Edit Profile Elliott, Robert James Compute Distance To: Compute Author ID: elliott.robert-j Published as: Elliott, R.; Elliott, R. J.; Elliott, Robert; Elliott, Robert J. Homepage: http://people.unisa.edu.au/Robert.Elliott External Links: MGP · Wikidata · GND Documents Indexed: 364 Publications since 1965, including 16 Books Reviewing Activity: 49 Reviews Biographic References: 1 Publication all top 5 Co-Authors 59 single-authored 55 Siu, Tak Kuen 20 van der Hoek, John 16 Al-Hussaini, Ata N. 15 Aggoun, Lakhdar 14 Kohlmann, Michael 11 Chan, Leunglung 11 Cohen, Samuel N. 10 Kalton, Nigel John 10 Krishnamurthy, Vikram 10 Moore, John Barratt 9 Miao, Hong 8 Malcolm, William P. 7 Charalambous, Charalambos D. 7 Yang, Hailiang 6 Deng, Jia 6 Kopp, Peter Ekkehard 6 Malcolm, W. Paul 6 Tsoi, Allanus H. 6 Yang, Zhe 5 Badescu, Alexandru M. 5 Davis, Mark H. A. 5 Madan, Dilip B. 5 Swishchuk, Anatoliy 4 Antonelli, Peter Louis 4 Bensoussan, Alain 4 Dufour, François 4 James, Matthew R. 4 Mamon, Rogemar S. 4 Sworder, David D. 3 Barone-Adesi, Giovanni 3 Chesney, Marc 3 Colwell, David B. 3 Lau, John Wei 3 Shen, Jia 3 Shen, Leo 3 Wu, Ping 3 Zhang, Xin 2 Baras, John S. 2 Bender, Christian 2 Buffington, John 2 Chen, Tongwen 2 Ching, Wai-Ki 2 Dey, Subhrakanti 2 Filinkov, Alexei 2 Friedman, Avner 2 Hinz, Juri 2 Jeanblanc, Monique 2 Li, Xun 2 Liew, Chuin Ching 2 Markus, Lawrence 2 Ni, Yuanhua 2 Ortega, Juan-Pablo 2 Platen, Eckhard 2 Shi, Dawei 2 Siu, Chi Chung 2 Wu, Zhenyu 2 Yu, Jin 2 Zhang, Lianmin 2 Zhu, Dongmei 2 Zhu, Songping 1 Aldabe, Fermin 1 Anderson, Brian David Outram 1 Bean, Nigel G. 1 Beneš, Václav Edvard 1 Benmerzouga, Ali 1 Boyd, John E. 1 Bradbury, Roger H. 1 Bradrania, Reza 1 Buck, Robert E. 1 Cadenillas, Abel 1 Chavez-Casillas, Jonathan A. 1 Chen, Zhiping 1 Cutland, Nigel J. 1 Dempster, Michael A. H. 1 Duan, Qihong 1 Elder, John IV 1 Eshragh, Ali 1 Fischer, Pal 1 Föllmer, Hans 1 Ford, Jason J. 1 Fu, Michael C. 1 Fung, Eric S. 1 Geman, Hélyette 1 Gibson, Rajna 1 Glowinski, Roland 1 Guo, Ivan 1 Guo, Junyi 1 Hamada, Ahmed S. 1 Han, Bing 1 Haykin, Simon S. 1 Hunter, William C. 1 Hyndman, Cody Blaine 1 Jamieson, Barbara M. 1 Jarrow, Robert Alan 1 Jarvis, Trevor M. 1 Korkie, Bob M. 1 Korolkiewicz, Małgorzata Wiktoria 1 Krolkiewicz, Małgorzata W. 1 Kulperger, Reg J. 1 Lahaie, Charles H. ...and 33 more Co-Authors all top 5 Serials 34 Stochastic Analysis and Applications 23 IEEE Transactions on Automatic Control 15 Systems & Control Letters 12 International Journal of Theoretical and Applied Finance 11 SIAM Journal on Control and Optimization 11 Quantitative Finance 10 Automatica 9 Applied Mathematics and Optimization 7 Journal of Mathematical Analysis and Applications 7 Journal of Economic Dynamics & Control 7 Mathematical Finance 6 IEEE Transactions on Information Theory 6 Stochastic Processes and their Applications 6 Annals of Finance 5 Applied Mathematical Finance 5 Methodology and Computing in Applied Probability 4 Journal of Applied Probability 4 Stochastics and Stochastics Reports 4 Proceedings of the Cambridge Philosophical Society 4 Communications on Stochastic Analysis 3 Stochastics 3 The Annals of Probability 3 Journal of Differential Equations 3 Insurance Mathematics & Economics 3 Statistics & Probability Letters 3 Journal of Mathematical Systems, Estimation, and Control 3 Finance and Stochastics 3 Applied Stochastic Models in Business and Industry 3 Asia-Pacific Financial Markets 3 Springer Finance 2 Advances in Applied Probability 2 Computers & Mathematics with Applications 2 Mathematical Proceedings of the Cambridge Philosophical Society 2 Applied Mathematics and Computation 2 Journal of Multivariate Analysis 2 Journal of Optimization Theory and Applications 2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 2 Proceedings of the London Mathematical Society. Third Series 2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 2 Applied Stochastic Models and Data Analysis 2 International Journal of Adaptive Control and Signal Processing 2 The Canadian Applied Mathematics Quarterly 2 Electronic Communications in Probability 2 Mathematical Methods of Operations Research 2 Bulletin of the American Mathematical Society 2 SIAM Journal on Control 2 International Series in Operations Research & Management Science 2 Applications of Mathematics 1 The Canadian Journal of Statistics 1 IEEE Transactions on Reliability 1 IMA Journal of Applied Mathematics 1 International Journal of Control 1 International Journal of Systems Science 1 Journal of Engineering Mathematics 1 Lithuanian Mathematical Journal 1 Revue Roumaine de Mathématiques Pures et Appliquées 1 Teoriya Veroyatnosteĭ i eë Primeneniya 1 Theory of Probability and its Applications 1 Annales Polonici Mathematici 1 Bulletin of the London Mathematical Society 1 Compositio Mathematica 1 Journal of Computational and Applied Mathematics 1 Journal of Statistical Planning and Inference 1 Manuscripta Mathematica 1 Mathematics of Operations Research 1 Mathematische Zeitschrift 1 Memoirs of the American Mathematical Society 1 Nagoya Mathematical Journal 1 Transactions of the American Mathematical Society 1 Advances in Applied Mathematics 1 Probability and Mathematical Statistics 1 Acta Applicandae Mathematicae 1 Applied Mathematics Letters 1 Mathematical and Computer Modelling 1 MCSS. Mathematics of Control, Signals, and Systems 1 Journal of Applied Mathematics and Stochastic Analysis 1 Annals of Operations Research 1 IEEE Transactions on Signal Processing 1 The Annals of Applied Probability 1 European Journal of Operational Research 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 International Journal of Robust and Nonlinear Control 1 Computational Economics 1 Theory of Probability and Mathematical Statistics 1 Nonlinear Dynamics 1 The Econometrics Journal 1 Discrete and Continuous Dynamical Systems. Series B 1 Stochastic Models 1 IMA Journal of Management Mathematics 1 OR Spectrum 1 Communications in Mathematical Sciences 1 Journal of Industrial and Management Optimization 1 Journal of the London Mathematical Society 1 London Mathematical Society Lecture Note Series 1 Cambridge Series in Statistical and Probabilistic Mathematics 1 Probability and its Applications 1 Applied and Numerical Harmonic Analysis all top 5 Fields 214 Probability theory and stochastic processes (60-XX) 158 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 132 Systems theory; control (93-XX) 56 Statistics (62-XX) 30 Calculus of variations and optimal control; optimization (49-XX) 14 Numerical analysis (65-XX) 14 Operations research, mathematical programming (90-XX) 9 Partial differential equations (35-XX) 4 General and overarching topics; collections (00-XX) 4 Ordinary differential equations (34-XX) 4 Biology and other natural sciences (92-XX) 4 Information and communication theory, circuits (94-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Global analysis, analysis on manifolds (58-XX) 2 Functional analysis (46-XX) 1 Mathematical logic and foundations (03-XX) 1 Topological groups, Lie groups (22-XX) 1 Potential theory (31-XX) 1 Difference and functional equations (39-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operator theory (47-XX) 1 General topology (54-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 276 Publications have been cited 3,277 times in 1,849 Documents Cited by ▼ Year ▼ Hidden Markov models. Estimation and control. Zbl 0819.60045Elliott, Robert J.; Aggoun, Lakhdar; Moore, John B. 322 1995 Stochastic calculus and applications. Zbl 0503.60062Elliott, Robert J. 223 1982 American options with regime switching. Zbl 1107.91325Buffington, John; Elliott, Robert J. 195 2002 Option pricing and Esscher transform under regime switching. Zbl 1233.91270Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 158 2005 A general fractional white noise theory and applications to finance. Zbl 1069.91047Elliott, Robert J.; van der Hoek, John 78 2003 On models of default risk. Zbl 1042.91038Elliott, R. J.; Jeanblanc, M.; Yor, M. 72 2000 The existence of value in differential games of pursuit and evasion. Zbl 0244.90046Elliott, Robert J.; Kalton, Nigel J. 57 1972 Mathematics of financial markets. Zbl 0943.91035Elliott, Robert J.; Kopp, P. Ekkehard 48 1999 Pricing volatility swaps under Heston’s stochastic volatility model with regime switching. Zbl 1281.91161Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 47 2007 An application of hidden Markov models to asset allocation problems. Zbl 0907.90022Elliott, Robert J.; van der Hoek, John 44 1997 Pricing options under a generalized Markov-modulated jump-diffusion model. Zbl 1155.91380Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung; Lau, John W. 42 2007 New finite-dimensional filters and smoothers for noisily observed Markov chains. Zbl 0779.93093Elliott, Robert J. 42 1993 Mathematics of financial markets. 2nd ed. Zbl 1140.91032Elliott, Robert J.; Kopp, P. Ekkehard 41 2005 Risk-sensitive control and dynamic games for partially observed discrete- time nonlinear systems. Zbl 0807.93067James, Matthew R.; Baras, John S.; Elliott, Robert J. 40 1994 Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034Elliott, Robert J.; Osakwe, Carlton-James U. 39 2006 Pairs trading. Zbl 1134.91415Elliott, Robert J.; van der Hoek, John; Malcolm, William P. 38 2005 On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Zbl 1233.91242Elliott, Robert J.; Siu, Tak Kuen 37 2010 The existence of value in stochastic differential games. Zbl 0328.90085Elliott, Robert 37 1976 Discrete time mean-field stochastic linear-quadratic optimal control problems. Zbl 1358.93189Elliott, Robert; Li, Xun; Ni, Yuan-Hua 36 2013 Regime switching and European options. Zbl 1073.91027Buffington, John; Elliott, Robert J. 34 2002 Stochastic calculus and applications. 2nd revised and expanded edition. Zbl 1338.60001Cohen, Samuel N.; Elliott, Robert J. 32 2015 On Markov-modulated exponential-affine bond price formulae. Zbl 1169.91342Elliott, Robert J.; Siu, Tak Kuen 32 2009 Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions. Zbl 1195.60077Cohen, Samuel N.; Elliott, Robert J. 31 2010 A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance. Zbl 1244.93180Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen 29 2012 A general theory of finite state backward stochastic difference equations. Zbl 1205.60111Cohen, Samuel N.; Elliott, Robert J. 29 2010 Robust parameter estimation for asset price models with Markov modulated volatilities. Zbl 1178.91222Elliott, R. J.; Malcolm, W. P.; Tsoi, Allanus H. 28 2003 The existence of value in differential games. Zbl 0262.90076Elliott, Robert J.; Kalton, Nigel J. 28 1972 Existence, uniqueness and comparisons for BSDEs in general spaces. Zbl 1260.60128Cohen, Samuel N.; Elliott, Robert J. 27 2012 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346Elliott, Robert J.; Siu, Tak Kuen 27 2011 Solutions of backward stochastic differential equations on Markov chains. Zbl 1331.60108Cohen, Samuel N.; Elliott, Robert J. 26 2008 Exact adaptive filters for Markov chains observed in Gaussian noise. Zbl 0823.93061Elliott, Robert J. 23 1994 Optimal play in a stochastic differential game. Zbl 0467.90094Elliott, R. J.; Davis, M. H. A. 23 1981 On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru 22 2011 New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models. Zbl 0959.93055Elliott, Robert J.; Krishnamurthy, Vikram 22 1999 Discontinuous asset prices and non-attainable contingent claims. Zbl 0884.90021Colwell, David B.; Elliott, Robert J. 22 1993 Values in differential games. Zbl 0253.90074Elliott, Robert J.; Kalton, Nigel J. 21 1972 Saddle points for linear differential games. Zbl 0229.90061Elliott, R. J.; Kalton, N. J.; Markus, L. 19 1972 Hidden Markov models in finance. Zbl 1116.91007Mamon, Rogemar S. (ed.); Elliott, Robert J. (ed.) 18 2007 The optimal control of a stochastic system. Zbl 0359.93046Elliott, Robert J. 18 1977 Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case. Zbl 1281.91160Elliott, Robert J.; Lian, Guang-Hua 17 2013 Filtering with discrete state observations. Zbl 0955.62094Dufour, F.; Elliott, R. J. 17 1999 The partially observed stochastic minimum principle. Zbl 0681.93068Baras, John S.; Elliott, Robert J.; Kohlmann, Michael 17 1989 Integration by parts, homogeneous chaos expansions and smooth densities. Zbl 0671.60050Elliott, Robert J.; Kohlmann, Michael 17 1989 Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372Elliott, Robert J.; Siu, Tak Kuen 16 2009 A discrete time equivalent martingale measure. Zbl 0910.60033Elliott, Robert J.; Madan, Dilip B. 16 1998 Integration by parts for Poisson processes. Zbl 0768.60052Elliott, Robert J.; Tsoi, Allanus H. 16 1993 Saddle points for linear differential games. Zbl 0255.90086Elliott, R. J.; Kalton, N. J.; Markus, L. 16 1973 A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100Elliott, Robert J.; Siu, Tak Kuen 15 2011 The optimal control of diffusions. Zbl 0718.49013Elliott, Robert J. 15 1990 Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case. Zbl 1330.93244Ni, Yuan-Hua; Elliott, Robert; Li, Xun 14 2015 Portfolio optimization, hidden Markov models, and technical analysis of P&F-charts. Zbl 1107.91331Elliott, Robert; Hinz, Juri 14 2002 Exact finite-dimensional filters for maximum likelihood parameter estimation of continuous-time linear Gaussian systems. Zbl 0935.93061Elliott, Robert J.; Krishnamurthy, Vikram 14 1997 Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372Elliott, Robert J.; Siu, Tak Kuen 13 2013 American option prices in a Markov chain market model. Zbl 1286.91143van der Hoek, John; Elliott, Robert J. 13 2012 An HMM approach for optimal investment of an insurer. Zbl 1276.93084Elliott, Robert J.; Siu, Tak Kuen 13 2012 A general comparison theorem for backward stochastic differential equations. Zbl 1221.60079Cohen, Samuel N.; Elliott, Robert J.; Pearce, Charles E. M. 13 2010 Stochastic flows and the forward measure. Zbl 0987.60067Elliott, Robert J.; van der Hoek, John 13 2001 Drift and volatility estimation in discrete time. Zbl 0895.90047Elliott, Robert J.; Hunter, William C.; Jamieson, Barbara M. 13 1997 Analytical solutions for the pricing of American bond and yield options. Zbl 0884.90019Chesney, Marc; Elliott, Robert J.; Gibson, Rajna 13 1993 The variational principle and stochastic optimal control. Zbl 0434.49009Elliott, Robert J.; Kohlmann, Michael 13 1980 On pricing barrier options with regime switching. Zbl 1350.91016Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 12 2014 A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 12 2008 Estimating the implicit interest rate of a risky asset. Zbl 0797.60036Elliott, Robert J.; Rishel, Raymond W. 12 1994 A partially observed control problem for Markov chains. Zbl 0762.93009Elliott, Robert J. 12 1992 Approximations for the values of American options. Zbl 0729.60056Barone-Adesi, Giovanni; Elliott, Robert J. 12 1991 Martingale representation and hedging policies. Zbl 0737.60044Colwell, David B.; Elliott, Robert J.; Kopp, P. Ekkehard 12 1991 Cauchy problems for certain Isaacs-Bellman equations and games of survival. Zbl 0302.90074Elliott, Robert J.; Kalton, Nigel J. 12 1974 Asset pricing using finite state Markov chain stochastic discount functions. Zbl 1258.91079van der Hoek, John; Elliott, Robert J. 11 2012 Backward stochastic difference equations and nearly time-consistent nonlinear expectations. Zbl 1225.60092Cohen, Samuel N.; Elliott, Robert J. 11 2011 On the Clark-Ocone theorem for fractional Brownian motions with Hurst parameter bigger than a half. Zbl 1043.60027Bender, Christian; Elliott, Robert J. 11 2003 Finite-dimensional models for hidden Markov chains. Zbl 0823.60062Aggoun, Lakhdar; Elliott, Robert J. 11 1995 A short proof of a martingale representation result. Zbl 0645.60053Elliott, Robert J.; Kohlmann, Michael 11 1988 Upper values of differential games. Zbl 0248.90073Elliott, R. J.; Kalton, N. J. 11 1973 Two notes on spectral synthesis for discrete Abelian groups. Zbl 0138.07402Elliott, R. J. 11 1965 State and mode estimation for discrete-time jump Markov systems. Zbl 1130.93423Elliott, Robert J.; Dufour, Francois; Malcolm, W. P. 10 2005 A complete yield curve description of a Markov interest rate model. Zbl 1079.91027Elliott, Robert J.; Mamon, Rogemar S. 10 2003 Adaptive control of linear systems with Markov perturbations. Zbl 0919.93085Dufour, François; Elliott, Robert J. 10 1998 Almost sure parameter estimation and convergence rates for hidden Markov models. Zbl 0902.93066Elliott, R. J.; Moore, J. B. 10 1997 A finite-dimensional risk-sensitive control problem. Zbl 0841.93081Bensoussan, Alain; Elliott, Robert J. 10 1995 The second order minimum principle and adjoint process. Zbl 0824.60051Elliott, Robert J.; Kohlmann, Michael 10 1994 Robust filtering for correlated multidimensional observations. Zbl 0458.60029Elliott, Robert J.; Kohlmann, Michael 10 1981 Optimal control of a jump process. Zbl 0349.60084Davis, Mark; Elliott, Robert 10 1977 Event-based state estimation of discrete-state hidden Markov models. Zbl 1328.93256Shi, Dawei; Elliott, Robert J.; Chen, Tongwen 9 2016 Pricing and hedging contingent claims with regime switching risk. Zbl 1216.91032Elliott, Robert J.; Siu, Tak Kuen 9 2011 Option pricing for GARCH models with Markov switching. Zbl 1138.91437Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 9 2006 General smoothing formulas for Markov-modulated Poisson observations. Zbl 1365.93501Elliott, Robert J.; Malcolm, W. P. 9 2005 The variational principle for optimal control of diffusions with partial information. Zbl 0684.49011Elliott, Robert J.; Kohlmann, Michael 9 1989 Nonlinear filtering and Riemannian scalar curvature, \({\mathbb{R}}\). Zbl 0634.60038Antonelli, P. L.; Elliott, R. J.; Seymour, R. M. 9 1987 Stochastic integrals for martingales of a jump process with partially accessible jump times. Zbl 0325.60055Elliott, Robert J. 9 1976 Some results in spectral synthesis. Zbl 0138.07401Elliott, R. J. 9 1965 Esscher transforms and consumption-based models. Zbl 1231.91423Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen 8 2009 The term structure of interest rates in a hidden Markov setting. Zbl 1311.91182Elliott, Robert J.; Wilson, Craig A. 8 2007 Stochastic volatility model with filtering. Zbl 1136.60353Elliott, Robert J.; Miao, Hong 8 2006 An interest rate model with a Markovian mean reverting level. Zbl 1405.91661Elliott, Robert J.; Mamon, Rogemar S. 8 2002 Incomplete markets with jumps and informed agents. Zbl 0940.91063Elliott, Robert J.; Jeanblanc, Monique 8 1999 Exact hybrid filters in discrete time. Zbl 0873.93077Elliott, Robert J.; Dufour, François; Sworder, Dave D. 8 1996 Option pricing and hedge portfolios for Poisson processes. Zbl 0697.90007Elliott, Robert J.; Kopp, P. Ekkehard 8 1990 On finite-state stochastic modeling and secure estimation of cyber-physical systems. Zbl 1359.94658Shi, Dawei; Elliott, Robert J.; Chen, Tongwen 7 2017 Some properties of generalized anticipated backward stochastic differential equations. Zbl 1329.60204Yang, Zhe; Elliott, Robert J. 7 2013 Filtering a Markov modulated random measure. Zbl 1368.93711Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 7 2010 Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404Siu, Tak Kuen; Elliott, Robert J. 1 2019 Non-linear expectations in spaces of Colombeau generalized functions. Zbl 07065384Filinkov, Alexei; Elliott, Robert J. 1 2019 The mean squared loss control problem for a partially observed Markov chain. Zbl 1414.93204Lai, Y.; Elliott, R. J. 1 2019 Optimal execution with regime-switching market resilience. Zbl 1411.91648Siu, Chi Chung; Guo, Ivan; Zhu, Song-Ping; Elliott, Robert J. 1 2019 Estimating a regime switching pairs trading model. Zbl 1400.91539Elliott, Robert J.; Bradrania, Reza 2 2018 A note on regime-switching Kolmogorov’s forward and backward equations using stochastic flows. Zbl 1392.60060Elliott, Robert J.; Siu, Tak Kuen 2 2018 On finite-state stochastic modeling and secure estimation of cyber-physical systems. Zbl 1359.94658Shi, Dawei; Elliott, Robert J.; Chen, Tongwen 7 2017 A higher-order interactive hidden Markov model and its applications. Zbl 1396.60082Zhu, Dong-Mei; Ching, Wai-Ki; Elliott, Robert J.; Siu, Tak-Kuen; Zhang, Lianmin 1 2017 Filtering with uncertain noise. Zbl 1364.93796Elliott, Robert J. 1 2017 Event-based state estimation of discrete-state hidden Markov models. Zbl 1328.93256Shi, Dawei; Elliott, Robert J.; Chen, Tongwen 9 2016 Pricing options in a Markov regime switching model with a random acceleration for the volatility. Zbl 1418.91509Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 1 2016 Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise. Zbl 1338.60164Yang, Zhe; Ramarimbahoaka, Dimbinirina; Elliott, Robert J. 1 2016 Stochastic calculus and applications. 2nd revised and expanded edition. Zbl 1338.60001Cohen, Samuel N.; Elliott, Robert J. 32 2015 Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case. Zbl 1330.93244Ni, Yuan-Hua; Elliott, Robert; Li, Xun 14 2015 Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. Zbl 1390.91333Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N. 5 2015 A Dupire equation for a regime-switching model. Zbl 1337.91095Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 5 2015 Dynamic optimal capital structure with regime switching. Zbl 1403.91367Elliott, Robert J.; Shen, Jia 4 2015 Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170Elliott, Robert J.; Siu, Tak Kuen 3 2015 Non-Gaussian GARCH option pricing models and their diffusion limits. Zbl 1346.91225Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo 3 2015 Credit risk and contagion via self-exciting default intensity. Zbl 1369.91188Elliott, Robert J.; Shen, Jia 3 2015 Disappointment aversion premium principle. Zbl 1390.91131Cheung, Ka Chun; Chong, Wing Fung; Elliott, Robert; Yam, Sheung Chi Phillip 2 2015 A note on differentiability in a Markov chain market using stochastic flows. Zbl 1336.91073Elliott, Robert J.; Siu, Tak Kuen 2 2015 On pricing barrier options with regime switching. Zbl 1350.91016Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 12 2014 Pricing currency derivatives with Markov-modulated Lévy dynamics. Zbl 1403.91352Swishchuk, Anatoliy; Tertychnyi, Maksym; Elliott, Robert 4 2014 Hidden Markov models in finance. Further developments and applications. Volume II. Zbl 1291.91006Mamon, Rogemar S. (ed.); Elliott, Robert J. (ed.) 4 2014 Quadratic hedging schemes for non-Gaussian GARCH models. Zbl 1402.91751Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo 3 2014 Pricing of discount bonds with a Markov switching regime. Zbl 1319.91147Elliott, Robert J.; Nishide, Katsumasa 3 2014 Filtering and change point estimation for hidden Markov-modulated Poisson processes. Zbl 1311.62128Elliott, Robert J.; Siu, Tak Kuen 1 2014 Strategic asset allocation under a fractional hidden Markov model. Zbl 1307.91160Elliott, Robert J.; Siu, Tak Kuen 1 2014 Discrete time mean-field stochastic linear-quadratic optimal control problems. Zbl 1358.93189Elliott, Robert; Li, Xun; Ni, Yuan-Hua 36 2013 Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case. Zbl 1281.91160Elliott, Robert J.; Lian, Guang-Hua 17 2013 Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372Elliott, Robert J.; Siu, Tak Kuen 13 2013 Some properties of generalized anticipated backward stochastic differential equations. Zbl 1329.60204Yang, Zhe; Elliott, Robert J. 7 2013 Option valuation under a regime-switching constant elasticity of variance process. Zbl 1422.91691Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 5 2013 A converse comparison theorem for anticipated BSDEs and related non-linear expectations. Zbl 1264.60043Yang, Zhe; Elliott, Robert J. 5 2013 Fractional differencing in discrete time. Zbl 1280.91192Elder, John; Elliott, Robert J.; Miao, Hong 4 2013 Reflected backward stochastic differential equations, convex risk measures and American options. Zbl 1343.60093Elliott, Robert J.; Siu, Tak Kuen 3 2013 Change point estimation for continuous-time hidden Markov models. Zbl 1259.93111Elliott, Robert J.; Deng, Jia 2 2013 Default times in a continuous time Markov chain economy. Zbl 1396.91821Elliott, Robert J.; van der Hoek, John 1 2013 Filtering a double threshold model with regime switching. Zbl 1369.93282Elliott, Robert J.; Siu, Tak Kuen; Lau, John W. 1 2013 A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance. Zbl 1244.93180Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen 29 2012 Existence, uniqueness and comparisons for BSDEs in general spaces. Zbl 1260.60128Cohen, Samuel N.; Elliott, Robert J. 27 2012 American option prices in a Markov chain market model. Zbl 1286.91143van der Hoek, John; Elliott, Robert J. 13 2012 An HMM approach for optimal investment of an insurer. Zbl 1276.93084Elliott, Robert J.; Siu, Tak Kuen 13 2012 Asset pricing using finite state Markov chain stochastic discount functions. Zbl 1258.91079van der Hoek, John; Elliott, Robert J. 11 2012 Markovian forward-backward stochastic differential equations and stochastic flows. Zbl 1273.60067Elliott, Robert J.; Siu, Tak Kuen 3 2012 Attainable contingent claims in a Markovian regime-switching market. Zbl 1260.91246Elliott, Robert J.; Siu, Tak Kuen 3 2012 A BSDE approach to convex risk measures for derivative securities. Zbl 1254.91723Elliott, Robert J.; Siu, Tak Kuen 3 2012 Viterbi-based estimation for Markov switching GARCH model. Zbl 1372.91117Elliott, Robert J.; Lau, John W.; Miao, Hong; Siu, Tak Kuen 2 2012 Measure theory and filtering. Introduction and applications. Reprint of the 2004 hardback ed. Zbl 1250.60019Aggoun, Lakhdar; Elliott, Robert J. 2 2012 Filtering a nonlinear stochastic volatility model. Zbl 1356.91073Elliott, Robert J.; Siu, Tak Kuen; Fung, Eric S. 2 2012 A Bayesian approach for optimal reinsurance and investment in a diffusion model. Zbl 1276.91065Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen 1 2012 Optimal design of dynamic default risk measures. Zbl 1262.60055Shen, Leo; Elliott, Robert 1 2012 Markov chain hitting times. Zbl 1253.60080Elliott, Robert J.; van der Hoek, John; Sworder, David 1 2012 Markovian regime-switching market completion using additional Markov jump assets. Zbl 1280.91078Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi 1 2012 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346Elliott, Robert J.; Siu, Tak Kuen 27 2011 On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru 22 2011 A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100Elliott, Robert J.; Siu, Tak Kuen 15 2011 Backward stochastic difference equations and nearly time-consistent nonlinear expectations. Zbl 1225.60092Cohen, Samuel N.; Elliott, Robert J. 11 2011 Pricing and hedging contingent claims with regime switching risk. Zbl 1216.91032Elliott, Robert J.; Siu, Tak Kuen 9 2011 Backward stochastic differential equations for a single jump process. Zbl 1223.60040Shen, Leo; Elliott, Robert J. 6 2011 A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. Zbl 1282.91116Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen 5 2011 Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 5 2011 A risk-based approach for pricing American options under a generalized Markov regime-switching model. Zbl 1277.91169Elliott, Robert J.; Siu, Tak Kuen 4 2011 A filter for a hidden Markov chain observed in fractional Gaussian noise. Zbl 1209.93150Elliott, Robert J.; Deng, Jia 4 2011 Backward stochastic difference equations with finite states. Zbl 1254.60055Cohen, Samuel N.; Elliott, Robert J. 3 2011 Characteristic functions and option valuation in a Markov chain market. Zbl 1228.91069Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen 3 2011 Utility-based indifference pricing in regime-switching models. Zbl 1237.91220Elliott, Robert J.; Siu, Tak Kuen 3 2011 On filtering and estimation of a threshold stochastic volatility model. Zbl 1231.91486Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen 2 2011 Default times in a continuous-time Markovian regime switching model. Zbl 1233.91297Elliott, Robert J.; Siu, Tak Kuen 2 2011 Control of discrete-time HMM partially observed under fractional Gaussian noises. Zbl 1215.93080Elliott, Robert J.; Siu, Tak Kuen 1 2011 On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Zbl 1233.91242Elliott, Robert J.; Siu, Tak Kuen 37 2010 Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions. Zbl 1195.60077Cohen, Samuel N.; Elliott, Robert J. 31 2010 A general theory of finite state backward stochastic difference equations. Zbl 1205.60111Cohen, Samuel N.; Elliott, Robert J. 29 2010 A general comparison theorem for backward stochastic differential equations. Zbl 1221.60079Cohen, Samuel N.; Elliott, Robert J.; Pearce, Charles E. M. 13 2010 Filtering a Markov modulated random measure. Zbl 1368.93711Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 7 2010 Risk-based indifference pricing under a stochastic volatility model. Zbl 1331.91175Elliott, Robert J.; Siu, Tak Kuen 4 2010 Nonlinear filter estimation of volatility. Zbl 1194.62111Elliott, Robert J.; van der Hoek, John; Valencia, Jorge 3 2010 Comparison theorems for finite state backward stochastic differential equations. Zbl 1236.60052Cohen, Samuel N.; Elliott, Robert J. 2 2010 Some applications of \(M\)-ary detection in quantitative finance. Zbl 1200.91116Malcolm, W. P.; Elliott, R. J. 2 2010 A Zakai equation derivation of the extended Kalman filter. Zbl 1194.93124Elliott, Robert J.; Haykin, Simon 1 2010 On Markov-modulated exponential-affine bond price formulae. Zbl 1169.91342Elliott, Robert J.; Siu, Tak Kuen 32 2009 Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372Elliott, Robert J.; Siu, Tak Kuen 16 2009 Esscher transforms and consumption-based models. Zbl 1231.91423Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen 8 2009 Portfolio risk minimization and differential games. Zbl 1239.91145Elliott, Robert J.; Siu, Tak Kuen 5 2009 Asset prices with regime-switching variance gamma dynamics. Zbl 1180.91141Royal, Andrew J.; Elliott, Robert J. 5 2009 Insurance claims modulated by a hidden Brownian marked point process. Zbl 1231.91182Elliott, Robert J.; Chen, Zhiping; Duan, Qihong 3 2009 Investment timing under regime switching. Zbl 1178.91213Elliott, Robert J.; Miao, Hong; Yu, Jin 2 2009 A Viterbi smoother for discrete state space model. Zbl 1161.93024Elliott, Robert J.; Deng, Jia 2 2009 Solutions of backward stochastic differential equations on Markov chains. Zbl 1331.60108Cohen, Samuel N.; Elliott, Robert J. 26 2008 A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 12 2008 Discrete-time expectation maximization algorithms for Markov-modulated Poisson processes. Zbl 1367.62246Elliott, Robert J.; Malcolm, W. P. 5 2008 A hidden Markov model of credit quality. Zbl 1181.91326Korolkiewicz, Małgorzata W.; Elliott, Robert J. 5 2008 Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models. Zbl 1141.91627Elliott, Robert J.; Krishnamurthy, Vikram; Sass, Jörn 4 2008 A non-linear filter. Zbl 1145.93426Elliott, Robert J.; Leung, Henry; Deng, Jia 1 2008 Pricing volatility swaps under Heston’s stochastic volatility model with regime switching. Zbl 1281.91161Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 47 2007 Pricing options under a generalized Markov-modulated jump-diffusion model. Zbl 1155.91380Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung; Lau, John W. 42 2007 Hidden Markov models in finance. Zbl 1116.91007Mamon, Rogemar S. (ed.); Elliott, Robert J. (ed.) 18 2007 The term structure of interest rates in a hidden Markov setting. Zbl 1311.91182Elliott, Robert J.; Wilson, Craig A. 8 2007 Martingale representation for contingent claims with regime switching. Zbl 1328.91291Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 7 2007 ...and 176 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,203 Authors 159 Elliott, Robert James 91 Siu, Tak Kuen 31 Yang, Hailiang 21 Mamon, Rogemar S. 21 Zhang, Qing 20 Aggoun, Lakhdar 18 Yin, Gang George 16 Zhu, Songping 15 Jeanblanc, Monique 15 Shen, Yang 14 Madan, Dilip B. 13 Borisov, Andrei V. 13 Chan, Leunglung 13 Wu, Zhen 12 Charalambous, Charalambos D. 12 Dong, Yinghui 12 Privault, Nicolas 12 Székelyhidi, László 12 Wang, Guojing 11 Ching, Wai-Ki 11 Djehiche, Boualem 11 Øksendal, Bernt Karsten 11 Rutkowski, Marek 10 Barron, Emmanuel Nicholas 10 Bayraktar, Erhan 10 Cohen, Samuel N. 10 Ghosh, Mrinal Kanti 10 Kohlmann, Michael 10 Runggaldier, Wolfgang J. 10 Yam, Sheung Chi Phillip 10 Yuen, Kam Chuen 9 Antonelli, Peter Louis 9 Bensoussan, Alain 9 He, Xinjiang 9 Jiao, Ying 9 Li, Xun 9 Wang, Rongming 8 Chentsov, Aleksandr Georgievich 8 Lian, Guanghua 8 Menoukeu Pamen, Olivier 8 Moore, John Barratt 8 Shi, Dawei 8 Spreij, Peter 8 Swishchuk, Anatoliy 8 Tsoi, Allanus H. 8 Wang, Yongjin 8 Wei, Jiaqin 8 Yavin, Yaakov 8 Zhang, Xin 7 Bender, Christian 7 Benkherouf, Lakdere 7 Costa, Oswaldo Luiz V. 7 Florchinger, Patrick 7 Friedman, Avner 7 Hamadene, Saïd 7 Kalton, Nigel John 7 Miller, G. B. 7 Platen, Eckhard 7 Ratanov, Nikita 7 Sworder, David D. 7 Zhang, Weihai 6 Badescu, Alexandru M. 6 Bäuerle, Nicole 6 Bielecki, Tomasz R. 6 Bo, Lijun 6 Chen, Zhiping 6 Confortola, Fulvia 6 Gapeev, Pavel V. 6 Hainaut, Donatien 6 James, Matthew R. 6 Ma, Jingtang 6 Malcolm, William P. 6 Nikeghbali, Ashkan 6 Petersen, Ian Richard 6 Pham, Huyên 6 Qian, Linyi 6 Sass, Jörn 6 van der Hoek, John 6 Wang, Wei 6 Yang, Qigui 6 Yao, Song 6 Zeng, Caibin 5 Al-Hussaini, Ata N. 5 Başar, Tamer 5 Basin, Michael V. 5 Bauso, Dario 5 Boyd, John E. 5 Chen, Ping 5 Chen, Tongwen 5 Chiarella, Carl 5 Coculescu, Delia 5 Davis, Mark H. A. 5 Deng, Jia 5 Fard, Farzad Alavi 5 Fei, Weiyin 5 Ford, Jason J. 5 Fragoso, Marcelo Dutra 5 Frey, Rüdiger 5 Hansen, Lars Peter 5 Hieber, Peter ...and 2,103 more Authors all top 5 Cited in 295 Serials 79 Stochastic Analysis and Applications 75 Automatica 72 Stochastic Processes and their Applications 66 International Journal of Theoretical and Applied Finance 61 Insurance Mathematics & Economics 60 Quantitative Finance 53 Systems & Control Letters 37 Journal of Optimization Theory and Applications 34 Journal of Mathematical Analysis and Applications 34 Journal of Computational and Applied Mathematics 33 Statistics & Probability Letters 33 Mathematical Finance 32 Journal of Economic Dynamics & Control 29 Applied Mathematics and Optimization 28 SIAM Journal on Control and Optimization 25 Stochastics 23 The Annals of Applied Probability 22 International Journal of Control 22 Applied Mathematics and Computation 22 Automation and Remote Control 22 European Journal of Operational Research 21 Applied Mathematical Finance 21 Finance and Stochastics 21 Methodology and Computing in Applied Probability 20 Journal of Applied Probability 19 Annals of Finance 18 Asia-Pacific Financial Markets 16 Computers & Mathematics with Applications 15 Journal of the Franklin Institute 15 Journal of Industrial and Management Optimization 14 Mathematical Problems in Engineering 12 Stochastics 12 Journal of Differential Equations 12 Mathematical and Computer Modelling 12 Annals of Operations Research 12 Mathematical Control and Related Fields 11 Communications in Statistics. 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Theory, Methods & Applications ...and 195 more Serials all top 5 Cited in 49 Fields 1,055 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,019 Probability theory and stochastic processes (60-XX) 549 Systems theory; control (93-XX) 241 Statistics (62-XX) 233 Calculus of variations and optimal control; optimization (49-XX) 121 Numerical analysis (65-XX) 117 Operations research, mathematical programming (90-XX) 85 Partial differential equations (35-XX) 28 Ordinary differential equations (34-XX) 20 Biology and other natural sciences (92-XX) 20 Information and communication theory, circuits (94-XX) 14 Dynamical systems and ergodic theory (37-XX) 14 Abstract harmonic analysis (43-XX) 14 Computer science (68-XX) 12 Integral transforms, operational calculus (44-XX) 12 Functional analysis (46-XX) 12 Operator theory (47-XX) 9 Real functions (26-XX) 9 Difference and functional equations (39-XX) 9 Integral equations (45-XX) 7 Global analysis, analysis on manifolds (58-XX) 6 Quantum theory (81-XX) 5 Measure and integration (28-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 4 General and overarching topics; collections (00-XX) 4 Commutative algebra (13-XX) 4 Topological groups, Lie groups (22-XX) 4 Functions of a complex variable (30-XX) 3 Special functions (33-XX) 3 Geophysics (86-XX) 2 Mathematical logic and foundations (03-XX) 2 Combinatorics (05-XX) 2 Nonassociative rings and algebras (17-XX) 2 Several complex variables and analytic spaces (32-XX) 2 Approximations and expansions (41-XX) 2 Convex and discrete geometry (52-XX) 2 Differential geometry (53-XX) 2 Mechanics of particles and systems (70-XX) 2 Fluid mechanics (76-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 History and biography (01-XX) 1 Number theory (11-XX) 1 Category theory; homological algebra (18-XX) 1 Group theory and generalizations (20-XX) 1 Potential theory (31-XX) 1 General topology (54-XX) 1 1 Mechanics of deformable solids (74-XX) 1 Relativity and gravitational theory (83-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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