Dela Vega, Engel John C.; Elliott, Robert J. Backward stochastic differential equations with regime-switching and sublinear expectations. (English) Zbl 1492.60161 Stochastic Processes Appl. 148, 278-298 (2022). MSC: 60H10 60J28 PDFBibTeX XMLCite \textit{E. J. C. Dela Vega} and \textit{R. J. Elliott}, Stochastic Processes Appl. 148, 278--298 (2022; Zbl 1492.60161) Full Text: DOI arXiv
Siu, Tak Kuen; Elliott, Robert J. Hedging options in a doubly Markov-modulated financial market via stochastic flows. (English) Zbl 1431.91404 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019). Reviewer: George Stoica (Saint John) MSC: 91G20 60J28 91G10 PDFBibTeX XMLCite \textit{T. K. Siu} and \textit{R. J. Elliott}, Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019; Zbl 1431.91404) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen A note on regime-switching Kolmogorov’s forward and backward equations using stochastic flows. (English) Zbl 1392.60060 J. Math. Anal. Appl. 460, No. 2, 891-899 (2018). MSC: 60H20 60J27 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, J. Math. Anal. Appl. 460, No. 2, 891--899 (2018; Zbl 1392.60060) Full Text: DOI Link
Zhu, Dong-Mei; Ching, Wai-Ki; Elliott, Robert J.; Siu, Tak-Kuen; Zhang, Lianmin Hidden Markov models with threshold effects and their applications to oil price forecasting. (English) Zbl 1364.90352 J. Ind. Manag. Optim. 13, No. 2, 757-773 (2017). MSC: 90C40 90C15 60J05 PDFBibTeX XMLCite \textit{D.-M. Zhu} et al., J. Ind. Manag. Optim. 13, No. 2, 757--773 (2017; Zbl 1364.90352) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen A note on differentiability in a Markov chain market using stochastic flows. (English) Zbl 1336.91073 Stochastic Anal. Appl. 33, No. 1, 110-122 (2015). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 91G80 60J28 60H30 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Stochastic Anal. Appl. 33, No. 1, 110--122 (2015; Zbl 1336.91073) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen Filtering and change point estimation for hidden Markov-modulated Poisson processes. (English) Zbl 1311.62128 Appl. Math. Lett. 28, 66-71 (2014). MSC: 62M05 60J27 60G35 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Appl. Math. Lett. 28, 66--71 (2014; Zbl 1311.62128) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen Markovian forward-backward stochastic differential equations and stochastic flows. (English) Zbl 1273.60067 Syst. Control Lett. 61, No. 10, 1017-1022 (2012). MSC: 60H10 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Syst. Control Lett. 61, No. 10, 1017--1022 (2012; Zbl 1273.60067) Full Text: DOI Link
Elliott, Robert J.; Siu, Tak Kuen Attainable contingent claims in a Markovian regime-switching market. (English) Zbl 1260.91246 Int. J. Theor. Appl. Finance 15, No. 8, Article ID 1250055, 19 p. (2012). MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Int. J. Theor. Appl. Finance 15, No. 8, Article ID 1250055, 19 p. (2012; Zbl 1260.91246) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru On pricing and hedging options in regime-switching models with feedback effect. (English) Zbl 1209.91156 J. Econ. Dyn. Control 35, No. 5, 694-713 (2011). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 60G48 60H30 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., J. Econ. Dyn. Control 35, No. 5, 694--713 (2011; Zbl 1209.91156) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen On Markov-modulated exponential-affine bond price formulae. (English) Zbl 1169.91342 Appl. Math. Finance 16, No. 1-2, 1-15 (2009). MSC: 91G30 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Appl. Math. Finance 16, No. 1--2, 1--15 (2009; Zbl 1169.91342) Full Text: DOI
Chesney, Marc; Elliott, Robert J.; Gibson, Rajna Analytical solutions for the pricing of American bond and yield options. (English) Zbl 0884.90019 Math. Finance 3, No. 3, 277-294 (1993). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{M. Chesney} et al., Math. Finance 3, No. 3, 277--294 (1993; Zbl 0884.90019) Full Text: DOI
Elliott, Robert J.; Tsoi, Allanus H. Integration by parts for the single jump process. (English) Zbl 0749.60044 Stat. Probab. Lett. 12, No. 5, 363-370 (1991). Reviewer: M.Kohlmann (St.Augustin) MSC: 60G55 60H05 60G44 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{A. H. Tsoi}, Stat. Probab. Lett. 12, No. 5, 363--370 (1991; Zbl 0749.60044) Full Text: DOI
Elliott, Robert J. Filtering with a small nonlinear term in the signal. (English) Zbl 0704.93069 Syst. Control Lett. 15, No. 1, 81-90 (1990). MSC: 93E11 60G35 93C10 PDFBibTeX XMLCite \textit{R. J. Elliott}, Syst. Control Lett. 15, No. 1, 81--90 (1990; Zbl 0704.93069) Full Text: DOI
Al-Hussaini, Ata N.; Elliott, Robert J. Markov bridges and enlarged filtrations. (English) Zbl 0739.60034 Can. J. Stat. 17, No. 3, 329-332 (1989). Reviewer: Ion Cuculescu (Bucureşti) MSC: 60G44 60J27 PDFBibTeX XMLCite \textit{A. N. Al-Hussaini} and \textit{R. J. Elliott}, Can. J. Stat. 17, No. 3, 329--332 (1989; Zbl 0739.60034) Full Text: DOI
Elliott, Robert J.; Kohlmann, Michael Martingale representation and the Malliavin calculus. (English) Zbl 0685.60043 Appl. Math. Optimization 20, No. 1, 105-112 (1989). Reviewer: A.Yu.Veretennikov MSC: 60G35 60H10 60G44 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{M. Kohlmann}, Appl. Math. Optim. 20, No. 1, 105--112 (1989; Zbl 0685.60043) Full Text: DOI
Elliott, Robert J.; Kohlmann, Michael The existence of smooth densities for the prediction filtering and smoothing problems. (English) Zbl 0681.93065 Acta Appl. Math. 14, No. 3, 269-286 (1989). MSC: 93E11 60H10 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{M. Kohlmann}, Acta Appl. Math. 14, No. 3, 269--286 (1989; Zbl 0681.93065) Full Text: DOI
Elliott, Robert J.; Kopp, P. Ekkehard Direct solutions of Kolmogorov’s equations by stochastic flows. (English) Zbl 0678.60045 J. Math. Anal. Appl. 142, No. 1, 26-34 (1989). Reviewer: M.Kohlmann MSC: 60H15 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{P. E. Kopp}, J. Math. Anal. Appl. 142, No. 1, 26--34 (1989; Zbl 0678.60045) Full Text: DOI
Antonelli, P.; Bradbury, R.; Buck, R.; Reichelt, R.; Elliott, R. Nonlinear prediction of crown-of-thorns outbreaks on the great barrier reef. (English) Zbl 0669.60047 Stochastic Anal. Appl. 6, No. 4, 349-363 (1988). Reviewer: M.Chaleyat-Maurel MSC: 60G35 92D40 60H10 PDFBibTeX XMLCite \textit{P. Antonelli} et al., Stochastic Anal. Appl. 6, No. 4, 349--363 (1988; Zbl 0669.60047) Full Text: DOI
Al-Hussaini, Ata N.; Elliott, Robert J. An extension of Ito’s differentiation formula. (English) Zbl 0596.60055 Nagoya Math. J. 105, 9-18 (1987). MSC: 60H05 PDFBibTeX XMLCite \textit{A. N. Al-Hussaini} and \textit{R. J. Elliott}, Nagoya Math. J. 105, 9--18 (1987; Zbl 0596.60055) Full Text: DOI
Al-Hussaini, Ata; Elliott, R. J. The optimal control of a two-parameter jump process. (English) Zbl 0606.93069 Lith. Math. J. 26, 77-87 (1986); reprint from Lit. Mat. Sb. 26, No. 1, 128-142 (1986). Reviewer: T.Duncan MSC: 93E20 49K45 60J75 PDFBibTeX XMLCite \textit{A. Al-Hussaini} and \textit{R. J. Elliott}, Lith. Math. J. 26, 77--87 (1986; Zbl 0606.93069) Full Text: DOI
Al-Hussaini, Ata; Elliott, Robert J. Filtrations for the two parameter jump process. (English) Zbl 0649.60057 J. Multivariate Anal. 16, 118-139 (1985). MSC: 60G48 60G55 PDFBibTeX XMLCite \textit{A. Al-Hussaini} and \textit{R. J. Elliott}, J. Multivariate Anal. 16, 118--139 (1985; Zbl 0649.60057) Full Text: DOI
Elliott, Robert J.; Anderson, Brian D. O. Reverse time diffusions. (English) Zbl 0577.60058 Stochastic Processes Appl. 19, 327-339 (1985). MSC: 60H10 60J60 60J65 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{B. D. O. Anderson}, Stochastic Processes Appl. 19, 327--339 (1985; Zbl 0577.60058) Full Text: DOI
Elliott, Robert J.; Kohlmann, Michael On the existence of optimal partially observed controls. (English) Zbl 0525.93067 Appl. Math. Optimization 9, 41-66 (1982). MSC: 93E20 60J60 49J55 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{M. Kohlmann}, Appl. Math. Optim. 9, 41--66 (1982; Zbl 0525.93067) Full Text: DOI
Al-Hussaini, Ata; Elliott, Robert J. Martingales, potentials and exponentials associated with a two-parameter jump process. (English) Zbl 0516.60094 Stochastics 6, 23-42 (1981). MSC: 60J75 60G44 PDFBibTeX XMLCite \textit{A. Al-Hussaini} and \textit{R. J. Elliott}, Stochastics 6, 23--42 (1981; Zbl 0516.60094) Full Text: DOI
Elliott, Robert J.; Kohlmann, Michael Robust filtering for correlated multidimensional observations. (English) Zbl 0458.60029 Math. Z. 178, 559-578 (1981). MSC: 60G35 93E11 60H10 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{M. Kohlmann}, Math. Z. 178, 559--578 (1981; Zbl 0458.60029) Full Text: DOI EuDML
Elliott, Robert J. Levy systems and absolutely continuous changes of measure for a jump process. (English) Zbl 0371.60064 J. Math. Anal. Appl. 61, 785-796 (1977). MSC: 60G99 PDFBibTeX XMLCite \textit{R. J. Elliott}, J. Math. Anal. Appl. 61, 785--796 (1977; Zbl 0371.60064) Full Text: DOI
Davis, Mark; Elliott, Robert Optimal control of a jump process. (English) Zbl 0349.60084 Z. Wahrscheinlichkeitstheor. Verw. Geb. 40, 183-202 (1977). Reviewer: Robert J. Elliott (Edmonton) MSC: 60J75 93E20 PDFBibTeX XMLCite \textit{M. Davis} and \textit{R. Elliott}, Z. Wahrscheinlichkeitstheor. Verw. Geb. 40, 183--202 (1977; Zbl 0349.60084) Full Text: DOI
Elliott, Robert J. Levy functionals and jump process martingales. (English) Zbl 0349.60083 J. Math. Anal. Appl. 57, 638-652 (1977). Reviewer: Robert J. Elliott (Edmonton) MSC: 60J75 PDFBibTeX XMLCite \textit{R. J. Elliott}, J. Math. Anal. Appl. 57, 638--652 (1977; Zbl 0349.60083) Full Text: DOI
Elliott, Robert J. Innovation projections of a jump process and local martingales. (English) Zbl 0349.60050 Math. Proc. Camb. Philos. Soc. 81, 77-90 (1977). Reviewer: R. J. Elliott (Edmonton) MSC: 60J75 PDFBibTeX XMLCite \textit{R. J. Elliott}, Math. Proc. Camb. Philos. Soc. 81, 77--90 (1977; Zbl 0349.60050) Full Text: DOI
Elliott, Robert J. Stochastic integrals for martingales of a jump process with partially accessible jump times. (English) Zbl 0325.60055 Z. Wahrscheinlichkeitstheor. Verw. Geb. 36, 213-226 (1976). MSC: 60H05 60G05 PDFBibTeX XMLCite \textit{R. J. Elliott}, Z. Wahrscheinlichkeitstheor. Verw. Geb. 36, 213--226 (1976; Zbl 0325.60055) Full Text: DOI