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Robert Elliott
Robert Elliott
Research Professor, University of South Australia.. Faculty Professor and Emeritus Professor
Verified email at ucalgary.ca
Title
Cited by
Cited by
Year
Hidden Markov models: estimation and control
RJ Elliott, L Aggoun, JB Moore
Springer Science & Business Media, 2008
22582008
Stochastic calculus and applications
SN Cohen, RJ Elliott
Birkhäuser, 2015
14332015
Mathematics of financial markets
RJ Elliott, PE Kopp
Springer, 1999
8431999
Discrete-time nonlinear filtering algorithms using Gauss–Hermite quadrature
I Arasaratnam, S Haykin, RJ Elliott
Proceedings of the IEEE 95 (5), 953-977, 2007
6732007
American options with regime switching
J Buffington, RJ Elliott
International Journal of Theoretical and Applied Finance 5 (05), 497-514, 2002
5502002
The existence of value in differential games
RJ Elliott, NJ Kalton
American Mathematical Soc., 1972
495*1972
Option pricing and Esscher transform under regime switching
RJ Elliott, L Chan, TK Siu
Annals of Finance 1 (4), 423-432, 2005
4652005
Pairs trading
RJ Elliott, J Van Der Hoek*, WP Malcolm
Quantitative Finance 5 (3), 271-276, 2005
4642005
The existence of value in differential games
RJ Elliott, NJ Kalton
American Mathematical Soc., 1972
4321972
The existence of value in differential games
RJ Elliott, NJ Kalton
American Mathematical Soc., 1972
4321972
The existence of value in differential games
RJ Elliott, NJ Kalton
American Mathematical Soc., 1972
4321972
A general fractional white noise theory and applications to finance
RJ Elliott, J Van Der Hoek
Mathematical Finance 13 (2), 301-330, 2003
3942003
On models of default risk
RJ Elliott, M Jeanblanc, M Yor
Mathematical Finance 10 (2), 179-195, 2000
3352000
Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
MR James, JS Baras, RJ Elliott
IEEE transactions on automatic control 39 (4), 780-792, 1994
3171994
Hidden Markov models in finance
RS Mamon, RJ Elliott
Springer, 2007
2172007
Discrete time mean-field stochastic linear-quadratic optimal control problems
R Elliott, X Li, YH Ni
Automatica 49 (11), 3222-3233, 2013
1472013
New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
RJ Elliott, V Krishnamurthy
IEEE Transactions on Automatic Control 44 (5), 938-951, 1999
1471999
New finite-dimensional filters and smoothers for noisily observed Markov chains
RJ Elliott
IEEE Transactions on Information Theory 39 (1), 265-271, 1993
1371993
An application of hidden Markov models to asset allocation problems
RJ Elliott, J Van der Hoek
Finance and Stochastics 1 (3), 229-238, 1997
1311997
Pricing volatility swaps under Heston's stochastic volatility model with regime switching
RJ Elliott, T Kuen Siu, L Chan
Applied Mathematical Finance 14 (1), 41-62, 2007
1292007
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