Emel Savku

Academic Interests

Stochastic Optimal Control, Reinforcement Learning, Delay Equations, Anticipated BSDEs, Game Theory, Finance

Background

Post-Doctorate

• 04/03/2019 - 31/08/2020 Ecole Polytechnique, CMAP, France
• 04/06/2018 - 03/08/2018 Ecole Polytechnique, CMAP, French Embassy Young Visiting Researcher Fellowship, France

Adjunct Faculty

• 29/01/2018 - 14/05/2018 Bilkent University, Ankara, Turkey, Part-time
• 18/10/2017- 29/12/2017 (TEDU),  Ankara, Turkey, Part-time

Research and Teaching Assistant

• 2011 - 2017 Middle East Technical University (METU), Ankara, Turkey, Full-time

Publications

• Savku E. and Weber, GW, Memory and Anticipation: Two main theorems for Markov regime-switching stochastic processes (2020). Submitted.
• Laurelle S., Rosenbaum M. and Savku E.,  Assessing MiFID 2 Regulation on Tick Sizes: A Transaction Costs Analysis Viewpoint , Market Microstructure and Liquidity, Vol. 1, 2050003 (27 pages) @ World Scientific Publishing Company (2020).
  DOI: 10.1142 / S2382626620500033
• Savku E. and Weber G.-W.,  Stochastic Differential Games for Optimal Investment Problems in a Markov Regime-Switching Jump-Diffusion Market , Ann Oper Res (2020). DOI: 10.1007 / s10479-020-03768-5 
• Savku E. and Weber G.-W.,  A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance , Journal of Optimization Theory and Applications, Springer, vol. 179 (2), pages 696-721, (2018). DOI: 10.1007 / s10957-017-1159-3

Book Chapters

• Savku E., Fundamentals of Market Making via Stochastic Optimal Control (2021). Submitted.
• Savku E. and Weber G.-W., A Regime-Switching Model with Applications to Finance: Markov and Non-Markov Cases. Dynamic Economic Problems with Regime Switches, 13, Springer Nature Switzerland AG, (2020). DOI: 10.1007 / 978-3-030-54576-5_13
• Savku E., Azevedo N. and Weber G.-W., Optimal Control of Stochastic Hybrid Models in the Framework of Regime Switches. International Conference on Dynamics, Games and Science, DGS 2014: Modeling, Dynamics, Optimization and Bioeconomics II, Springer Proceedings in Mathematics and Statistics Series Volume 195, pp 371-387, (2017). DOI: 10.1007 / 978-3-319-55236-1_18