Stochastic Optimal Control, Machine Learning, Delay Equations, Anticipated BSDEs, Game Theory, Finance
- 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
- 29/01/2018-14/05/2018 Bilkent University, Ankara, Turkey, Part-time
- 18/10/2017-29/12/2017 Türk Eğitim Derneği University (TEDU), Ankara, Turkey, Part-time
Research and Teaching Assistant
- 2011-2017 Middle East Technical University (METU), Ankara, Turkey, Full-time
- Savku E. and Weber, G.W., 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. 5, No. 1, 2050003 (27 pages) @ World Scientific Publishing Company (2020).
- 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
- 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