| Publication | Date of Publication | Type |
|---|
Mixtures of multivariate Gaussians
Stochastic Analysis and Applications | 2024-11-12 | Paper |
Optimal asset allocation under search frictions and stochastic interest rate
Quantitative Finance | 2023-08-02 | Paper |
A hidden Markov regime-switching smooth transition model
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
Estimating the Matthew Effects: Switching Pareto Dynamics
Stochastic Analysis, Filtering, and Stochastic Optimization | 2022-11-15 | Paper |
High dimensional Markovian trading of a single stock
Frontiers of Mathematical Finance | 2022-10-19 | Paper |
A stochastic control approach to bid-ask price modelling
International Journal of Theoretical and Applied Finance | 2022-09-22 | Paper |
Lower and upper pricing of financial assets
Probability, Uncertainty and Quantitative Risk | 2022-06-03 | Paper |
Conditional coherent risk measures and regime-switching conic pricing
Probability, Uncertainty and Quantitative Risk | 2022-06-03 | Paper |
A generalized Esscher transform for option valuation with regime switching risk
Quantitative Finance | 2022-05-27 | Paper |
Backward stochastic differential equations with regime-switching and sublinear expectations
Stochastic Processes and their Applications | 2022-04-28 | Paper |
“Pricing Annuity Guarantees Under a Regime-Switching Model”, X. Sheldon Lin, Ken Seng Tan and Hailiang Yang, July 2009
North American Actuarial Journal | 2022-02-11 | Paper |
Filtering response directions
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Two price economic equilibria and financial market bid/ask prices
Annals of Finance | 2021-06-28 | Paper |
Stochastic control for BSDEs and ABSDEs with Markov chain noises
International Journal of Control | 2020-11-03 | Paper |
Optimal portfolio execution problem with stochastic price impact
Automatica | 2020-01-20 | Paper |
Hedging options in a doubly Markov-modulated financial market via stochastic flows
International Journal of Theoretical and Applied Finance | 2020-01-16 | Paper |
A level-1 limit order book with time dependent arrival rates
Methodology and Computing in Applied Probability | 2020-01-13 | Paper |
Non-linear expectations in spaces of Colombeau generalized functions
Stochastic Analysis and Applications | 2019-06-12 | Paper |
Semimartingale dynamics and estimation for a semi-Markov chain
| 2019-04-30 | Paper |
Optimal execution with regime-switching market resilience
Journal of Economic Dynamics and Control | 2019-03-27 | Paper |
Malliavin calculus in a binomial framework
Applied Stochastic Models in Business and Industry | 2019-03-07 | Paper |
Perpetual American options with fractional Brownian motion
Quantitative Finance | 2019-01-15 | Paper |
An interest rate model with a Markovian mean reverting level
Quantitative Finance | 2019-01-14 | Paper |
Pricing options in a Markov regime switching model with a random acceleration for the volatility
IMA Journal of Applied Mathematics | 2018-11-29 | Paper |
Estimating a regime switching pairs trading model
Quantitative Finance | 2018-11-14 | Paper |
Quadratic hedging schemes for non-Gaussian GARCH models
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
A semi-martingale representation for a semi-Markov chain with application to finance
Theory of Probability and Mathematical Statistics | 2018-10-10 | Paper |
General equilibrium pricing with multiple dividend streams and regime switching
Quantitative Finance | 2018-09-19 | Paper |
Default times in a continuous time Markov chain economy
Applied Mathematical Finance | 2018-09-05 | Paper |
Option pricing and filtering with hidden Markov-modulated pure-jump processes
Applied Mathematical Finance | 2018-07-20 | Paper |
A higher-order interactive hidden Markov model and its applications
OR Spectrum | 2018-06-20 | Paper |
A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows
Journal of Mathematical Analysis and Applications | 2018-02-13 | Paper |
Introduction to hidden semi-Markov models
| 2018-01-02 | Paper |
Viterbi-based estimation for Markov switching GARCH model
Applied Mathematical Finance | 2017-10-05 | Paper |
Filtering a Double Threshold Model With Regime Switching
IEEE Transactions on Automatic Control | 2017-09-08 | Paper |
A mixed MAP/MLSE receiver for convolutional coded signals transmitted over a fading channel
IEEE Transactions on Signal Processing | 2017-09-08 | Paper |
A Nash equilibrium filter
Stochastic Analysis and Applications | 2017-09-06 | Paper |
Filtering a Markov Modulated Random Measure
IEEE Transactions on Automatic Control | 2017-08-25 | Paper |
Asset pricing using trading volumes in a hidden regime-switching environment
Asia-Pacific Financial Markets | 2017-08-17 | Paper |
Optimal Linear Estimation and Data Fusion
IEEE Transactions on Automatic Control | 2017-07-27 | Paper |
Robust continuous-time smoothers without two-sided stochastic integrals
IEEE Transactions on Automatic Control | 2017-06-20 | Paper |
Hidden Markov models with threshold effects and their applications to oil price forecasting
Journal of Industrial and Management Optimization | 2017-06-12 | Paper |
Filtering With Uncertain Noise
IEEE Transactions on Automatic Control | 2017-06-08 | Paper |
On Finite-State Stochastic Modeling and Secure Estimation of Cyber-Physical Systems
IEEE Transactions on Automatic Control | 2017-05-03 | Paper |
A simple efficient approximation to price basket stock options with volatility smile
Annals of Finance | 2017-04-28 | Paper |
Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations
Discrete and Continuous Dynamical Systems. Series B | 2017-04-25 | Paper |
Non-Gaussian GARCH option pricing models and their diffusion limits
European Journal of Operational Research | 2016-10-06 | Paper |
On anticipated backward stochastic differential equations with Markov chain noise
Stochastic Analysis and Applications | 2016-09-26 | Paper |
Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise
Electronic Communications in Probability | 2016-05-23 | Paper |
Solutions of backward stochastic differential equations on Markov chains
Communications on Stochastic Analysis | 2016-03-04 | Paper |
General equilibrium asset pricing under regime switching
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Risk-based indifference pricing under a stochastic volatility model
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Event-based state estimation of discrete-state hidden Markov models
Automatica | 2016-01-28 | Paper |
Credit risk and contagion via self-exciting default intensity
Annals of Finance | 2016-01-07 | Paper |
Martingale representation for contingent claims with regime switching
| 2016-01-04 | Paper |
Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case
Automatica | 2015-11-26 | Paper |
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
Journal of Applied Probability | 2015-10-30 | Paper |
On Binomial Observations of Continuous-Time Markovian Population Models
Journal of Applied Probability | 2015-10-02 | Paper |
A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
International Journal of Theoretical and Applied Finance | 2015-07-23 | Paper |
Dynamic optimal capital structure with regime switching
Annals of Finance | 2015-06-26 | Paper |
Discrete time mean-field stochastic linear-quadratic optimal control problems
Automatica | 2015-06-25 | Paper |
A modified hidden Markov model
Automatica | 2015-06-25 | Paper |
Option valuation under a regime-switching constant elasticity of variance process
Applied Mathematics and Computation | 2015-06-18 | Paper |
On pricing barrier options with regime switching
Journal of Computational and Applied Mathematics | 2015-06-16 | Paper |
Stochastic calculus and applications
Probability and Its Applications | 2015-06-11 | Paper |
Filtering and change point estimation for hidden Markov-modulated Poisson processes
Applied Mathematics Letters | 2015-05-19 | Paper |
Some Properties of Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model
| 2015-05-12 | Paper |
A note on differentiability in a Markov chain market using stochastic flows
Stochastic Analysis and Applications | 2015-03-23 | Paper |
Pricing currency derivatives with Markov-modulated Lévy dynamics
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Pricing of discount bonds with a Markov switching regime
Annals of Finance | 2014-12-12 | Paper |
Strategic asset allocation under a fractional hidden Markov model
Methodology and Computing in Applied Probability | 2014-12-05 | Paper |
Some properties of generalized anticipated backward stochastic differential equations
Electronic Communications in Probability | 2014-09-22 | Paper |
Option pricing using a regime switching stochastic discount factor
International Journal of Theoretical and Applied Finance | 2014-06-13 | Paper |
American option prices in a Markov chain market model
Applied Stochastic Models in Business and Industry | 2014-05-06 | Paper |
Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model and Applications to American Options
| 2014-04-08 | Paper |
Backward Stochastic Differential Equations with Continuous Coefficients in a Markov Chain Model and with Applications to European Options
| 2014-04-08 | Paper |
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
Quantitative Finance | 2014-02-20 | Paper |
Filtering hidden semi-Markov chains
Statistics & Probability Letters | 2014-02-11 | Paper |
Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
Stochastic Analysis and Applications | 2014-02-11 | Paper |
Fractional differencing in discrete time
Quantitative Finance | 2014-02-08 | Paper |
A risk-based approach for pricing American options under a generalized Markov regime-switching model
Quantitative Finance | 2013-12-13 | Paper |
A Bayesian approach for optimal reinsurance and investment in a diffusion model
Journal of Engineering Mathematics | 2013-12-04 | Paper |
An HMM approach for optimal investment of an insurer
International Journal of Robust and Nonlinear Control | 2013-11-26 | Paper |
Filters and smoothers for self-exciting Markov modulated counting processes
| 2013-11-25 | Paper |
Multiple Solutions to Stochastic Differential Delay Equations and a Related Comparison Theorem
Stochastic Analysis and Applications | 2013-08-27 | Paper |
Markovian forward-backward stochastic differential equations and stochastic flows
Systems & Control Letters | 2013-08-27 | Paper |
A partial differential equation approach to multivariate risk theory
| 2013-06-12 | Paper |
Attainable contingent claims in a Markovian regime-switching market
International Journal of Theoretical and Applied Finance | 2013-03-12 | Paper |
Change point estimation for continuous-time hidden Markov models
Systems & Control Letters | 2013-03-06 | Paper |
A converse comparison theorem for anticipated BSDEs and related non-linear expectations
Stochastic Processes and their Applications | 2013-01-24 | Paper |
Optimal Design of Dynamic Default Risk Measures
Journal of Applied Probability | 2013-01-19 | Paper |
Backward stochastic difference equations for a single jump process
Methodology and Computing in Applied Probability | 2013-01-11 | Paper |
A BSDE approach to convex risk measures for derivative securities
Stochastic Analysis and Applications | 2012-12-13 | Paper |
Existence, uniqueness and comparisons for BSDEs in general spaces
The Annals of Probability | 2012-11-29 | Paper |
Markov Chain Hitting Times
Stochastic Analysis and Applications | 2012-11-09 | Paper |
Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
Stochastic Analysis and Applications | 2012-11-09 | Paper |
Measure theory and filtering. Introduction and applications.
| 2012-09-20 | Paper |
Markovian regime-switching market completion using additional Markov jump assets
IMA Journal of Management Mathematics | 2012-09-13 | Paper |
Backward stochastic difference equations with finite states
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
SIAM Journal on Control and Optimization | 2012-08-10 | Paper |
Filtering a nonlinear stochastic volatility model
Nonlinear Dynamics | 2012-07-17 | Paper |
Portfolio risk minimization and differential games
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2012-06-09 | Paper |
A PDE approach for risk measures for derivatives with regime switching
Annals of Finance | 2012-03-06 | Paper |
Option pricing and Esscher transform under regime switching
Annals of Finance | 2012-03-05 | Paper |
Insurance claims modulated by a hidden Brownian marked point process
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Esscher transforms and consumption-based models
Insurance Mathematics & Economics | 2012-02-10 | Paper |
An M-ary detection approach for asset allocation
Computers & Mathematics with Applications | 2012-02-05 | Paper |
On filtering and estimation of a threshold stochastic volatility model
Applied Mathematics and Computation | 2012-01-13 | Paper |
Characteristic functions and option valuation in a Markov chain market
Computers & Mathematics with Applications | 2011-12-18 | Paper |
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
International Journal of Theoretical and Applied Finance | 2011-10-24 | Paper |
Default Times in a Continuous-Time Markovian Regime Switching Model
Stochastic Analysis and Applications | 2011-10-21 | Paper |
Ruin Theory in a Hidden Markov-Modulated Risk Model
Stochastic Models | 2011-10-21 | Paper |
Utility-based indifference pricing in regime-switching models
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2011-10-17 | Paper |
Backward stochastic differential equations for a single jump process
Stochastic Analysis and Applications | 2011-08-10 | Paper |
An asset pricing model with mean reversion and regime switching stochastic volatility
| 2011-07-13 | Paper |
Pricing and hedging contingent claims with regime switching risk
Communications in Mathematical Sciences | 2011-06-28 | Paper |
A nonlinear filter with fractional Gaussian noise
Stochastic Analysis and Applications | 2011-06-07 | Paper |
Comparison theorems for finite state backward stochastic differential equations
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Control of discrete-time HMM partially observed under fractional Gaussian noises
Systems & Control Letters | 2011-05-31 | Paper |
Backward stochastic difference equations and nearly time-consistent nonlinear expectations
SIAM Journal on Control and Optimization | 2011-05-17 | Paper |
A stochastic differential game for optimal investment of an insurer with regime switching
Quantitative Finance | 2011-04-28 | Paper |
On pricing and hedging options in regime-switching models with feedback effect
Journal of Economic Dynamics and Control | 2011-03-31 | Paper |
A filter for a hidden Markov chain observed in fractional Gaussian noise
Systems & Control Letters | 2011-03-03 | Paper |
A BSDE approach to a risk-based optimal investment of an insurer
Automatica | 2011-02-21 | Paper |
A general comparison theorem for backward stochastic differential equations
Advances in Applied Probability | 2010-11-26 | Paper |
A filter for a state space model with fractional Gaussian noise
Automatica | 2010-11-25 | Paper |
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Annals of Operations Research | 2010-09-20 | Paper |
A Zakai equation derivation of the extended Kalman filter
Automatica | 2010-08-13 | Paper |
Nonlinear filter estimation of volatility
Stochastic Analysis and Applications | 2010-08-11 | Paper |
A general theory of finite state backward stochastic difference equations
Stochastic Processes and their Applications | 2010-04-08 | Paper |
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
The Annals of Applied Probability | 2010-03-08 | Paper |
A hidden Markov model of credit quality
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Risk-hedging in real estate markets
Asia-Pacific Financial Markets | 2009-12-11 | Paper |
VaR and expected shortfall: a non-normal regime switching framework
Quantitative Finance | 2009-10-16 | Paper |
On Markov‐modulated Exponential‐affine Bond Price Formulae
Applied Mathematical Finance | 2009-09-13 | Paper |
INVESTMENT TIMING UNDER REGIME SWITCHING
International Journal of Theoretical and Applied Finance | 2009-08-10 | Paper |
Parameter estimation in commodity markets: a filtering approach
Journal of Economic Dynamics and Control | 2009-07-01 | Paper |
Robust optimal portfolio choice under Markovian regime-switching model
Methodology and Computing in Applied Probability | 2009-06-16 | Paper |
Multiple priors and asset pricing
Methodology and Computing in Applied Probability | 2009-06-16 | Paper |
A Viterbi smoother for discrete state space model
Systems & Control Letters | 2009-06-08 | Paper |
Asset Prices With Regime-Switching Variance Gamma Dynamics
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
scientific article; zbMATH DE number 5529020 (Why is no real title available?)
| 2009-03-16 | Paper |
Itô formulas for fractional Brownian motion
| 2009-01-28 | Paper |
Risk-Sensitive Filtering and Smoothing for Continuous-Time Markov Processes
IEEE Transactions on Information Theory | 2008-12-21 | Paper |
A Ring Isomorphism and corresponding Pseudoinverses
| 2008-10-01 | Paper |
Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Econometrics Journal | 2008-08-21 | Paper |
A Non-Linear Filter
Stochastic Analysis and Applications | 2008-08-07 | Paper |
The Solution of a Free Boundary Problem Related to Environmental Management Systems
Stochastic Analysis and Applications | 2007-12-12 | Paper |
Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality
International Series in Operations Research & Management Science | 2007-11-05 | Paper |
The Term Structure of Interest Rates in a Hidden Markov Setting
International Series in Operations Research & Management Science | 2007-11-05 | Paper |
Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets
International Series in Operations Research & Management Science | 2007-11-05 | Paper |
Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
Stochastic Analysis and Applications | 2007-09-21 | Paper |
Risk measures for derivatives with Markov-modulated pure jump processes
Asia-Pacific Financial Markets | 2007-08-27 | Paper |
Cutting the hedge
Computational Economics | 2007-08-17 | Paper |
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
Applied Mathematical Finance | 2007-06-07 | Paper |
A HIDDEN MARKOV APPROACH TO THE FORWARD PREMIUM PUZZLE
International Journal of Theoretical and Applied Finance | 2007-02-08 | Paper |
Option pricing for pure jump processes with Markov switching compensators
Finance and Stochastics | 2006-12-08 | Paper |
OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
Stochastic Volatility Model with Filtering
Stochastic Analysis and Applications | 2006-07-13 | Paper |
Binomial models in finance.
Springer Finance | 2006-03-23 | Paper |
Pairs trading
Quantitative Finance | 2005-12-09 | Paper |
Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market
Stochastic Analysis and Applications | 2005-11-25 | Paper |
PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS
International Journal of Theoretical and Applied Finance | 2005-11-15 | Paper |
Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market
Mathematics of Operations Research | 2005-11-11 | Paper |
A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
AMERICAN OPTIONS WITH REGIME SWITCHING
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
Hidden Markov Chain Filtering for a Jump Diffusion Model
Stochastic Analysis and Applications | 2005-05-23 | Paper |
scientific article; zbMATH DE number 2133109 (Why is no real title available?)
| 2005-02-09 | Paper |
Finite-Dimensional Filtering and Control for Continuous-Time Nonlinear Systems
Stochastic Analysis and Applications | 2005-01-20 | Paper |
Mathematics of financial markets.
Springer Finance | 2005-01-11 | Paper |
Measure Theory and Filtering
| 2004-11-24 | Paper |
On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
Stochastics and Stochastic Reports | 2004-05-27 | Paper |
A method for portfolio choice
Applied Stochastic Models in Business and Industry | 2004-03-16 | Paper |
scientific article; zbMATH DE number 2015362 (Why is no real title available?)
| 2004-02-25 | Paper |
Conditional Moment Generating Functions for Integrals and Stochastic Integrals
SIAM Journal on Control and Optimization | 2004-01-08 | Paper |
A General Fractional White Noise Theory And Applications To Finance
Mathematical Finance | 2003-08-25 | Paper |
scientific article; zbMATH DE number 1795847 (Why is no real title available?)
| 2003-05-31 | Paper |
scientific article; zbMATH DE number 1642340 (Why is no real title available?)
| 2002-10-26 | Paper |
On-line almost-sure parameter estimation for partially observed discrete-time linear systems with known noise characteristics
International Journal of Adaptive Control and Signal Processing | 2002-09-29 | Paper |
scientific article; zbMATH DE number 1583960 (Why is no real title available?)
| 2002-08-14 | Paper |
scientific article; zbMATH DE number 1724297 (Why is no real title available?)
| 2002-08-05 | Paper |
A CONTINUOUS TIME KRONECKER'S LEMMA AND MARTINGALE CONVERGENCE
Stochastic Analysis and Applications | 2002-08-01 | Paper |
Stochastic flows and the forward measure
Finance and Stochastics | 2002-03-13 | Paper |
Filtering and parameter estimation for a mean reverting interest rate model
The Canadian Applied Mathematics Quarterly | 2002-03-06 | Paper |
Modal estimation in hybrid systems
Journal of Mathematical Analysis and Applications | 2001-11-29 | Paper |
On models of default risk.
Mathematical Finance | 2001-03-29 | Paper |
Filtering with discrete state observations
Applied Mathematics and Optimization | 2001-02-27 | Paper |
Finite-dimensional nonlinear output feedback dynamic games and bounds for sector nonlinearities
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
Information states in stochastic control and filtering: a Lie algebraic theoretic approach
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
A martingale Kronecker lemma and parameter estimation for linear systems
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
Exact filters for certain moments and stochastic integrals of the state of systems with Benes nonlinearity
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
New finite-dimensional risk-sensitive filters: small noise limits
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
A genetic filtering problem∗
Stochastic Analysis and Applications | 2000-07-03 | Paper |
Incomplete markets with jumps and informed agents
Mathematical Methods of Operations Research | 2000-05-07 | Paper |
Discrete time filters for doubly stochastic poisson processes and other exponential noise models
| 2000-04-06 | Paper |
Short rate analysis and marked point processes
Mathematical Methods of Operations Research | 1999-11-01 | Paper |
Option pricing with regulated fractional Brownian motion
| 1999-09-14 | Paper |
scientific article; zbMATH DE number 1254179 (Why is no real title available?)
| 1999-08-26 | Paper |
Adaptive control of linear systems with Markov perturbations
IEEE Transactions on Automatic Control | 1999-08-26 | Paper |
scientific article; zbMATH DE number 1222793 (Why is no real title available?)
| 1999-06-23 | Paper |
A finite-dimensional filter for hybrid observations
IEEE Transactions on Automatic Control | 1999-04-07 | Paper |
A Discrete Time Equivalent Martingale Measure
Mathematical Finance | 1999-04-06 | Paper |
An application of hidden Markov models to asset allocation problems
Finance and Stochastics | 1999-03-09 | Paper |
M.A.P.Estimation for hidden discrete Markov random fields
Stochastic Analysis and Applications | 1999-02-02 | Paper |
Zakai equations for hilbert space valued processes∗
Stochastic Analysis and Applications | 1998-09-01 | Paper |
Mathematics of financial markets
Springer Finance | 1998-08-31 | Paper |
New explicit filters and smoothers for diffusions with nonlinear drift and measurements
Systems & Control Letters | 1998-08-13 | Paper |
Almost sure parameter estimation and convergence rates for hidden Markov models
Systems & Control Letters | 1998-08-13 | Paper |
Drift and volatility estimation in discrete time
Journal of Economic Dynamics and Control | 1998-06-30 | Paper |
Exact finite-dimensional filters for doubly stochastic auto-regressive processes
IEEE Transactions on Automatic Control | 1998-05-12 | Paper |
Classes of Nonlinear Partially Observable Stochastic Optimal Control Problems with Explicit Optimal Control Laws
SIAM Journal on Control and Optimization | 1998-05-10 | Paper |
scientific article; zbMATH DE number 1147077 (Why is no real title available?)
| 1998-04-29 | Paper |
Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1
Mathematical Finance | 1998-04-05 | Paper |
Exact Finite-Dimensional Filters for Maximum Likelihood Parameter Estimation of Continuous-time Linear Gaussian Systems
SIAM Journal on Control and Optimization | 1998-02-09 | Paper |
DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
Mathematical Finance | 1998-01-21 | Paper |
ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1
Mathematical Finance | 1998-01-21 | Paper |
Filters for estimating Markov modulated Poisson processes and image-based tracking
Automatica | 1997-12-22 | Paper |
Finite-dimensional solutions of a modified Zakai equation
MCSS. Mathematics of Control, Signals, and Systems | 1997-11-13 | Paper |
Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems
IEEE Transactions on Automatic Control | 1997-11-10 | Paper |
Exact hybrid filters in discrete time
IEEE Transactions on Automatic Control | 1997-10-27 | Paper |
Portfolio optimization and contingent claim pricing with differential information
Stochastics and Stochastic Reports | 1997-08-07 | Paper |
ATTAINABLE CLAIMS IN A MARKOV MARKET
Mathematical Finance | 1997-03-23 | Paper |
MAP estimation using measure change for continuous-state random fields
Systems & Control Letters | 1997-02-28 | Paper |
Finite-dimensional quasi-linear risk-sensitive control
Systems & Control Letters | 1997-02-28 | Paper |
Measure change techniques in optimal control
Applied Mathematics and Optimization | 1997-02-25 | Paper |
Estimation for hidden Markov random fields
Journal of Statistical Planning and Inference | 1997-02-09 | Paper |
Risk-sensitive and risk-neutral control for continuous-time hidden Markov models
Applied Mathematics and Optimization | 1996-12-17 | Paper |
scientific article; zbMATH DE number 920749 (Why is no real title available?)
| 1996-10-22 | Paper |
scientific article; zbMATH DE number 877663 (Why is no real title available?)
| 1996-07-16 | Paper |
General finite-dimensional risk-sensitive problems and small noise limits
IEEE Transactions on Automatic Control | 1996-05-05 | Paper |
A Finite-Dimensional Risk-Sensitive Control Problem
SIAM Journal on Control and Optimization | 1996-02-08 | Paper |
Recursive estimation for hidden Markov models: a dependent case
Stochastic Analysis and Applications | 1995-11-05 | Paper |
The second order minimum principle and adjoint process
Stochastics and Stochastic Reports | 1995-10-31 | Paper |
Exact adaptive filters for Markov chains observed in Gaussian noise
Automatica | 1995-10-23 | Paper |
Finite-dimensional models for hidden Markov chains
Advances in Applied Probability | 1995-10-08 | Paper |
Estimating the instantaneous volatility and covariance of risky assets
Applied Stochastic Models and Data Analysis | 1995-07-27 | Paper |
scientific article; zbMATH DE number 440538 (Why is no real title available?)
| 1995-07-16 | Paper |
Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
IEEE Transactions on Automatic Control | 1995-03-02 | Paper |
Estimation for discrete Markov random fields observed in Gaussian noise
IEEE Transactions on Information Theory | 1995-03-01 | Paper |
scientific article; zbMATH DE number 722978 (Why is no real title available?)
| 1995-02-14 | Paper |
Celestial signal estimation
Stochastic Analysis and Applications | 1994-11-28 | Paper |
Estimating the implicit interest rate of a risky asset
Stochastic Processes and their Applications | 1994-10-10 | Paper |
A general recursive discrete-time filter
Journal of Applied Probability | 1994-05-24 | Paper |
Control of partially observed diffusions
Journal of Optimization Theory and Applications | 1994-04-27 | Paper |
Control of a hybrid conditionally linear Gaussian process
Journal of Optimization Theory and Applications | 1994-04-27 | Paper |
scientific article; zbMATH DE number 515801 (Why is no real title available?)
| 1994-03-11 | Paper |
Measure change estimates for hidden Markov models
Systems & Control Letters | 1994-01-01 | Paper |
scientific article; zbMATH DE number 431852 (Why is no real title available?)
| 1993-11-18 | Paper |
scientific article; zbMATH DE number 433053 (Why is no real title available?)
| 1993-11-11 | Paper |
New finite-dimensional filters and smoothers for noisily observed Markov chains
IEEE Transactions on Information Theory | 1993-05-16 | Paper |
Integration by parts for Poisson processes
Journal of Multivariate Analysis | 1993-05-16 | Paper |
Finite dimensional predictors for hidden Markov chains
Systems & Control Letters | 1993-01-04 | Paper |
scientific article; zbMATH DE number 46492 (Why is no real title available?)
| 1992-09-17 | Paper |
A partially observed control problem for Markov chains
Applied Mathematics and Optimization | 1992-07-22 | Paper |
Integration by parts for the single jump process
Statistics & Probability Letters | 1992-06-28 | Paper |
Equivalent martingale measures for bridge processes
Stochastic Analysis and Applications | 1992-06-27 | Paper |
scientific article; zbMATH DE number 17497 (Why is no real title available?)
| 1992-06-26 | Paper |
Martingale representation and hedging policies
Stochastic Processes and their Applications | 1992-06-26 | Paper |
Markov bridges and enlarged filtrations
The Canadian Journal of Statistics | 1992-06-25 | Paper |
scientific article; zbMATH DE number 4200127 (Why is no real title available?)
| 1991-01-01 | Paper |
scientific article; zbMATH DE number 4203380 (Why is no real title available?)
| 1991-01-01 | Paper |
scientific article; zbMATH DE number 4190828 (Why is no real title available?)
| 1991-01-01 | Paper |
Approximations for the values of american options
Stochastic Analysis and Applications | 1991-01-01 | Paper |
The optimal control of diffusions
Applied Mathematics and Optimization | 1990-01-01 | Paper |
Filtering with a small nonlinear term in the signal
Systems & Control Letters | 1990-01-01 | Paper |
Option pricing and hedge portfolios for poisson progresses
Stochastic Analysis and Applications | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4176948 (Why is no real title available?)
| 1990-01-01 | Paper |
Time reversal of non-Markov point processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1990-01-01 | Paper |
Filtering for a logistic equation
Mathematical and Computer Modelling | 1990-01-01 | Paper |
A proof of the minimum principle using flows
Annales Polonici Mathematici | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4117324 (Why is no real title available?)
| 1989-01-01 | Paper |
scientific article; zbMATH DE number 4129767 (Why is no real title available?)
| 1989-01-01 | Paper |
scientific article; zbMATH DE number 4133239 (Why is no real title available?)
| 1989-01-01 | Paper |
The Partially Observed Stochastic Minimum Principle
SIAM Journal on Control and Optimization | 1989-01-01 | Paper |
Integration by parts, homogeneous chaos expansions and smooth densities
The Annals of Probability | 1989-01-01 | Paper |
Martingale representation and the Malliavin calculus
Applied Mathematics and Optimization | 1989-01-01 | Paper |
Integration by parts and densities for jump processes
Stochastics and Stochastic Reports | 1989-01-01 | Paper |
The variational principle for optimal control of diffusions with partial information
Systems & Control Letters | 1989-01-01 | Paper |
The existence of smooth densities for the prediction filtering and smoothing problems
Acta Applicandae Mathematicae | 1989-01-01 | Paper |
Bilateral prediction
IEEE Transactions on Information Theory | 1989-01-01 | Paper |
Approximations to solutions of the zakai filtering equation
Stochastic Analysis and Applications | 1989-01-01 | Paper |
Direct solutions of Kolmogorov's equations by stochastic flows
Journal of Mathematical Analysis and Applications | 1989-01-01 | Paper |
A short proof of a martingale representation result
Statistics & Probability Letters | 1988-01-01 | Paper |
scientific article; zbMATH DE number 4058645 (Why is no real title available?)
| 1988-01-01 | Paper |
scientific article; zbMATH DE number 4053500 (Why is no real title available?)
| 1988-01-01 | Paper |
Enlarged filtrations for diffusions
Stochastic Processes and their Applications | 1987-01-01 | Paper |
An Extension of Ito’s Differentiation Formula
Nagoya Mathematical Journal | 1987-01-01 | Paper |
Nonlinear filtering and Riemannian scalar curvature, \({\mathbb{R}}\)
Advances in Applied Mathematics | 1987-01-01 | Paper |
scientific article; zbMATH DE number 4026469 (Why is no real title available?)
| 1986-01-01 | Paper |
The Zakai forms of the prediction and smoothing equations (Corresp.)
IEEE Transactions on Information Theory | 1986-01-01 | Paper |
Reverse time differentiation and smoothing formulae for a finite state Markov process
The Annals of Probability | 1986-01-01 | Paper |
The optimal control of a two-parameter jump process
Lithuanian Mathematical Journal | 1986-01-01 | Paper |
Reverse-time Markov processes (Corresp.)
IEEE Transactions on Information Theory | 1986-01-01 | Paper |
scientific article; zbMATH DE number 3944959 (Why is no real title available?)
| 1986-01-01 | Paper |
Nonlinear filtering theory for coral/starfish and plant/herbivore interactions†
Stochastic Analysis and Applications | 1986-01-01 | Paper |
scientific article; zbMATH DE number 3897937 (Why is no real title available?)
| 1985-01-01 | Paper |
Filtrations for the two parameter jump process
Journal of Multivariate Analysis | 1985-01-01 | Paper |
A special semimartingale derivation of smoothing and prediction equations
Systems & Control Letters | 1985-01-01 | Paper |
The Single Jump Process with Some Statistical Applications
Theory of Probability & Its Applications | 1985-01-01 | Paper |
Reverse time diffusions
Stochastic Processes and their Applications | 1985-01-01 | Paper |
Semimartingales and the empirical distribution
Mathematical Proceedings of the Cambridge Philosophical Society | 1984-01-01 | Paper |
Convergence of the empirical distribution to the poisson process
Stochastics | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3899873 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3786628 (Why is no real title available?)
| 1982-01-01 | Paper |
scientific article; zbMATH DE number 3793150 (Why is no real title available?)
| 1982-01-01 | Paper |
Component Failure and Compensators
IEEE Transactions on Reliability | 1982-01-01 | Paper |
Prior play in a deterministic differential game
Journal of Mathematical Analysis and Applications | 1982-01-01 | Paper |
On the existence of optimal partially observed controls
Applied Mathematics and Optimization | 1982-01-01 | Paper |
scientific article; zbMATH DE number 3815482 (Why is no real title available?)
| 1982-01-01 | Paper |
scientific article; zbMATH DE number 3718271 (Why is no real title available?)
| 1981-01-01 | Paper |
scientific article; zbMATH DE number 3738649 (Why is no real title available?)
| 1981-01-01 | Paper |
Robust filtering for correlated multidimensional observations
Mathematische Zeitschrift | 1981-01-01 | Paper |
Optimal Play in a Stochastic Differential Game
SIAM Journal on Control and Optimization | 1981-01-01 | Paper |
scientific article; zbMATH DE number 3718288 (Why is no real title available?)
| 1981-01-01 | Paper |
Martingales, potentials and exponentials associated with a two-parameter jump process
Stochastics | 1981-01-01 | Paper |
scientific article; zbMATH DE number 3780067 (Why is no real title available?)
| 1980-01-01 | Paper |
The variational principle and stochastic optimal control
Stochastics | 1980-01-01 | Paper |
scientific article; zbMATH DE number 3651493 (Why is no real title available?)
| 1979-01-01 | Paper |
scientific article; zbMATH DE number 3650437 (Why is no real title available?)
| 1979-01-01 | Paper |
scientific article; zbMATH DE number 3642199 (Why is no real title available?)
| 1979-01-01 | Paper |
scientific article; zbMATH DE number 3566704 (Why is no real title available?)
| 1977-01-01 | Paper |
The Optimal Control of a Stochastic System
SIAM Journal on Control and Optimization | 1977-01-01 | Paper |
Levy systems and absolutely continuous changes of measure for a jump process
Journal of Mathematical Analysis and Applications | 1977-01-01 | Paper |
Innovation projections of a jump process and local martingales
Mathematical Proceedings of the Cambridge Philosophical Society | 1977-01-01 | Paper |
scientific article; zbMATH DE number 3599862 (Why is no real title available?)
| 1977-01-01 | Paper |
Optimal control of a jump process
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1977-01-01 | Paper |
Levy functionals and jump process martingales
Journal of Mathematical Analysis and Applications | 1977-01-01 | Paper |
scientific article; zbMATH DE number 3591825 (Why is no real title available?)
| 1977-01-01 | Paper |
scientific article; zbMATH DE number 3572973 (Why is no real title available?)
| 1976-01-01 | Paper |
A stochastic minimum principle
Bulletin of the American Mathematical Society | 1976-01-01 | Paper |
The Existence of Value in Stochastic Differential Games
SIAM Journal on Control and Optimization | 1976-01-01 | Paper |
Stochastic integrals for martingales of a jump process with partially accessible jump times
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1976-01-01 | Paper |
A Note on Generalized Pursuit-Evasion Games
SIAM Journal on Control | 1975-01-01 | Paper |
scientific article; zbMATH DE number 3518579 (Why is no real title available?)
| 1975-01-01 | Paper |
scientific article; zbMATH DE number 3518580 (Why is no real title available?)
| 1975-01-01 | Paper |
scientific article; zbMATH DE number 3518581 (Why is no real title available?)
| 1975-01-01 | Paper |
scientific article; zbMATH DE number 3495976 (Why is no real title available?)
| 1975-01-01 | Paper |
Alternate play in differential games
Journal of Differential Equations | 1974-01-01 | Paper |
scientific article; zbMATH DE number 3466881 (Why is no real title available?)
| 1974-01-01 | Paper |
scientific article; zbMATH DE number 3472621 (Why is no real title available?)
| 1974-01-01 | Paper |
Cauchy Problems for Certain Isaacs-Bellman Equations and Games of Survival
| 1974-01-01 | Paper |
Boundary value problems for nonlinear partial differential operators
Journal of Mathematical Analysis and Applications | 1974-01-01 | Paper |
Quasilinear resolutions of non-linear equations
Manuscripta Mathematica | 1974-01-01 | Paper |
scientific article; zbMATH DE number 3489933 (Why is no real title available?)
| 1974-01-01 | Paper |
Saddle Points for Linear Differential Games
SIAM Journal on Control | 1973-01-01 | Paper |
Upper values of differential games
Journal of Differential Equations | 1973-01-01 | Paper |
Values in differential games
Bulletin of the American Mathematical Society | 1972-01-01 | Paper |
The existence of value in differential games of pursuit and evasion
Journal of Differential Equations | 1972-01-01 | Paper |
A max-min differential game in Hilbert space
International Journal of Systems Science. Principles and Applications of Systems and Integration | 1972-01-01 | Paper |
The existence of value in differential games
Memoirs of the American Mathematical Society | 1972-01-01 | Paper |
scientific article; zbMATH DE number 3365085 (Why is no real title available?)
| 1972-01-01 | Paper |
scientific article; zbMATH DE number 3318924 (Why is no real title available?)
| 1970-01-01 | Paper |
Some Results on Diagrams of Topological Groups
Bulletin of the London Mathematical Society | 1970-01-01 | Paper |
scientific article; zbMATH DE number 3312120 (Why is no real title available?)
| 1970-01-01 | Paper |
scientific article; zbMATH DE number 3303519 (Why is no real title available?)
| 1970-01-01 | Paper |
Almost Hypoelliptic Differential Operators
Proceedings of the London Mathematical Society | 1969-01-01 | Paper |
Inductive Limits of Uniform Spaces
Journal of the London Mathematical Society | 1967-01-01 | Paper |
Analytic Functions in Locally Convex Algebras
Proceedings of the London Mathematical Society | 1966-01-01 | Paper |
scientific article; zbMATH DE number 3223893 (Why is no real title available?)
| 1965-01-01 | Paper |
scientific article; zbMATH DE number 3223894 (Why is no real title available?)
| 1965-01-01 | Paper |
