Alexander M. G. Cox

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All published works

Action	Title	Year	Authors
+ PDF Chat	Linear and uniform in time bound for the binary branching model with Moran type interactions	2025	Alexander M. G. Cox E Horton Denis Villemonais
+	A Bayesian inverse approach to proton therapy dose delivery verification	2024	Alexander M. G. Cox Laura Hattam Andreas E. Kyprianou Tristan Pryer
+ PDF Chat	Controlled measure-valued martingales: A viscosity solution approach	2024	Alexander M. G. Cox Sigrid Källblad Martin Larsson Sara Svaluto‐Ferro
+	Optimal control of martingales in a radially symmetric environment	2023	Alexander M. G. Cox Benjamin A. Robinson
+ PDF Chat	SDEs with no strong solution arising from a problem of stochastic control	2023	Alexander M. G. Cox Benjamin A. Robinson
+	A Bayesian Inverse Approach to Proton Therapy Dose Delivery Verification	2023	Alexander M. G. Cox Laura Hattam Andreas E. Kyprianou Tristan Pryer
+	Delayed switching identities and multi-marginal solutions to the Skorokhod embedding problem	2023	Alexander M. G. Cox Annemarie Grass
+	Robust option pricing with volatility term structure -- An empirical study for variance options	2023	Alexander M. G. Cox Annemarie Grass
+ PDF Chat	Monte Carlo Methods for the Neutron Transport Equation	2022	Alexander M. G. Cox Simon C. Harris Andreas E. Kyprianou Minmin Wang
+	SDEs with no strong solution arising from a problem of stochastic control	2022	Alexander M. G. Cox Benjamin A. Robinson
+	Binary branching processes with Moran type interactions	2022	Alexander M. G. Cox E Horton Denis Villemonais
+	Controlled Measure-Valued Martingales: a Viscosity Solution Approach	2021	Alexander M. G. Cox Sigrid Källblad Martin Larsson Sara Svaluto‐Ferro
+ PDF Chat	Model-independent pricing with insider information: a skorokhod embedding approach	2021	Beatrice Acciaio Alexander M. G. Cox Martin Huesmann
+	Echo State Networks for Reinforcement Learning.	2021	Allen Hart Kevin R. Olding Alexander M. G. Cox Olga Isupova Jonathan Dawes
+ PDF Chat	Stochastic Methods for Neutron Transport Equation III: Generational Many-to-One and $k_{\texttt{eff}}$	2021	Alexander M. G. Cox Emma Horton Andreas E. Kyprianou Denis Villemonais
+	Using Echo State Networks to Approximate Value Functions for Control	2021	Allen Hart Kevin R. Olding Alexander M. G. Cox Olga Isupova Jonathan Dawes
+	Controlled Measure-Valued Martingales: a Viscosity Solution Approach	2021	Alexander M. G. Cox Sigrid Källblad Martin Larsson Sara Svaluto‐Ferro
+	Optimal control of martingales in a radially symmetric environment	2021	Alexander M. G. Cox Benjamin A. Robinson
+	Switching Identities by Probabilistic Means	2020	J. Backoff Alexander M. G. Cox A. Grass Martin Huesmann
+	Monte-Carlo Methods for the Neutron Transport Equation	2020	Alexander M. G. Cox Simon C. Harris Andreas E. Kyprianou Minmin Wang
+ PDF Chat	The geometry of multi-marginal Skorokhod Embedding	2019	Mathias Beiglböck Alexander M. G. Cox Martin Huesmann
+ PDF Chat	Multi-species Neutron Transport Equation	2019	Alexander M. G. Cox Simon C. Harris Emma Horton Andreas E. Kyprianou
+	The structure of non-linear martingale optimal transport problems	2019	Alexander M. G. Cox Matija Vidmar
+	Stochastic Methods for Neutron Transport Equation III: Generational many-to-one and $k_\texttt{eff}$	2019	Alexander M. G. Cox Emma Horton Andreas E. Kyprianou Denis Villemonais
+ PDF Chat	Robust hedging of options on a leveraged exchange traded fund	2018	Alexander M. G. Cox Sam M. Kinsley
+	Discretisation and duality of optimal Skorokhod embedding problems	2018	Alexander M. G. Cox Sam M. Kinsley
+ PDF Chat	The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach	2018	Alexander M. G. Cox Jan Obłój Nizar Touzi
+ PDF Chat	Martingale Optimal Transport with Stopping	2018	Erhan Bayraktar Alexander M. G. Cox Yavor Stoev
+	Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem	2017	Mathias Beiglböck Alexander M. G. Cox Martin Huesmann Sigrid Källblad
+	The geometry of multi-marginal Skorokhod Embedding	2017	Mathias Beiglboeck Alexander M. G. Cox Martin Huesmann
+	The geometry of multi-marginal Skorokhod Embedding	2017	Mathias Beiglboeck Alexander M. G. Cox Martin Huesmann
+	Discretisation and Duality of Optimal Skorokhod Embedding Problems	2017	Alexander M. G. Cox Sam M. Kinsley
+	Robust Hedging of Options on a Leveraged Exchange Traded Fund	2017	Alexander M. G. Cox Sam M. Kinsley
+	Martingale optimal transport with stopping	2017	Erhan Bayraktar Alexander M. G. Cox Yavor Stoev
+	Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem	2017	Mathias Beiglböck Alexander M. G. Cox Martin Huesmann Sigrid Källblad
+ PDF Chat	Model-Independent Bounds for Asian Options: A Dynamic Programming Approach	2017	Alexander M. G. Cox Sigrid Källblad
+ PDF Chat	Martingale Optimal Transport with Stopping	2017	Erhan Bayraktar Alexander M. G. Cox Yavor I. Stoev
+	Robust Hedging of Options on a Leveraged Exchange Traded Fund	2017	Alexander M. G. Cox Sam M. Kinsley
+	The geometry of multi-marginal Skorokhod Embedding	2017	Mathias Beiglboeck Alexander M. G. Cox Martin Huesmann
+	Martingale optimal transport with stopping	2017	Erhan Bayraktar Alexander M. G. Cox Yavor I. Stoev
+	Discretisation and Duality of Optimal Skorokhod Embedding Problems	2017	Alexander M. G. Cox Sam M. Kinsley
+ PDF Chat	Optimal transport and Skorokhod embedding	2016	Mathias Beiglböck Alexander M. G. Cox Martin Huesmann
+	Model-independent pricing with insider information: a Skorokhod embedding approach	2016	Beatrice Acciaio Alexander M. G. Cox Martin Huesmann
+	Embedding laws in diffusions by functions of time	2015	Alexander M. G. Cox Goran Peškir
+	Model-independent bounds for Asian options: a dynamic programming approach	2015	Alexander M. G. Cox Sigrid Källblad
+	The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach	2015	Alexander M. G. Cox Jan Obłój Nizar Touzi
+	On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale	2015	Alexander M. G. Cox Jan Obłój
+	Pathwise super-replication via Vovk's outer measure	2015	Mathias Beiglböck Alexander M. G. Cox Martin Huesmann Nicolas Perkowski David J. Prömel
+	Pathwise super-replication via Vovk's outer measure	2015	Mathias Beiglböck Alexander M. G. Cox Martin Huesmann Nicolas Perkowski David J. Prömel
+	Model-independent bounds for Asian options: a dynamic programming approach	2015	Alexander M. G. Cox Sigrid Källblad
+	The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach	2015	Alexander M. G. Cox Jan Obłój Nizar Touzi
+	Robust pricing and hedging under trading restrictions and the emergence of local martingale models	2014	Alexander M. G. Cox Zhaoxu Hou Jan Obłój
+ PDF Chat	UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES	2014	Alexander M. G. Cox David Hobson Jan Obłój
+ PDF Chat	From minimal embeddings to minimal diffusions	2014	Alexander M. G. Cox Martin Klimmek
+	Robust pricing and hedging under trading restrictions and the emergence of local martingale models	2014	Alexander M. G. Cox Zhaoxu Hou Jan Obłój
+ PDF Chat	MODEL‐INDEPENDENT NO‐ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS	2013	Alexander M. G. Cox Christoph Hoeggerl
+	Optimal robust bounds for variance options	2013	Alexander M. G. Cox Jiajie Wang
+	Optimal Transport and Skorokhod Embedding	2013	Mathias Beiglboeck Alexander M. G. Cox Martin Huesmann
+	From minimal embeddings to minimal diffusions	2013	Alexander M. G. Cox Martin Klimmek
+ PDF Chat	Root’s barrier: Construction, optimality and applications to variance options	2013	Alexander M. G. Cox Jiajie Wang
+	Model-independent no-arbitrage conditions on American put options	2013	Alexander M. G. Cox Christoph Hoeggerl
+	Optimal robust bounds for variance options	2013	Alexander M. G. Cox Jiajie Wang
+	Optimal Transport and Skorokhod Embedding	2013	Mathias Beiglboeck Alexander M. G. Cox Martin Huesmann
+	From minimal embeddings to minimal diffusions	2013	Alexander M. G. Cox Martin Klimmek
+	Model-independent no-arbitrage conditions on American put options	2013	Alexander M. G. Cox Christoph Hoeggerl
+ PDF Chat	Robust pricing and hedging of double no-touch options	2011	Alexander M. G. Cox Jan Obłój
+	Utility theory front to back - inferring utility from agents' choices	2011	Alexander M. G. Cox David Hobson Jan Obłój
+ PDF Chat	Robust Hedging of Double Touch Barrier Options	2011	Alexander M. G. Cox Jan Obłój
+	Utility theory front to back - inferring utility from agents' choices	2011	Alexander M. G. Cox David Hobson Jan Obłój
+ PDF Chat	Time-homogeneous diffusions with a given marginal at a random time	2010	Alexander M. G. Cox David Hobson Jan Obłój
+	Robust pricing and hedging of double no-touch options	2009	Alexander M. G. Cox Jan Obłój
+	Time-Homogeneous Diffusions with a Given Marginal at a Random Time	2009	Alexander M. G. Cox David Hobson Jan Obłój
+	Robust pricing and hedging of double no-touch options	2009	Alexander M. G. Cox Jan Obłój
+ PDF Chat	Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping	2008	Alexander M. G. Cox David Hobson Jan Obłój
+	Robust hedging of double touch barrier options	2008	Alexander M. G. Cox Jan Obłój
+ PDF Chat	Extending Chacon-Walsh: Minimality and Generalised Starting Distributions	2008	Alexander M. G. Cox
+ PDF Chat	Classes of measures which can be embedded in the Simple Symmetric Random Walk	2008	Alexander M. G. Cox Jan Obłój
+	Robust hedging of double touch barrier options	2008	Alexander M. G. Cox Jan K. Ob l 'oj
+ PDF Chat	A unifying class of Skorokhod embeddings: connecting the Azéma–Yor and Vallois embeddings	2007	Alexander M. G. Cox David Hobson
+	Classes of Skorokhod Embeddings for the Simple Symmetric Random Walk	2006	Alexander M. G. Cox Jan Obłój
+ PDF Chat	Skorokhod embeddings, minimality and non-centred target distributions	2005	Alexander M. G. Cox David Hobson
+	Extending Chacon-Walsh: minimality and generalised starting distributions	2005	Alexander M. G. Cox
+	A unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings	2005	Alexander M. G. Cox David Hobson
+	Extending Chacon-Walsh: minimality and generalised starting distributions	2005	Alexander M. G. Cox
+ PDF Chat	An optimal Skorokhod embedding for diffusions	2004	Alexander M. G. Cox David Hobson
+	Skorokhod Embeddings: Non-Centred Target Distributions, Diffusions and Minimality	2004	Alexander M. G. Cox
+	Skorokhod embeddings, minimality and non-centred target distributions	2003	Alexander M. G. Cox David Hobson
+	An Optimal Skorokhod Embedding for Diffusions	2002	Alexander M. G. Cox David Hobson

Common Coauthors

Coauthor	Papers Together
Jan Obłój	19
Martin Huesmann	14
David Hobson	12
Sigrid Källblad	8
Andreas E. Kyprianou	7
Sam M. Kinsley	6
Mathias Beiglböck	6
Mathias Beiglboeck	5
Denis Villemonais	4
Erhan Bayraktar	4
Yavor Stoev	4
Benjamin A. Robinson	4
Nizar Touzi	3
Simon C. Harris	3
Emma Horton	3
Sara Svaluto‐Ferro	3
Christoph Hoeggerl	3
Martin Klimmek	3
Martin Larsson	3
Annemarie Grass	2
David J. Prömel	2
Minmin Wang	2
Nicolas Perkowski	2
Jiajie Wang	2
Beatrice Acciaio	2
Olga Isupova	2
Zhaoxu Hou	2
Kevin R. Olding	2
Allen Hart	2
Jonathan Dawes	2
E Horton	2
Laura Hattam	2
Goran Peškir	1
Matija Vidmar	1
Jan K. Ob l 'oj	1
Tristan Pryer	1
J. Backoff	1
Tristan Pryer	1
A. Grass	1
Jiajie Wang	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	The Skorokhod embedding problem and its offspring	2004	Jan Obłój	17
+ PDF Chat	Root’s barrier: Construction, optimality and applications to variance options	2013	Alexander M. G. Cox Jiajie Wang	16
+ PDF Chat	Une solution simple au probleme de Skorokhod	1979	Jacques Azéma Marc Yor	16
+	The Cereteli-Davis Solution to the H1-Embedding Problem and an Optimal Embedding in Brownian Motion	1986	Edwin Perkins	15
+ PDF Chat	Martingale optimal transport and robust hedging in continuous time	2013	Yan Dolinsky H. Meté Soner	14
+ PDF Chat	Skorokhod embeddings, minimality and non-centred target distributions	2005	Alexander M. G. Cox David Hobson	12
+ PDF Chat	On a Theorem of Skorohod	1968	Lester E. Dubins	11
+ PDF Chat	Model-independent bounds for option prices—a mass transport approach	2013	Mathias Beiglböck Pierre Henry‐Labordère Friedrich Penkner	11
+ PDF Chat	Robust Hedging of Double Touch Barrier Options	2011	Alexander M. G. Cox Jan Obłój	11
+ PDF Chat	Optimal transport and Skorokhod embedding	2016	Mathias Beiglböck Alexander M. G. Cox Martin Huesmann	11
+ PDF Chat	Extending Chacon-Walsh: Minimality and Generalised Starting Distributions	2008	Alexander M. G. Cox	10
+ PDF Chat	Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping	2008	Alexander M. G. Cox David Hobson Jan Obłój	9
+ PDF Chat	Robust pricing and hedging of double no-touch options	2011	Alexander M. G. Cox Jan Obłój	8
+ PDF Chat	Representation of Measures by Balayage from a Regular Recurrent Point	1992	Jean Bertoin Y. Le Jan	8
+ PDF Chat	A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options	2014	Alfred Galichon Pierre Henry‐Labordère Nizar Touzi	8
+	Diffusions, Markov Processes, and Martingales	2000	L. C. G. Rogers David Williams	7
+	Martingale optimal transport in the Skorokhod space	2015	Yan Dolinsky H. Meté Soner	7
+	Diffusions, Markov processes, and martingales	1979	L. C. G. Rogers David Williams	7
+	The Maximality Principle Revisited: On Certain Optimal Stopping Problems	2007	Jan Obłój	7
+	Complete duality for martingale optimal transport on the line	2017	Mathias Beiglböck Marcel Nutz Nizar Touzi	6
+	User’s guide to viscosity solutions of second order partial differential equations	1992	Michael G. Crandall Hitoshi Ishii Pierre-Louis Lions	6
+	Robust hedging of double touch barrier options	2008	Alexander M. G. Cox Jan K. Ob l 'oj	6
+ PDF Chat	A trajectorial interpretation of Doob’s martingale inequalities	2013	Beatrice Acciaio Mathias Beiglböck Friedrich Penkner Walter Schachermayer Johannes Temme	6
+ PDF Chat	Potential processes	1977	R. V. Chacon	5
+ PDF Chat	A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM	2013	Beatrice Acciaio Mathias Beiglböck Friedrich Penkner W. Schachermayer	5
+	Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems	2013	Nicole El Karoui Xiaolu Tan	5
+ PDF Chat	Model-Independent Bounds for Asian Options: A Dynamic Programming Approach	2017	Alexander M. G. Cox Sigrid Källblad	5
+ PDF Chat	Martingale Inequalities for the Maximum via Pathwise Arguments	2015	Jan Obłój Peter Spoida Nizar Touzi	5
+ PDF Chat	On the distribution of maxima of martingales	1978	Lester E. Dubins David Gilat	5
+ PDF Chat	The two-sided Stefan problem with a spatially dependent latent heat	1991	Terry R. McConnell	5
+	Constructing sublinear expectations on path space	2013	Marcel Nutz Ramon van Handel	4
+	The maximum maximum of a martingale with given $\mathbf{n}$ marginals	2016	Pierre Henry‐Labordère Jan Obłój Peter Spoida Nizar Touzi	4
+ PDF Chat	Multi-species Neutron Transport Equation	2019	Alexander M. G. Cox Simon C. Harris Emma Horton Andreas E. Kyprianou	4
+ PDF Chat	The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach	2018	Alexander M. G. Cox Jan Obłój Nizar Touzi	4
+	Root’s barrier, viscosity solutions of obstacle problems and reflected FBSDEs	2015	Paul Gassiat Harald Oberhauser Gonçalo dos Reis	4
+ PDF Chat	From optimal stopping boundaries to Rost’s reversed barriers and the Skorokhod embedding	2018	Tiziano De Angelis	4
+ PDF Chat	Superreplication under volatility uncertainty for measurable claims	2013	Ariel Neufeld Marcel Nutz	4
+ PDF Chat	Dynamic Programming for Controlled Markov Families: Abstractly and over Martingale Measures	2014	Gordan Žitković	4
+	The Azéma–Yor embedding in non-singular diffusions	2001	Jesper Lund Pedersen Goran Peškir	4
+ PDF Chat	Robust hedging with proportional transaction costs	2014	Yan Dolinsky H. Meté Soner	4
+ PDF Chat	The geometry of optimal transportation	1996	Wilfrid Gangbo Robert J. McCann	4
+ PDF Chat	A converse to the dominated convergence theorem	1963	David Blackwell Lester E. Dubins	4
+	An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale	2003	Jan Obłój Marc Yor	4
+ PDF Chat	An integral equation for Root’s barrier and the generation of Brownian increments	2015	Paul Gassiat Aleksandar Mijatović Harald Oberhauser	3
+	Mathematical Analysis and Numerical Methods for Science and Technology	2000		3
+ PDF Chat	Processes that can be Embedded in Brownian Motion	1978	Itrel Monroe	3
+	Embedding in Brownian motion with drift and the Azéma–Yor construction	2000	Peter Grandits Neil Falkner	3
+	An Iterated Az\'{e}ma-Yor Type Embedding for Finitely Many Marginals	2013	Jan Obłój Peter Spoida	3
+	Embedding laws in diffusions by functions of time	2015	Alexander M. G. Cox Goran Peškir	3
+ PDF Chat	Iterative Methods for Neutron Transport Eigenvalue Problems	2011	Fynn Scheben Ivan G. Graham	3