Edit Profile (opens in new tab) Elliott, Robert James Compute Distance To: Compute Author ID: elliott.robert-j Published as: Elliott, Robert J.; Elliott, R. J.; Elliott, Robert; Elliott, R. more...less Homepage: http://people.unisa.edu.au/Robert.Elliott External Links: MGP · Wikidata · GND · IdRef Documents Indexed: 367 Publications since 1965, including 12 Books 5 Contributions as Editor Reviewing Activity: 49 Reviews Biographic References: 1 Publication Co-Authors: 132 Co-Authors with 304 Joint Publications 3,851 Co-Co-Authors all top 5 Co-Authors 59 single-authored 59 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 Madan, Dilip B. 7 Charalambous, Charalambos D. 7 Yang, Hailiang 6 Deng, Jia 6 Kopp, Peter Ekkehard 6 Tsoi, Allanus H. 6 Yang, Zhe 5 Badescu, Alexandru M. 5 Davis, Mark Herbert Ainsworth 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 Dela Vega, Engel John C. 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 Cadenillas, Abel 1 Chavez-Casillas, Jonathan A. 1 Chen, Zhiping 1 Cheung, Ka Chun 1 Chong, Wing Fung 1 Cutland, Nigel J. 1 Dempster, Michael A. H. 1 Duan, Qihong 1 Elder, John IV 1 Eshragh, Ali 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. 1 Leung, Henry C. M. ...and 37 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 12 Quantitative Finance 11 SIAM Journal on Control and Optimization 10 Automatica 9 Applied Mathematics and Optimization 8 Stochastic Processes and their Applications 7 Journal of Mathematical Analysis and Applications 7 Journal of Economic Dynamics & Control 7 Mathematical Finance 7 Annals of Finance 6 IEEE Transactions on Information Theory 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 International Journal of Control 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 2 Probability, Uncertainty and Quantitative Risk 1 The Canadian Journal of Statistics 1 IEEE Transactions on Reliability 1 IMA Journal of Applied Mathematics 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 ASTIN Bulletin 1 Communications in Mathematical Sciences 1 North American Actuarial Journal 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 SIAM Journal on Financial Mathematics 1 Probability and its Applications ...and 1 more Serials all top 5 Fields 217 Probability theory and stochastic processes (60-XX) 166 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 134 Systems theory; control (93-XX) 57 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 286 Publications have been cited 3,527 times in 2,056 Documents Cited by ▼ Year ▼ Hidden Markov models. Estimation and control. Zbl 0819.60045Elliott, Robert J.; Aggoun, Lakhdar; Moore, John B. 305 1995 American options with regime switching. Zbl 1107.91325Buffington, John; Elliott, Robert J. 224 2002 Stochastic calculus and applications. Zbl 0503.60062Elliott, Robert J. 209 1982 Option pricing and Esscher transform under regime switching. Zbl 1233.91270Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 180 2005 A general fractional white noise theory and applications to finance. Zbl 1069.91047Elliott, Robert J.; van der Hoek, John 88 2003 On models of default risk. Zbl 1042.91038Elliott, R. J.; Jeanblanc, M.; Yor, M. 79 2000 Stochastic calculus and applications. 2nd revised and expanded edition. Zbl 1338.60001Cohen, Samuel N.; Elliott, Robert J. 50 2015 Pricing volatility swaps under Heston’s stochastic volatility model with regime switching. Zbl 1281.91161Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 49 2007 The existence of value in differential games of pursuit and evasion. Zbl 0244.90046Elliott, Robert J.; Kalton, Nigel J. 48 1972 Pricing options under a generalized Markov-modulated jump-diffusion model. Zbl 1155.91380Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung; Lau, John W. 48 2007 Discrete time mean-field stochastic linear-quadratic optimal control problems. Zbl 1358.93189Elliott, Robert; Li, Xun; Ni, Yuan-Hua 47 2013 Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034Elliott, Robert J.; Osakwe, Carlton-James U. 47 2006 An application of hidden Markov models to asset allocation problems. Zbl 0907.90022Elliott, Robert J.; van der Hoek, John 46 1997 Pairs trading. Zbl 1134.91415Elliott, Robert J.; van der Hoek, John; Malcolm, William P. 46 2005 On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Zbl 1233.91242Elliott, Robert J.; Siu, Tak Kuen 45 2010 New finite-dimensional filters and smoothers for noisily observed Markov chains. Zbl 0779.93093Elliott, Robert J. 45 1993 Risk-sensitive control and dynamic games for partially observed discrete- time nonlinear systems. Zbl 0807.93067James, Matthew R.; Baras, John S.; Elliott, Robert J. 43 1994 Mathematics of financial markets. 2nd ed. Zbl 1140.91032Elliott, Robert J.; Kopp, P. Ekkehard 41 2005 Regime switching and European options. Zbl 1073.91027Buffington, John; Elliott, Robert J. 40 2002 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 38 2012 Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions. Zbl 1195.60077Cohen, Samuel N.; Elliott, Robert J. 38 2010 Mathematics of financial markets. Zbl 0943.91035Elliott, Robert J.; Kopp, P. Ekkehard 37 1999 On Markov-modulated exponential-affine bond price formulae. Zbl 1169.91342Elliott, Robert J.; Siu, Tak Kuen 37 2009 The existence of value in stochastic differential games. Zbl 0328.90085Elliott, Robert 35 1976 A general theory of finite state backward stochastic difference equations. Zbl 1205.60111Cohen, Samuel N.; Elliott, Robert J. 34 2010 Solutions of backward stochastic differential equations on Markov chains. Zbl 1331.60108Cohen, Samuel N.; Elliott, Robert J. 32 2008 The existence of value in differential games. Zbl 0262.90076Elliott, Robert J.; Kalton, Nigel J. 32 1972 Existence, uniqueness and comparisons for BSDEs in general spaces. Zbl 1260.60128Cohen, Samuel N.; Elliott, Robert J. 31 2012 Robust parameter estimation for asset price models with Markov modulated volatilities. Zbl 1178.91222Elliott, R. J.; Malcolm, W. P.; Tsoi, Allanus H. 29 2003 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346Elliott, Robert J.; Siu, Tak Kuen 29 2011 On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru 25 2011 Exact adaptive filters for Markov chains observed in Gaussian noise. Zbl 0823.93061Elliott, Robert J. 25 1994 Values in differential games. Zbl 0253.90074Elliott, Robert J.; Kalton, Nigel J. 23 1972 Optimal play in a stochastic differential game. Zbl 0467.90094Elliott, R. J.; Davis, M. H. A. 23 1981 Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case. Zbl 1281.91160Elliott, Robert J.; Lian, Guang-Hua 22 2013 New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models. Zbl 0959.93055Elliott, Robert J.; Krishnamurthy, Vikram 22 1999 Filtering with discrete state observations. Zbl 0955.62094Dufour, F.; Elliott, R. J. 21 1999 Discontinuous asset prices and non-attainable contingent claims. Zbl 0884.90021Colwell, David B.; Elliott, Robert J. 21 1993 A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100Elliott, Robert J.; Siu, Tak Kuen 21 2011 A discrete time equivalent martingale measure. Zbl 0910.60033Elliott, Robert J.; Madan, Dilip B. 20 1998 Hidden Markov models in finance. Zbl 1116.91007 19 2007 The optimal control of a stochastic system. Zbl 0359.93046Elliott, Robert J. 19 1977 Saddle points for linear differential games. Zbl 0229.90061Elliott, R. J.; Kalton, N. J.; Markus, L. 19 1972 Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372Elliott, Robert J.; Siu, Tak Kuen 19 2009 Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372Elliott, Robert J.; Siu, Tak Kuen 19 2013 Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case. Zbl 1330.93244Ni, Yuan-Hua; Elliott, Robert; Li, Xun 19 2015 A general comparison theorem for backward stochastic differential equations. Zbl 1221.60079Cohen, Samuel N.; Elliott, Robert J.; Pearce, Charles E. M. 17 2010 Backward stochastic difference equations and nearly time-consistent nonlinear expectations. Zbl 1225.60092Cohen, Samuel N.; Elliott, Robert J. 17 2011 Integration by parts for Poisson processes. Zbl 0768.60052Elliott, Robert J.; Tsoi, Allanus H. 16 1993 The optimal control of diffusions. Zbl 0718.49013Elliott, Robert J. 15 1990 Integration by parts, homogeneous chaos expansions and smooth densities. Zbl 0671.60050Elliott, Robert J.; Kohlmann, Michael 15 1989 The partially observed stochastic minimum principle. Zbl 0681.93068Baras, John S.; Elliott, Robert J.; Kohlmann, Michael 15 1989 Saddle points for linear differential games. Zbl 0255.90086Elliott, R. J.; Kalton, N. J.; Markus, L. 15 1973 Stochastic flows and the forward measure. Zbl 0987.60067Elliott, Robert J.; van der Hoek, John 15 2001 Approximations for the values of American options. Zbl 0729.60056Barone-Adesi, Giovanni; Elliott, Robert J. 14 1991 American option prices in a Markov chain market model. Zbl 1286.91143van der Hoek, John; Elliott, Robert J. 14 2012 Portfolio optimization, hidden Markov models, and technical analysis of P&F-charts. Zbl 1107.91331Elliott, Robert; Hinz, Juri 14 2002 Analytical solutions for the pricing of American bond and yield options. Zbl 0884.90019Chesney, Marc; Elliott, Robert J.; Gibson, Rajna 14 1993 Exact finite-dimensional filters for maximum likelihood parameter estimation of continuous-time linear Gaussian systems. Zbl 0935.93061Elliott, Robert J.; Krishnamurthy, Vikram 14 1997 On pricing barrier options with regime switching. Zbl 1350.91016Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 13 2014 Adaptive control of linear systems with Markov perturbations. Zbl 0919.93085Dufour, François; Elliott, Robert J. 13 1998 The variational principle and stochastic optimal control. Zbl 0434.49009Elliott, Robert J.; Kohlmann, Michael 13 1980 Asset pricing using finite state Markov chain stochastic discount functions. Zbl 1258.91079van 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 12 2012 Cauchy problems for certain Isaacs-Bellman equations and games of survival. Zbl 0302.90074Elliott, Robert J.; Kalton, Nigel J. 12 1974 Drift and volatility estimation in discrete time. Zbl 0895.90047Elliott, Robert J.; Hunter, William C.; Jamieson, Barbara M. 12 1997 A partially observed control problem for Markov chains. Zbl 0762.93009Elliott, Robert J. 12 1992 Two notes on spectral synthesis for discrete Abelian groups. Zbl 0138.07402Elliott, R. J. 12 1965 Finite-dimensional models for hidden Markov chains. Zbl 0823.60062Aggoun, Lakhdar; Elliott, Robert J. 12 1995 On finite-state stochastic modeling and secure estimation of cyber-physical systems. Zbl 1359.94658Shi, Dawei; Elliott, Robert J.; Chen, Tongwen 12 2017 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 short proof of a martingale representation result. Zbl 0645.60053Elliott, Robert J.; Kohlmann, Michael 11 1988 Event-based state estimation of discrete-state hidden Markov models. Zbl 1328.93256Shi, Dawei; Elliott, Robert J.; Chen, Tongwen 11 2016 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 The term structure of interest rates in a hidden Markov setting. Zbl 1311.91182Elliott, Robert J.; Wilson, Craig A. 11 2007 State and mode estimation for discrete-time jump Markov systems. Zbl 1130.93423Elliott, Robert J.; Dufour, Francois; Malcolm, W. P. 11 2005 Martingale representation and hedging policies. Zbl 0737.60044Colwell, David B.; Elliott, Robert J.; Kopp, P. Ekkehard 11 1991 Some properties of generalized anticipated backward stochastic differential equations. Zbl 1329.60204Yang, Zhe; Elliott, Robert J. 10 2013 Upper values of differential games. Zbl 0248.90073Elliott, R. J.; Kalton, N. J. 10 1973 Stochastic integrals for martingales of a jump process with partially accessible jump times. Zbl 0325.60055Elliott, Robert J. 10 1976 Optimal control of a jump process. Zbl 0349.60084Davis, Mark; Elliott, Robert 10 1977 Robust filtering for correlated multidimensional observations. Zbl 0458.60029Elliott, Robert J.; Kohlmann, Michael 10 1981 A complete yield curve description of a Markov interest rate model. Zbl 1079.91027Elliott, Robert J.; Mamon, Rogemar S. 10 2003 An interest rate model with a Markovian mean reverting level. Zbl 1405.91661Elliott, Robert J.; Mamon, Rogemar S. 10 2002 Some results in spectral synthesis. Zbl 0138.07401Elliott, R. J. 10 1965 Pricing and hedging contingent claims with regime switching risk. Zbl 1216.91032Elliott, Robert J.; Siu, Tak Kuen 10 2011 The second order minimum principle and adjoint process. Zbl 0824.60051Elliott, Robert J.; Kohlmann, Michael 10 1994 General smoothing formulas for Markov-modulated Poisson observations. Zbl 1365.93501Elliott, Robert J.; Malcolm, W. P. 10 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 Incomplete markets with jumps and informed agents. Zbl 0940.91063Elliott, Robert J.; Jeanblanc, Monique 9 1999 Almost sure parameter estimation and convergence rates for hidden Markov models. Zbl 0902.93066Elliott, R. J.; Moore, J. B. 9 1997 Option pricing for GARCH models with Markov switching. Zbl 1138.91437Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 9 2006 A finite-dimensional risk-sensitive control problem. Zbl 0841.93081Bensoussan, Alain; Elliott, Robert J. 9 1995 Esscher transforms and consumption-based models. Zbl 1231.91423Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen 9 2009 Binomial models in finance. Zbl 1107.91056van der Hoek, John; Elliott, Robert J. 8 2006 Option pricing and hedge portfolios for Poisson processes. Zbl 0697.90007Elliott, Robert J.; Kopp, P. Ekkehard 8 1990 Exact hybrid filters in discrete time. Zbl 0873.93077Elliott, Robert J.; Dufour, François; Sworder, Dave D. 8 1996 Filtering a Markov modulated random measure. Zbl 1368.93711Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 8 2010 Optimal portfolio execution problem with stochastic price impact. Zbl 1430.91086Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping; Elliott, Robert J. 1 2020 Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404Siu, Tak Kuen; Elliott, Robert J. 3 2019 Optimal execution with regime-switching market resilience. Zbl 1411.91648Siu, Chi Chung; Guo, Ivan; Zhu, Song-Ping; Elliott, Robert J. 2 2019 A level-1 limit order book with time dependent arrival rates. Zbl 1428.60059Chávez-Casillas, Jonathan A.; Elliott, Robert J.; Rémillard, Bruno; Swishchuk, Anatoliy V. 1 2019 The mean squared loss control problem for a partially observed Markov chain. Zbl 1414.93204Lai, Y.; Elliott, R. J. 1 2019 Non-linear expectations in spaces of Colombeau generalized functions. Zbl 07065384Filinkov, Alexei; Elliott, Robert J. 1 2019 Estimating a regime switching pairs trading model. Zbl 1400.91539Elliott, Robert J.; Bradrania, Reza 3 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 Introduction to hidden semi-Markov models. Zbl 1465.60003van der Hoek, John; Elliott, Robert J. 1 2018 On finite-state stochastic modeling and secure estimation of cyber-physical systems. Zbl 1359.94658Shi, Dawei; Elliott, Robert J.; Chen, Tongwen 12 2017 Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations. Zbl 1409.62212Elliott, Robert J.; Siu, Tak Kuen 2 2017 Filtering with uncertain noise. Zbl 1364.93796Elliott, Robert J. 2 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 Hidden Markov models with threshold effects and their applications to oil price forecasting. Zbl 1364.90352Zhu, Dong-Mei; Ching, Wai-Ki; Elliott, Robert J.; Siu, Tak-Kuen; Zhang, Lianmin 1 2017 Event-based state estimation of discrete-state hidden Markov models. Zbl 1328.93256Shi, Dawei; Elliott, Robert J.; Chen, Tongwen 11 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 2 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 On anticipated backward stochastic differential equations with Markov chain noise. Zbl 1347.60074Yang, Zhe; Elliott, Robert J. 1 2016 Stochastic calculus and applications. 2nd revised and expanded edition. Zbl 1338.60001Cohen, Samuel N.; Elliott, Robert J. 50 2015 Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case. Zbl 1330.93244Ni, Yuan-Hua; Elliott, Robert; Li, Xun 19 2015 Dynamic optimal capital structure with regime switching. Zbl 1403.91367Elliott, Robert J.; Shen, Jia 5 2015 A Dupire equation for a regime-switching model. Zbl 1337.91095Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 5 2015 Non-Gaussian GARCH option pricing models and their diffusion limits. Zbl 1346.91225Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo 5 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 Credit risk and contagion via self-exciting default intensity. Zbl 1369.91188Elliott, 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 4 2015 A note on differentiability in a Markov chain market using stochastic flows. Zbl 1336.91073Elliott, Robert J.; Siu, Tak Kuen 2 2015 Disappointment aversion premium principle. Zbl 1390.91131Cheung, Ka Chun; Chong, Wing Fung; Elliott, Robert; Yam, Sheung Chi Phillip 2 2015 On pricing barrier options with regime switching. Zbl 1350.91016Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 13 2014 Hidden Markov models in finance. Further developments and applications. Volume II. Zbl 1291.91006 7 2014 Pricing currency derivatives with Markov-modulated Lévy dynamics. Zbl 1403.91352Swishchuk, Anatoliy; Tertychnyi, Maksym; Elliott, Robert 6 2014 Quadratic hedging schemes for non-Gaussian GARCH models. Zbl 1402.91751Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo 5 2014 Pricing of discount bonds with a Markov switching regime. Zbl 1319.91147Elliott, Robert J.; Nishide, Katsumasa 4 2014 Strategic asset allocation under a fractional hidden Markov model. Zbl 1307.91160Elliott, Robert J.; Siu, Tak Kuen 2 2014 Filtering and change point estimation for hidden Markov-modulated Poisson processes. Zbl 1311.62128Elliott, Robert J.; Siu, Tak Kuen 2 2014 Option pricing using a regime switching stochastic discount factor. Zbl 1410.91445Elliott, Robert J.; Hamada, Ahmed S. 1 2014 Discrete time mean-field stochastic linear-quadratic optimal control problems. Zbl 1358.93189Elliott, Robert; Li, Xun; Ni, Yuan-Hua 47 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 22 2013 Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372Elliott, Robert J.; Siu, Tak Kuen 19 2013 Some properties of generalized anticipated backward stochastic differential equations. Zbl 1329.60204Yang, Zhe; Elliott, Robert J. 10 2013 A converse comparison theorem for anticipated BSDEs and related non-linear expectations. Zbl 1264.60043Yang, Zhe; Elliott, Robert J. 6 2013 Option valuation under a regime-switching constant elasticity of variance process. Zbl 1422.91691Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 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 Filtering hidden semi-Markov chains. Zbl 1383.62202Elliott, Robert; Limnios, Nikolaos; Swishchuk, Anatoliy 1 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 38 2012 Existence, uniqueness and comparisons for BSDEs in general spaces. Zbl 1260.60128Cohen, Samuel N.; Elliott, Robert J. 31 2012 American option prices in a Markov chain market model. Zbl 1286.91143van der Hoek, John; Elliott, Robert J. 14 2012 Asset pricing using finite state Markov chain stochastic discount functions. Zbl 1258.91079van 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 12 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 Filtering a nonlinear stochastic volatility model. Zbl 1356.91073Elliott, Robert J.; Siu, Tak Kuen; Fung, Eric S. 2 2012 Markovian regime-switching market completion using additional Markov jump assets. Zbl 1280.91078Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi 2 2012 Measure theory and filtering. Introduction and applications. Reprint of the 2004 hardback ed. Zbl 1250.60019Aggoun, Lakhdar; Elliott, Robert J. 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 Viterbi-based estimation for Markov switching GARCH model. Zbl 1372.91117Elliott, Robert J.; Lau, John W.; Miao, Hong; Siu, Tak Kuen 1 2012 Markov chain hitting times. Zbl 1253.60080Elliott, Robert J.; van der Hoek, John; Sworder, David 1 2012 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346Elliott, Robert J.; Siu, Tak Kuen 29 2011 On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru 25 2011 A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100Elliott, Robert J.; Siu, Tak Kuen 21 2011 Backward stochastic difference equations and nearly time-consistent nonlinear expectations. Zbl 1225.60092Cohen, Samuel N.; Elliott, Robert J. 17 2011 Pricing and hedging contingent claims with regime switching risk. Zbl 1216.91032Elliott, Robert J.; Siu, Tak Kuen 10 2011 Backward stochastic differential equations for a single jump process. Zbl 1223.60040Shen, Leo; Elliott, Robert J. 6 2011 Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 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 6 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 On filtering and estimation of a threshold stochastic volatility model. Zbl 1231.91486Elliott, 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 Characteristic functions and option valuation in a Markov chain market. Zbl 1228.91069Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen 3 2011 Backward stochastic difference equations with finite states. Zbl 1254.60055Cohen, Samuel N.; Elliott, Robert J. 3 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 45 2010 Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions. Zbl 1195.60077Cohen, Samuel N.; Elliott, Robert J. 38 2010 A general theory of finite state backward stochastic difference equations. Zbl 1205.60111Cohen, Samuel N.; Elliott, Robert J. 34 2010 A general comparison theorem for backward stochastic differential equations. Zbl 1221.60079Cohen, Samuel N.; Elliott, Robert J.; Pearce, Charles E. M. 17 2010 Filtering a Markov modulated random measure. Zbl 1368.93711Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 8 2010 Risk-based indifference pricing under a stochastic volatility model. Zbl 1331.91175Elliott, Robert J.; Siu, Tak Kuen 5 2010 Nonlinear filter estimation of volatility. Zbl 1194.62111Elliott, Robert J.; van der Hoek, John; Valencia, Jorge 3 2010 Some applications of \(M\)-ary detection in quantitative finance. Zbl 1200.91116Malcolm, W. P.; Elliott, R. J. 2 2010 Comparison theorems for finite state backward stochastic differential equations. Zbl 1236.60052Cohen, Samuel N.; Elliott, Robert 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 37 2009 Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372Elliott, Robert J.; Siu, Tak Kuen 19 2009 Esscher transforms and consumption-based models. Zbl 1231.91423Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen 9 2009 Asset prices with regime-switching variance gamma dynamics. Zbl 1180.91141Royal, Andrew J.; Elliott, Robert J. 6 2009 Portfolio risk minimization and differential games. Zbl 1239.91145Elliott, Robert J.; Siu, Tak Kuen 5 2009 Insurance claims modulated by a hidden Brownian marked point process. Zbl 1231.91182Elliott, Robert J.; Chen, Zhiping; Duan, Qihong 4 2009 Investment timing under regime switching. Zbl 1178.91213Elliott, Robert J.; Miao, Hong; Yu, Jin 3 2009 A Viterbi smoother for discrete state space model. Zbl 1161.93024Elliott, Robert J.; Deng, Jia 2 2009 VaR and expected shortfall: a non-normal regime switching framework. Zbl 1187.91100Elliott, Robert J.; Miao, Hong 1 2009 Solutions of backward stochastic differential equations on Markov chains. Zbl 1331.60108Cohen, Samuel N.; Elliott, Robert J. 32 2008 A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 12 2008 ...and 186 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,330 Authors 163 Elliott, Robert James 99 Siu, Tak Kuen 30 Yang, Hailiang 24 Mamon, Rogemar S. 21 Zhang, Qing 20 Aggoun, Lakhdar 19 Jeanblanc, Monique 18 Wu, Zhen 18 Yin, Gang George 17 Shen, Yang 16 Madan, Dilip B. 16 Wang, Guojing 16 Zhu, Songping 14 Dong, Yinghui 13 Borisov, Andrei V. 13 Yam, Sheung Chi Phillip 12 Chan, Leunglung 12 Charalambous, Charalambos D. 12 Ching, Wai-Ki 12 He, Xinjiang 12 Privault, Nicolas 12 Rutkowski, Marek 12 Székelyhidi, László 12 Yuen, Kam Chuen 11 Cohen, Samuel N. 11 Djehiche, Boualem 11 Gapeev, Pavel V. 11 Li, Xun 11 Øksendal, Bernt Karsten 10 Ghosh, Mrinal Kanti 10 Kohlmann, Michael 10 Runggaldier, Wolfgang J. 9 Antonelli, Peter Louis 9 Barron, Emmanuel Nicholas 9 Bayraktar, Erhan 9 Bensoussan, Alain 9 Chentsov, Aleksandr Georgievich 9 Costa, Oswaldo Luiz V. 9 Jiao, Ying 9 Shi, Dawei 9 Swishchuk, Anatoliy 9 Wang, Rongming 9 Wei, Jiaqin 9 Zhang, Xin 8 Lian, Guanghua 8 Menoukeu Pamen, Olivier 8 Moore, John Barratt 8 Sass, Jörn 8 Tsoi, Allanus H. 8 Wang, Yongjin 8 Yavin, Yaakov 7 Badescu, Alexandru M. 7 Başar, Tamer 7 Bender, Christian 7 Benkherouf, Lakdere 7 Bielecki, Tomasz R. 7 Florchinger, Patrick 7 Friedman, Avner 7 Hainaut, Donatien 7 Hamadene, Saïd 7 Kalton, Nigel John 7 Ma, Jingtang 7 Miller, G. B. 7 Ratanov, Nikita 7 Spreij, Peter 7 Sun, Zhongyang 7 Zhang, Weihai 6 Basin, Michael V. 6 Bo, Lijun 6 Chen, Tongwen 6 Chen, Zhiping 6 Confortola, Fulvia 6 Fragoso, Marcelo Dutra 6 Godin, Frédéric 6 Huang, Nan-Jing 6 James, Matthew R. 6 Melnikov, Aleksander Viktorovich 6 Nikeghbali, Ashkan 6 Pham, Huyên 6 Platen, Eckhard 6 Qian, Linyi 6 Sworder, David D. 6 Tembine, Hamidou 6 van der Hoek, John 6 Wang, Wei 6 Yang, Qigui 6 Zeng, Caibin 5 Al-Hussaini, Ata N. 5 Averboukh, Yuriĭ Vladimirovich 5 Bandini, Elena 5 Bäuerle, Nicole 5 Bauso, Dario 5 Chen, Ping 5 Chiarella, Carl 5 Coculescu, Delia 5 Colaneri, Katia 5 Davis, Mark Herbert Ainsworth 5 Deng, Jia 5 Duan, Qihong 5 Eksi, Zehra ...and 2,230 more Authors all top 5 Cited in 320 Serials 80 Stochastic Analysis and Applications 78 Automatica 71 Stochastic Processes and their Applications 71 Quantitative Finance 69 International Journal of Theoretical and Applied Finance 62 Insurance Mathematics & Economics 52 Systems & Control Letters 39 Applied Mathematics and Optimization 37 Journal of Computational and Applied Mathematics 37 Journal of Optimization Theory and Applications 35 Statistics & Probability Letters 33 Journal of Economic Dynamics & Control 33 Mathematical Finance 33 Stochastics 32 Journal of Mathematical Analysis and Applications 31 SIAM Journal on Control and Optimization 29 International Journal of Control 24 Applied Mathematics and Computation 24 The Annals of Applied Probability 24 Automation and Remote Control 24 Communications in Statistics. 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Principles and Applications of Systems and Integration 5 The Annals of Statistics 5 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 5 Applied Mathematics Letters 5 Journal of Scientific Computing 5 International Journal of Adaptive Control and Signal Processing 5 Communications in Statistics. Simulation and Computation 5 Bernoulli 5 Asian Journal of Control 4 International Journal of Systems Science 4 Kybernetika 4 Proceedings of the American Mathematical Society 4 Transactions of the American Mathematical Society 4 Optimal Control Applications & Methods 4 Bulletin of the Korean Mathematical Society 4 Acta Mathematica Hungarica 4 Optimization 4 Journal of Applied Mathematics and Stochastic Analysis 4 Signal Processing 4 Neural Computation ...and 220 more Serials all top 5 Cited in 50 Fields 1,189 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,120 Probability theory and stochastic processes (60-XX) 595 Systems theory; control (93-XX) 279 Statistics (62-XX) 262 Calculus of variations and optimal control; optimization (49-XX) 134 Numerical analysis (65-XX) 129 Operations research, mathematical programming (90-XX) 99 Partial differential equations (35-XX) 29 Ordinary differential equations (34-XX) 21 Biology and other natural sciences (92-XX) 20 Information and communication theory, circuits (94-XX) 15 Abstract harmonic analysis (43-XX) 14 Dynamical systems and ergodic theory (37-XX) 14 Computer science (68-XX) 13 Integral transforms, operational calculus (44-XX) 13 Operator theory (47-XX) 12 Functional analysis (46-XX) 10 Real functions (26-XX) 10 Difference and functional equations (39-XX) 10 Integral equations (45-XX) 8 Statistical mechanics, structure of matter (82-XX) 7 Global analysis, analysis on manifolds (58-XX) 6 Measure and integration (28-XX) 6 Quantum theory (81-XX) 5 Topological groups, Lie groups (22-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 4 General and overarching topics; collections (00-XX) 4 Commutative algebra (13-XX) 4 Functions of a complex variable (30-XX) 3 Special functions (33-XX) 3 Geophysics (86-XX) 2 History and biography (01-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 Relativity and gravitational theory (83-XX) 1 Number theory (11-XX) 1 Linear and multilinear algebra; matrix theory (15-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 Mechanics of deformable solids (74-XX) 1 Mathematics education (97-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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