Emel Savku

Postdoctoral Fellow - Risk and Stochastics (SECTION 3)

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Email emelsa@math.uio.no

Room 1003

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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)

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Teaching Autumn 2021

STK-MAT3710/4710 Probability Theory

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

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

Research and Teaching Assistant

Savku E., A stochastic control approach for constrained stochastic differential games with jumps and regimes. Submitted.
Savku E., Memory and Anticipation: Two main theorems for Markov regime-switching stochastic processes. 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

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

Tags: Stochastic Optimal Control, Machine Learning, Finance

Savku, Emel (2022). An Application of Markov Regime-Switching Models: Bancassurance.
Savku, Emel (2022). A Constrained Nonzero-Sum Game Application: Bancassurance.
Savku, Emel (2022). An Application of Stochastic Differential Games with Lagrange Multipliers: Bancassurance.
Savku, Emel (2022). A Constrained Nonzero-Sum Stochastic Differential Game Application.
Savku, Emel (2022). An Application of Stochastic Differential Games with Lagrange Multipliers:Bancassurance.
Savku, Emel (2022). A constrained stochastic differential game application: Bancassurance.
Savku, Emel (2021). An Application of Stochastic Maximum Principle with Regimes and Memory.
Savku, Emel (2021). Stochastic Optimal Control Techniques for a Regime-Switching Model with Applications in Finance.
Savku, Emel (2021). A Nonzero-sum Game Formulation for a Markov Regime-Switching Portfolio Strategy.
Savku, Emel (2021). Stochastic Maximum Principle with Regimes and Memory.
Savku, Emel (2021). Stochastic Differential Games via Dynamic Programming Principle with Regimes.
Savku, Emel (2021). Portfolio Strategies via Stochastic Differential Games with Regimes.
Savku, Emel (2021). Stochastic Differential Games within the framework of Regime-Switches.

Published Sep. 9, 2020 10:46 AM - Last modified Sep. 12, 2022 1:01 PM