scientific article; zbMATH DE number 4176948

zbMATH Open0714.93048MaRDI QIDQ3200962FDOQ3200962

Authors: Robert J. Elliott 

Publication date: 1990

Title of this publication is not available (Why is that?)

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zbMATH Keywords

predictionsmoothingfilteringvariational inequalityminimum principleZakai equationsapproximate minimum principlepartially observed Markov chains

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Data smoothing in stochastic control theory (93E14)

Cited In (10)

• Title not available (Why is that?)
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
• Title not available (Why is that?)
• Suboptimal nonlinear filtering of the rate of an observed point process
• A game theoretic approach to option valuation under Markovian regime-switching models
• Estimation and decision for observations derived from martingales: Part II
• Filtering of derived point processes
• Title not available (Why is that?)
• Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
• A hidden Markov-modulated jump diffusion model for European option pricing

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