Cohen, Samuel N. (2016). Ergodic backward stochastic difference equations. Stochastics 88(8): 1207-1239.