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. Mathematics (2023), 11, 3043. DOI:10.3390/math11143043
- 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 312, 1171–1196 (2022). 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., Deep-Control of Memory via Stochastic Optimal Control and Deep Learning. accepted 2023, will appear in Mathematical Methods for Engineering Applications, Springer - Proceedings of ICMASE 2023, Madrid, Spain, July 12–14.
- Savku E., Fundamentals of Market Making via Stochastic Optimal Control, Operations Research - New Paradigms and Emerging Applications, CRC Taylor and Francis (2021). DOI: 10.1201/9781003324508-10
- 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