Emel Savku
Postdoctoral Fellow
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Risk and Stochastics
Norwegian version of this page
Email
emelsa@math.uio.no
Room
1003
Username
Visiting address
Moltke Moes vei 35
Niels Henrik Abels hus
0851 Oslo
Postal address
Postboks 1053 Blindern
0316 Oslo
Other affiliations
The International Summer School
(Student)
Teaching Autumn 2021
STK-MAT3710/4710 Probability Theory
https://www.uio.no/studier/emner/matnat/math/STK-MAT3710/h21/index.html
Academic Interests
Stochastic Optimal Control, Reinforcement Learning, Delay Equations, Anticipated BSDEs, Game Theory, Finance
Background
Abroad Visits
- 04/03/2019 - 31/08/2020 Ecole Polytechnique, CMAP, Post-Doctorate, 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., A stochastic control approach for constrained stochastic differential games with jumps and regimes (2022). Submitted.
- 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, Accepted, Operations Research - New Paradigms and Emerging Applications, CRC Taylor and Francis (2021).
- 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
Publications
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Savku, Emel (2021). An Application of Stochastic Maximum Principle with Regimes and Memory.
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Savku, Emel (2021). Stochastic Optimal Control Techniques for a Regime-Switching Model with Applications in Finance.
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Savku, Emel (2021). A Nonzero-sum Game Formulation for a Markov Regime-Switching Portfolio Strategy.
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Savku, Emel (2021). Stochastic Maximum Principle with Regimes and Memory.
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Savku, Emel (2021). Stochastic Differential Games via Dynamic Programming Principle with Regimes.
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Savku, Emel (2021). Portfolio Strategies via Stochastic Differential Games with Regimes.
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Savku, Emel (2021). Stochastic Differential Games within the framework of Regime-Switches.
Published Sep. 9, 2020 10:46 AM
- Last modified Mar. 15, 2022 11:13 PM