## Elliott, Robert James

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 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
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### 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
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### 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
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### 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)

### 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 0819.60045
Elliott, Robert J.; Aggoun, Lakhdar; Moore, John B.
1995
American options with regime switching. Zbl 1107.91325
Buffington, John; Elliott, Robert J.
2002
Stochastic calculus and applications. Zbl 0503.60062
Elliott, Robert J.
1982
Option pricing and Esscher transform under regime switching. Zbl 1233.91270
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
2005
A general fractional white noise theory and applications to finance. Zbl 1069.91047
Elliott, Robert J.; van der Hoek, John
2003
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
2000
Stochastic calculus and applications. 2nd revised and expanded edition. Zbl 1338.60001
Cohen, Samuel N.; Elliott, Robert J.
2015
Pricing volatility swaps under Heston’s stochastic volatility model with regime switching. Zbl 1281.91161
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
2007
The existence of value in differential games of pursuit and evasion. Zbl 0244.90046
Elliott, Robert J.; Kalton, Nigel J.
1972
Pricing options under a generalized Markov-modulated jump-diffusion model. Zbl 1155.91380
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung; Lau, John W.
2007
Discrete time mean-field stochastic linear-quadratic optimal control problems. Zbl 1358.93189
Elliott, Robert; Li, Xun; Ni, Yuan-Hua
2013
Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034
Elliott, Robert J.; Osakwe, Carlton-James U.
2006
An application of hidden Markov models to asset allocation problems. Zbl 0907.90022
Elliott, Robert J.; van der Hoek, John
1997
Elliott, Robert J.; van der Hoek, John; Malcolm, William P.
2005
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Zbl 1233.91242
Elliott, Robert J.; Siu, Tak Kuen
2010
New finite-dimensional filters and smoothers for noisily observed Markov chains. Zbl 0779.93093
Elliott, Robert J.
1993
Risk-sensitive control and dynamic games for partially observed discrete- time nonlinear systems. Zbl 0807.93067
James, Matthew R.; Baras, John S.; Elliott, Robert J.
1994
Mathematics of financial markets. 2nd ed. Zbl 1140.91032
Elliott, Robert J.; Kopp, P. Ekkehard
2005
Regime switching and European options. Zbl 1073.91027
Buffington, John; Elliott, Robert J.
2002
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance. Zbl 1244.93180
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen
2012
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions. Zbl 1195.60077
Cohen, Samuel N.; Elliott, Robert J.
2010
Mathematics of financial markets. Zbl 0943.91035
Elliott, Robert J.; Kopp, P. Ekkehard
1999
On Markov-modulated exponential-affine bond price formulae. Zbl 1169.91342
Elliott, Robert J.; Siu, Tak Kuen
2009
The existence of value in stochastic differential games. Zbl 0328.90085
Elliott, Robert
1976
A general theory of finite state backward stochastic difference equations. Zbl 1205.60111
Cohen, Samuel N.; Elliott, Robert J.
2010
Solutions of backward stochastic differential equations on Markov chains. Zbl 1331.60108
Cohen, Samuel N.; Elliott, Robert J.
2008
The existence of value in differential games. Zbl 0262.90076
Elliott, Robert J.; Kalton, Nigel J.
1972
Existence, uniqueness and comparisons for BSDEs in general spaces. Zbl 1260.60128
Cohen, Samuel N.; Elliott, Robert J.
2012
Robust parameter estimation for asset price models with Markov modulated volatilities. Zbl 1178.91222
Elliott, R. J.; Malcolm, W. P.; Tsoi, Allanus H.
2003
A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346
Elliott, Robert J.; Siu, Tak Kuen
2011
On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru
2011
Exact adaptive filters for Markov chains observed in Gaussian noise. Zbl 0823.93061
Elliott, Robert J.
1994
Values in differential games. Zbl 0253.90074
Elliott, Robert J.; Kalton, Nigel J.
1972
Optimal play in a stochastic differential game. Zbl 0467.90094
Elliott, R. J.; Davis, M. H. A.
1981
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case. Zbl 1281.91160
Elliott, Robert J.; Lian, Guang-Hua
2013
New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models. Zbl 0959.93055
Elliott, Robert J.; Krishnamurthy, Vikram
1999
Filtering with discrete state observations. Zbl 0955.62094
Dufour, F.; Elliott, R. J.
1999
Discontinuous asset prices and non-attainable contingent claims. Zbl 0884.90021
Colwell, David B.; Elliott, Robert J.
1993
A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100
Elliott, Robert J.; Siu, Tak Kuen
2011
A discrete time equivalent martingale measure. Zbl 0910.60033
Elliott, Robert J.; Madan, Dilip B.
1998
Hidden Markov models in finance. Zbl 1116.91007
2007
The optimal control of a stochastic system. Zbl 0359.93046
Elliott, Robert J.
1977
Saddle points for linear differential games. Zbl 0229.90061
Elliott, R. J.; Kalton, N. J.; Markus, L.
1972
Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372
Elliott, Robert J.; Siu, Tak Kuen
2009
Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372
Elliott, Robert J.; Siu, Tak Kuen
2013
Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case. Zbl 1330.93244
Ni, Yuan-Hua; Elliott, Robert; Li, Xun
2015
A general comparison theorem for backward stochastic differential equations. Zbl 1221.60079
Cohen, Samuel N.; Elliott, Robert J.; Pearce, Charles E. M.
2010
Backward stochastic difference equations and nearly time-consistent nonlinear expectations. Zbl 1225.60092
Cohen, Samuel N.; Elliott, Robert J.
2011
Integration by parts for Poisson processes. Zbl 0768.60052
Elliott, Robert J.; Tsoi, Allanus H.
1993
The optimal control of diffusions. Zbl 0718.49013
Elliott, Robert J.
1990
Integration by parts, homogeneous chaos expansions and smooth densities. Zbl 0671.60050
Elliott, Robert J.; Kohlmann, Michael
1989
The partially observed stochastic minimum principle. Zbl 0681.93068
Baras, John S.; Elliott, Robert J.; Kohlmann, Michael
1989
Saddle points for linear differential games. Zbl 0255.90086
Elliott, R. J.; Kalton, N. J.; Markus, L.
1973
Stochastic flows and the forward measure. Zbl 0987.60067
Elliott, Robert J.; van der Hoek, John
2001
Approximations for the values of American options. Zbl 0729.60056
1991
American option prices in a Markov chain market model. Zbl 1286.91143
van der Hoek, John; Elliott, Robert J.
2012
Portfolio optimization, hidden Markov models, and technical analysis of P&F-charts. Zbl 1107.91331
Elliott, Robert; Hinz, Juri
2002
Analytical solutions for the pricing of American bond and yield options. Zbl 0884.90019
Chesney, Marc; Elliott, Robert J.; Gibson, Rajna
1993
Exact finite-dimensional filters for maximum likelihood parameter estimation of continuous-time linear Gaussian systems. Zbl 0935.93061
Elliott, Robert J.; Krishnamurthy, Vikram
1997
On pricing barrier options with regime switching. Zbl 1350.91016
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
2014
Adaptive control of linear systems with Markov perturbations. Zbl 0919.93085
Dufour, François; Elliott, Robert J.
1998
The variational principle and stochastic optimal control. Zbl 0434.49009
Elliott, Robert J.; Kohlmann, Michael
1980
Asset pricing using finite state Markov chain stochastic discount functions. Zbl 1258.91079
van der Hoek, John; Elliott, Robert J.
2012
An HMM approach for optimal investment of an insurer. Zbl 1276.93084
Elliott, Robert J.; Siu, Tak Kuen
2012
Cauchy problems for certain Isaacs-Bellman equations and games of survival. Zbl 0302.90074
Elliott, Robert J.; Kalton, Nigel J.
1974
Drift and volatility estimation in discrete time. Zbl 0895.90047
Elliott, Robert J.; Hunter, William C.; Jamieson, Barbara M.
1997
A partially observed control problem for Markov chains. Zbl 0762.93009
Elliott, Robert J.
1992
Two notes on spectral synthesis for discrete Abelian groups. Zbl 0138.07402
Elliott, R. J.
1965
Finite-dimensional models for hidden Markov chains. Zbl 0823.60062
Aggoun, Lakhdar; Elliott, Robert J.
1995
On finite-state stochastic modeling and secure estimation of cyber-physical systems. Zbl 1359.94658
Shi, Dawei; Elliott, Robert J.; Chen, Tongwen
2017
A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
2008
Estimating the implicit interest rate of a risky asset. Zbl 0797.60036
Elliott, Robert J.; Rishel, Raymond W.
1994
A short proof of a martingale representation result. Zbl 0645.60053
Elliott, Robert J.; Kohlmann, Michael
1988
Event-based state estimation of discrete-state hidden Markov models. Zbl 1328.93256
Shi, Dawei; Elliott, Robert J.; Chen, Tongwen
2016
On the Clark-Ocone theorem for fractional Brownian motions with Hurst parameter bigger than a half. Zbl 1043.60027
Bender, Christian; Elliott, Robert J.
2003
The term structure of interest rates in a hidden Markov setting. Zbl 1311.91182
Elliott, Robert J.; Wilson, Craig A.
2007
State and mode estimation for discrete-time jump Markov systems. Zbl 1130.93423
Elliott, Robert J.; Dufour, Francois; Malcolm, W. P.
2005
Martingale representation and hedging policies. Zbl 0737.60044
Colwell, David B.; Elliott, Robert J.; Kopp, P. Ekkehard
1991
Some properties of generalized anticipated backward stochastic differential equations. Zbl 1329.60204
Yang, Zhe; Elliott, Robert J.
2013
Upper values of differential games. Zbl 0248.90073
Elliott, R. J.; Kalton, N. J.
1973
Stochastic integrals for martingales of a jump process with partially accessible jump times. Zbl 0325.60055
Elliott, Robert J.
1976
Optimal control of a jump process. Zbl 0349.60084
Davis, Mark; Elliott, Robert
1977
Robust filtering for correlated multidimensional observations. Zbl 0458.60029
Elliott, Robert J.; Kohlmann, Michael
1981
A complete yield curve description of a Markov interest rate model. Zbl 1079.91027
Elliott, Robert J.; Mamon, Rogemar S.
2003
An interest rate model with a Markovian mean reverting level. Zbl 1405.91661
Elliott, Robert J.; Mamon, Rogemar S.
2002
Some results in spectral synthesis. Zbl 0138.07401
Elliott, R. J.
1965
Pricing and hedging contingent claims with regime switching risk. Zbl 1216.91032
Elliott, Robert J.; Siu, Tak Kuen
2011
The second order minimum principle and adjoint process. Zbl 0824.60051
Elliott, Robert J.; Kohlmann, Michael
1994
General smoothing formulas for Markov-modulated Poisson observations. Zbl 1365.93501
Elliott, Robert J.; Malcolm, W. P.
2005
The variational principle for optimal control of diffusions with partial information. Zbl 0684.49011
Elliott, Robert J.; Kohlmann, Michael
1989
Nonlinear filtering and Riemannian scalar curvature, $${\mathbb{R}}$$. Zbl 0634.60038
Antonelli, P. L.; Elliott, R. J.; Seymour, R. M.
1987
Incomplete markets with jumps and informed agents. Zbl 0940.91063
Elliott, Robert J.; Jeanblanc, Monique
1999
Almost sure parameter estimation and convergence rates for hidden Markov models. Zbl 0902.93066
Elliott, R. J.; Moore, J. B.
1997
Option pricing for GARCH models with Markov switching. Zbl 1138.91437
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
2006
A finite-dimensional risk-sensitive control problem. Zbl 0841.93081
Bensoussan, Alain; Elliott, Robert J.
1995
Esscher transforms and consumption-based models. Zbl 1231.91423
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen
2009
Binomial models in finance. Zbl 1107.91056
van der Hoek, John; Elliott, Robert J.
2006
Option pricing and hedge portfolios for Poisson processes. Zbl 0697.90007
Elliott, Robert J.; Kopp, P. Ekkehard
1990
Exact hybrid filters in discrete time. Zbl 0873.93077
Elliott, Robert J.; Dufour, François; Sworder, Dave D.
1996
Filtering a Markov modulated random measure. Zbl 1368.93711
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
2010
Optimal portfolio execution problem with stochastic price impact. Zbl 1430.91086
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping; Elliott, Robert J.
2020
Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404
Siu, Tak Kuen; Elliott, Robert J.
2019
Optimal execution with regime-switching market resilience. Zbl 1411.91648
Siu, Chi Chung; Guo, Ivan; Zhu, Song-Ping; Elliott, Robert J.
2019
A level-1 limit order book with time dependent arrival rates. Zbl 1428.60059
Chávez-Casillas, Jonathan A.; Elliott, Robert J.; Rémillard, Bruno; Swishchuk, Anatoliy V.
2019
The mean squared loss control problem for a partially observed Markov chain. Zbl 1414.93204
Lai, Y.; Elliott, R. J.
2019
Non-linear expectations in spaces of Colombeau generalized functions. Zbl 07065384
2019
Estimating a regime switching pairs trading model. Zbl 1400.91539
2018
A note on regime-switching Kolmogorov’s forward and backward equations using stochastic flows. Zbl 1392.60060
Elliott, Robert J.; Siu, Tak Kuen
2018
Introduction to hidden semi-Markov models. Zbl 1465.60003
van der Hoek, John; Elliott, Robert J.
2018
On finite-state stochastic modeling and secure estimation of cyber-physical systems. Zbl 1359.94658
Shi, Dawei; Elliott, Robert J.; Chen, Tongwen
2017
Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations. Zbl 1409.62212
Elliott, Robert J.; Siu, Tak Kuen
2017
Filtering with uncertain noise. Zbl 1364.93796
Elliott, Robert J.
2017
A higher-order interactive hidden Markov model and its applications. Zbl 1396.60082
Zhu, Dong-Mei; Ching, Wai-Ki; Elliott, Robert J.; Siu, Tak-Kuen; Zhang, Lianmin
2017
Hidden Markov models with threshold effects and their applications to oil price forecasting. Zbl 1364.90352
Zhu, Dong-Mei; Ching, Wai-Ki; Elliott, Robert J.; Siu, Tak-Kuen; Zhang, Lianmin
2017
Event-based state estimation of discrete-state hidden Markov models. Zbl 1328.93256
Shi, Dawei; Elliott, Robert J.; Chen, Tongwen
2016
Pricing options in a Markov regime switching model with a random acceleration for the volatility. Zbl 1418.91509
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
2016
Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise. Zbl 1338.60164
Yang, Zhe; Ramarimbahoaka, Dimbinirina; Elliott, Robert J.
2016
On anticipated backward stochastic differential equations with Markov chain noise. Zbl 1347.60074
Yang, Zhe; Elliott, Robert J.
2016
Stochastic calculus and applications. 2nd revised and expanded edition. Zbl 1338.60001
Cohen, Samuel N.; Elliott, Robert J.
2015
Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case. Zbl 1330.93244
Ni, Yuan-Hua; Elliott, Robert; Li, Xun
2015
Dynamic optimal capital structure with regime switching. Zbl 1403.91367
Elliott, Robert J.; Shen, Jia
2015
A Dupire equation for a regime-switching model. Zbl 1337.91095
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
2015
Non-Gaussian GARCH option pricing models and their diffusion limits. Zbl 1346.91225
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo
2015
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. Zbl 1390.91333
Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N.
2015
Credit risk and contagion via self-exciting default intensity. Zbl 1369.91188
Elliott, Robert J.; Shen, Jia
2015
Asset pricing using trading volumes in a hidden regime-switching environment. Zbl 1368.91170
Elliott, Robert J.; Siu, Tak Kuen
2015
A note on differentiability in a Markov chain market using stochastic flows. Zbl 1336.91073
Elliott, Robert J.; Siu, Tak Kuen
2015
Disappointment aversion premium principle. Zbl 1390.91131
Cheung, Ka Chun; Chong, Wing Fung; Elliott, Robert; Yam, Sheung Chi Phillip
2015
On pricing barrier options with regime switching. Zbl 1350.91016
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
2014
Hidden Markov models in finance. Further developments and applications. Volume II. Zbl 1291.91006
2014
Pricing currency derivatives with Markov-modulated Lévy dynamics. Zbl 1403.91352
Swishchuk, Anatoliy; Tertychnyi, Maksym; Elliott, Robert
2014
Quadratic hedging schemes for non-Gaussian GARCH models. Zbl 1402.91751
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo
2014
Pricing of discount bonds with a Markov switching regime. Zbl 1319.91147
Elliott, Robert J.; Nishide, Katsumasa
2014
Strategic asset allocation under a fractional hidden Markov model. Zbl 1307.91160
Elliott, Robert J.; Siu, Tak Kuen
2014
Filtering and change point estimation for hidden Markov-modulated Poisson processes. Zbl 1311.62128
Elliott, Robert J.; Siu, Tak Kuen
2014
Option pricing using a regime switching stochastic discount factor. Zbl 1410.91445
Elliott, Robert J.; Hamada, Ahmed S.
2014
Discrete time mean-field stochastic linear-quadratic optimal control problems. Zbl 1358.93189
Elliott, Robert; Li, Xun; Ni, Yuan-Hua
2013
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case. Zbl 1281.91160
Elliott, Robert J.; Lian, Guang-Hua
2013
Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372
Elliott, Robert J.; Siu, Tak Kuen
2013
Some properties of generalized anticipated backward stochastic differential equations. Zbl 1329.60204
Yang, Zhe; Elliott, Robert J.
2013
A converse comparison theorem for anticipated BSDEs and related non-linear expectations. Zbl 1264.60043
Yang, Zhe; Elliott, Robert J.
2013
Option valuation under a regime-switching constant elasticity of variance process. Zbl 1422.91691
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
2013
Fractional differencing in discrete time. Zbl 1280.91192
Elder, John; Elliott, Robert J.; Miao, Hong
2013
Reflected backward stochastic differential equations, convex risk measures and American options. Zbl 1343.60093
Elliott, Robert J.; Siu, Tak Kuen
2013
Change point estimation for continuous-time hidden Markov models. Zbl 1259.93111
Elliott, Robert J.; Deng, Jia
2013
Filtering hidden semi-Markov chains. Zbl 1383.62202
Elliott, Robert; Limnios, Nikolaos; Swishchuk, Anatoliy
2013
Default times in a continuous time Markov chain economy. Zbl 1396.91821
Elliott, Robert J.; van der Hoek, John
2013
Filtering a double threshold model with regime switching. Zbl 1369.93282
Elliott, Robert J.; Siu, Tak Kuen; Lau, John W.
2013
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance. Zbl 1244.93180
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen
2012
Existence, uniqueness and comparisons for BSDEs in general spaces. Zbl 1260.60128
Cohen, Samuel N.; Elliott, Robert J.
2012
American option prices in a Markov chain market model. Zbl 1286.91143
van der Hoek, John; Elliott, Robert J.
2012
Asset pricing using finite state Markov chain stochastic discount functions. Zbl 1258.91079
van der Hoek, John; Elliott, Robert J.
2012
An HMM approach for optimal investment of an insurer. Zbl 1276.93084
Elliott, Robert J.; Siu, Tak Kuen
2012
Markovian forward-backward stochastic differential equations and stochastic flows. Zbl 1273.60067
Elliott, Robert J.; Siu, Tak Kuen
2012
Attainable contingent claims in a Markovian regime-switching market. Zbl 1260.91246
Elliott, Robert J.; Siu, Tak Kuen
2012
A BSDE approach to convex risk measures for derivative securities. Zbl 1254.91723
Elliott, Robert J.; Siu, Tak Kuen
2012
Filtering a nonlinear stochastic volatility model. Zbl 1356.91073
Elliott, Robert J.; Siu, Tak Kuen; Fung, Eric S.
2012
Markovian regime-switching market completion using additional Markov jump assets. Zbl 1280.91078
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi
2012
Measure theory and filtering. Introduction and applications. Reprint of the 2004 hardback ed. Zbl 1250.60019
Aggoun, Lakhdar; Elliott, Robert J.
2012
A Bayesian approach for optimal reinsurance and investment in a diffusion model. Zbl 1276.91065
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen
2012
Optimal design of dynamic default risk measures. Zbl 1262.60055
Shen, Leo; Elliott, Robert
2012
Viterbi-based estimation for Markov switching GARCH model. Zbl 1372.91117
Elliott, Robert J.; Lau, John W.; Miao, Hong; Siu, Tak Kuen
2012
Markov chain hitting times. Zbl 1253.60080
Elliott, Robert J.; van der Hoek, John; Sworder, David
2012
A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346
Elliott, Robert J.; Siu, Tak Kuen
2011
On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru
2011
A BSDE approach to a risk-based optimal investment of an insurer. Zbl 1213.60100
Elliott, Robert J.; Siu, Tak Kuen
2011
Backward stochastic difference equations and nearly time-consistent nonlinear expectations. Zbl 1225.60092
Cohen, Samuel N.; Elliott, Robert J.
2011
Pricing and hedging contingent claims with regime switching risk. Zbl 1216.91032
Elliott, Robert J.; Siu, Tak Kuen
2011
Backward stochastic differential equations for a single jump process. Zbl 1223.60040
Shen, Leo; Elliott, Robert J.
2011
Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
2011
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. Zbl 1282.91116
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen
2011
A risk-based approach for pricing American options under a generalized Markov regime-switching model. Zbl 1277.91169
Elliott, Robert J.; Siu, Tak Kuen
2011
A filter for a hidden Markov chain observed in fractional Gaussian noise. Zbl 1209.93150
Elliott, Robert J.; Deng, Jia
2011
On filtering and estimation of a threshold stochastic volatility model. Zbl 1231.91486
Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen
2011
Utility-based indifference pricing in regime-switching models. Zbl 1237.91220
Elliott, Robert J.; Siu, Tak Kuen
2011
Characteristic functions and option valuation in a Markov chain market. Zbl 1228.91069
Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen
2011
Backward stochastic difference equations with finite states. Zbl 1254.60055
Cohen, Samuel N.; Elliott, Robert J.
2011
Default times in a continuous-time Markovian regime switching model. Zbl 1233.91297
Elliott, Robert J.; Siu, Tak Kuen
2011
Control of discrete-time HMM partially observed under fractional Gaussian noises. Zbl 1215.93080
Elliott, Robert J.; Siu, Tak Kuen
2011
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Zbl 1233.91242
Elliott, Robert J.; Siu, Tak Kuen
2010
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions. Zbl 1195.60077
Cohen, Samuel N.; Elliott, Robert J.
2010
A general theory of finite state backward stochastic difference equations. Zbl 1205.60111
Cohen, Samuel N.; Elliott, Robert J.
2010
A general comparison theorem for backward stochastic differential equations. Zbl 1221.60079
Cohen, Samuel N.; Elliott, Robert J.; Pearce, Charles E. M.
2010
Filtering a Markov modulated random measure. Zbl 1368.93711
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
2010
Risk-based indifference pricing under a stochastic volatility model. Zbl 1331.91175
Elliott, Robert J.; Siu, Tak Kuen
2010
Nonlinear filter estimation of volatility. Zbl 1194.62111
Elliott, Robert J.; van der Hoek, John; Valencia, Jorge
2010
Some applications of $$M$$-ary detection in quantitative finance. Zbl 1200.91116
Malcolm, W. P.; Elliott, R. J.
2010
Comparison theorems for finite state backward stochastic differential equations. Zbl 1236.60052
Cohen, Samuel N.; Elliott, Robert J.
2010
A Zakai equation derivation of the extended Kalman filter. Zbl 1194.93124
Elliott, Robert J.; Haykin, Simon
2010
On Markov-modulated exponential-affine bond price formulae. Zbl 1169.91342
Elliott, Robert J.; Siu, Tak Kuen
2009
Robust optimal portfolio choice under Markovian regime-switching model. Zbl 1162.91372
Elliott, Robert J.; Siu, Tak Kuen
2009
Esscher transforms and consumption-based models. Zbl 1231.91423
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen
2009
Asset prices with regime-switching variance gamma dynamics. Zbl 1180.91141
Royal, Andrew J.; Elliott, Robert J.
2009
Portfolio risk minimization and differential games. Zbl 1239.91145
Elliott, Robert J.; Siu, Tak Kuen
2009
Insurance claims modulated by a hidden Brownian marked point process. Zbl 1231.91182
Elliott, Robert J.; Chen, Zhiping; Duan, Qihong
2009
Investment timing under regime switching. Zbl 1178.91213
Elliott, Robert J.; Miao, Hong; Yu, Jin
2009
A Viterbi smoother for discrete state space model. Zbl 1161.93024
Elliott, Robert J.; Deng, Jia
2009
VaR and expected shortfall: a non-normal regime switching framework. Zbl 1187.91100
Elliott, Robert J.; Miao, Hong
2009
Solutions of backward stochastic differential equations on Markov chains. Zbl 1331.60108
Cohen, Samuel N.; Elliott, Robert J.
2008
A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
2008
...and 186 more Documents
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
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### 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. Theory and Methods 24 European Journal of Operational Research 24 Applied Mathematical Finance 23 Methodology and Computing in Applied Probability 22 Finance and Stochastics 21 Journal of Applied Probability 21 Annals of Operations Research 20 Asia-Pacific Financial Markets 20 Annals of Finance 18 Journal of Industrial and Management Optimization 16 Computers & Mathematics with Applications 16 Dynamic Games and Applications 15 Mathematical Control and Related Fields 14 Physica A 14 Mathematical Problems in Engineering 13 Journal of the Franklin Institute 13 Journal of Differential Equations 13 Mathematical Methods of Operations Research 13 Mathematics and Financial Economics 12 Advances in Applied Probability 12 Stochastics 12 Mathematical and Computer Modelling 12 Discrete Dynamics in Nature and Society 12 North American Actuarial Journal 11 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 10 Journal of Functional Analysis 10 MCSS. Mathematics of Control, Signals, and Systems 10 Journal of Mathematical Sciences (New York) 10 The ANZIAM Journal 10 Stochastics and Dynamics 10 Review of Derivatives Research 10 SIAM Journal on Financial Mathematics 9 Chaos, Solitons and Fractals 9 Acta Mathematicae Applicatae Sinica. English Series 9 Journal of Theoretical Probability 9 International Journal of Computer Mathematics 9 Journal of Systems Science and Complexity 9 Probability, Uncertainty and Quantitative Risk 8 The Annals of Probability 8 Journal of Economic Theory 8 Acta Applicandae Mathematicae 8 Probability Theory and Related Fields 8 Stochastics and Stochastics Reports 8 Abstract and Applied Analysis 8 Stochastic Models 8 Advances in Difference Equations 7 Information Sciences 7 Journal of Statistical Planning and Inference 7 Scandinavian Actuarial Journal 7 ASTIN Bulletin 7 International Journal of Stochastic Analysis 6 Lithuanian Mathematical Journal 6 Mathematics of Operations Research 6 Operations Research Letters 6 European Journal of Control 6 Communications in Nonlinear Science and Numerical Simulation 6 Applied Stochastic Models in Business and Industry 6 Decisions in Economics and Finance 6 Journal of the Korean Statistical Society 6 Frontiers of Mathematics in China 6 International Journal of Systems Science. 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
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### 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)

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