The following pages link to Robert J. Elliott (Q234255):
Displaying 50 items.
- Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise (Q287812) (← links)
- Non-Gaussian GARCH option pricing models and their diffusion limits (Q320097) (← links)
- Markovian forward-backward stochastic differential equations and stochastic flows (Q360694) (← links)
- A Bayesian approach for optimal reinsurance and investment in a diffusion model (Q383414) (← links)
- Portfolio risk minimization and differential games (Q425781) (← links)
- Filtering a nonlinear stochastic volatility model (Q437251) (← links)
- Strategic asset allocation under a fractional hidden Markov model (Q479173) (← links)
- Pricing of discount bonds with a Markov switching regime (Q481375) (← links)
- Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969) (← links)
- A simple efficient approximation to price basket stock options with volatility smile (Q525204) (← links)
- Control of discrete-time HMM partially observed under fractional Gaussian noises (Q539919) (← links)
- Pricing and hedging contingent claims with regime switching risk (Q548447) (← links)
- On the existence of optimal partially observed controls (Q594835) (← links)
- A filter for a state space model with fractional Gaussian noise (Q608478) (← links)
- A BSDE approach to a risk-based optimal investment of an insurer (Q627068) (← links)
- A filter for a hidden Markov chain observed in fractional Gaussian noise (Q627717) (← links)
- On pricing and hedging options in regime-switching models with feedback effect (Q633323) (← links)
- Utility-based indifference pricing in regime-switching models (Q640157) (← links)
- Characteristic functions and option valuation in a Markov chain market (Q651452) (← links)
- On filtering and estimation of a threshold stochastic volatility model (Q658656) (← links)
- Insurance claims modulated by a hidden Brownian marked point process (Q659112) (← links)
- Esscher transforms and consumption-based models (Q659151) (← links)
- An M-ary detection approach for asset allocation (Q660845) (← links)
- Option pricing and Esscher transform under regime switching (Q665552) (← links)
- A PDE approach for risk measures for derivatives with regime switching (Q665800) (← links)
- MAP estimation using measure change for continuous-state random fields (Q673171) (← links)
- Finite-dimensional quasi-linear risk-sensitive control (Q673558) (← links)
- A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows (Q681793) (← links)
- Existence, uniqueness and comparisons for BSDEs in general spaces (Q690880) (← links)
- Mathematics of financial markets. (Q703590) (← links)
- Some properties of generalized anticipated backward stochastic differential equations (Q743035) (← links)
- An integral representation on the path space for scattering length (Q749046) (← links)
- Time reversal of non-Markov point processes (Q750007) (← links)
- (Q791999) (redirect page) (← links)
- Robustness in the theory of nonlinear filtration (Q792000) (← links)
- Optimal control of nonlinear probabilistic systems on the basis of an incomplete state vector (Q796488) (← links)
- Remarks on the finite energy condition in additive white noise filtering (Q800882) (← links)
- Filtering for a logistic equation (Q804082) (← links)
- Closed loop parameter identifiability and adaptive control of a linear stochastic system (Q804537) (← links)
- On diffusion approximations for filtering (Q808521) (← links)
- Binomial models in finance. (Q818042) (← links)
- Option pricing for pure jump processes with Markov switching compensators (Q854276) (← links)
- Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case (Q895118) (← links)
- Credit risk and contagion via self-exciting default intensity (Q902175) (← links)
- Event-based state estimation of discrete-state hidden Markov models (Q905770) (← links)
- A Stroock Varadhan support theorem in non-linear filtering theory (Q908579) (← links)
- Diffusion approximation of videoconference networks (Q914272) (← links)
- Filtering with a small nonlinear term in the signal (Q917517) (← links)
- A general theory of finite state backward stochastic difference equations (Q963031) (← links)
- A Zakai equation derivation of the extended Kalman filter (Q987630) (← links)
