Staff profile

Journal Article

• 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
• 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
• 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
• Allan, A. L. (2021). Robust filtering and propagation of uncertainty in hidden Markov models. Electronic Journal of Probability, 26, 1-37. https://doi.org/10.1214/21-ejp633
• Allan, A. L., & Cohen, S. N. (2020). Pathwise stochastic control with applications to robust filtering. Annals of Applied Probability, 30(5), 2274-2310. https://doi.org/10.1214/19-aap1558
• 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
• Allan, A. L., & Cohen, S. N. (2016). Ergodic backward stochastic difference equations. Stochastics: An International Journal of Probability and Stochastic Processes, 88(8), 1207-1239. https://doi.org/10.1080/17442508.2016.1224881