Dr. Asaf Cohen

asaf

 

 

 

 

 

Ph.D., Tel Aviv University, 2013

Rabin building, Room: 8063

+972-4-8249153 (3153)

This email address is being protected from spambots. You need JavaScript enabled to view it.

Personal website

asaf

 

 

 

 

 

Ph.D., Tel Aviv University, 2013

Rabin building, Room: 8063

+972-4-8249153 (3153)

This email address is being protected from spambots. You need JavaScript enabled to view it.

Personal website

Short Bio

Asaf Cohen received a Ph.D. degree from the School of Mathematical Sciences at Tel-Aviv University in 2013. He was a post-doctoral researcher at the Technion - Israel Institute of Technology, Department of Electrical Engineering and in the University of Michigan, Department of Mathematics. Asaf's research is driven by new problems arising in queueing theory, mathematical finance, and statistics, and focuses on both optimal and asymptotically optimal stochastic control.

Research interests

  • Queueing systems in heavy-traffic
  • Mean field games
  • Mathematical finance
  • Bayesian sequential testing and bandit problems. 

Selected Publications

  • Cohen, A., Solan, E., (2013) "Bandit Problems with Lévy Processes", Mathematics of Operations Research, 38 (1), 92-107.
  • Cohen, A., (2015) "Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise", Mathematics of Operations Research, 40 (2), 361-389.
  • Atar, R., and Cohen, A., (2016) "A Differential Game for a Multiclass Queueing Model in the Moderate-Deviation Heavy-Traffic Regime”, Mathematics of Operations Research, 41 (4), 1354-1380.
  • Atar, R., and Cohen, A., "Asymptotically Optimal Control for a Multiclass Queueing Model in the Moderate Deviation Heavy Traffic Regime", Annals of Applied Probability (to appear).
  • Bayraktar, E., Budhiraja, A., and Cohen, A., "Rate Control under Heavy Traffic with Strategic Servers", Annals of Applied Probability (to appear).
  • Bayraktar, E., and Cohen, A., "Risk Sensitive Control of the Lifetime Ruin Problem” (with Erhan Bayraktar), Applied Mathematics and Optimization (to appear).
  • Cohen, A., “Stochastic differential games for a multiclass M/M/1 queueing problem with model uncertainty'', in revision. 
  • Bayraktar, E., and Cohen, A., “Analysis of a Finite State Many Player Game Using its Master Equation”, under review.
ביה"ס לקרימינולוגיה, אוניברסיטת חיפה, הר הכרמל 31905 I בניין אשכול, קומה 23 I טלפון: 04-8288991

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