The following pages link to Robert J. Elliott (Q234255):
Displayed 50 items.
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724) (← links)
- A Viterbi smoother for discrete state space model (Q1021445) (← links)
- Multiple priors and asset pricing (Q1023977) (← links)
- Robust optimal portfolio choice under Markovian regime-switching model (Q1023980) (← links)
- Parameter estimation in commodity markets: a filtering approach (Q1027370) (← links)
- Risk-hedging in real estate markets (Q1044236) (← links)
- Reverse time diffusions (Q1065459) (← links)
- Reverse time differentiation and smoothing formulae for a finite state Markov process (Q1077814) (← links)
- The optimal control of a two-parameter jump process (Q1085134) (← links)
- Nonlinear filtering and Riemannian scalar curvature, \({\mathbb{R}}\) (Q1096965) (← links)
- A short proof of a martingale representation result (Q1103266) (← links)
- Filtrations for the two parameter jump process (Q1105915) (← links)
- A special semimartingale derivation of smoothing and prediction equations (Q1113864) (← links)
- Integration by parts, homogeneous chaos expansions and smooth densities (Q1119268) (← links)
- On the existence of diffusions with singular drift coefficient (Q1119276) (← links)
- Direct solutions of Kolmogorov's equations by stochastic flows (Q1124208) (← links)
- Almost sure parameter estimation and convergence rates for hidden Markov models (Q1128433) (← links)
- New explicit filters and smoothers for diffusions with nonlinear drift and measurements (Q1128534) (← links)
- Robust filtering for correlated multidimensional observations (Q1151664) (← links)
- Prior play in a deterministic differential game (Q1163223) (← links)
- Martingale representation and hedging policies (Q1177217) (← links)
- Integration by parts for the single jump process (Q1186639) (← links)
- A partially observed control problem for Markov chains (Q1187561) (← links)
- Estimation, control, and the discrete Kalman filter (Q1188574) (← links)
- Finite dimensional predictors for hidden Markov chains (Q1195844) (← links)
- Integration by parts for Poisson processes (Q1209876) (← links)
- Boundary value problems for nonlinear partial differential operators (Q1211639) (← links)
- Levy functionals and jump process martingales (Q1234965) (← links)
- Levy systems and absolutely continuous changes of measure for a jump process (Q1243517) (← links)
- Mathematics of financial markets (Q1264184) (← links)
- An application of hidden Markov models to asset allocation problems (Q1267816) (← links)
- (Q1304965) (redirect page) (← links)
- Filtering with discrete state observations (Q1304966) (← links)
- Estimating the implicit interest rate of a risky asset (Q1316597) (← links)
- Coupling and invariant measures for the heat equation with noise (Q1317239) (← links)
- Control of partially observed diffusions (Q1321122) (← links)
- Control of a hybrid conditionally linear Gaussian process (Q1321204) (← links)
- Measure change estimates for hidden Markov models (Q1333860) (← links)
- Exact adaptive filters for Markov chains observed in Gaussian noise (Q1337722) (← links)
- Finite-dimensional solutions of a modified Zakai equation (Q1356627) (← links)
- Filters for estimating Markov modulated Poisson processes and image-based tracking (Q1360456) (← links)
- Drift and volatility estimation in discrete time (Q1389714) (← links)
- A higher-order interactive hidden Markov model and its applications (Q1642063) (← links)
- Optimal execution with regime-switching market resilience (Q1734569) (← links)
- Short rate analysis and marked point processes (Q1806288) (← links)
- Enlarged filtrations for diffusions (Q1822418) (← links)
- A simplified proof of the representation of functionals of diffusions (Q1823544) (← links)
- The existence of smooth densities for the prediction filtering and smoothing problems (Q1823912) (← links)
- The variational principle for optimal control of diffusions with partial information (Q1825430) (← links)
- Martingale representation and the Malliavin calculus (Q1826205) (← links)