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Robert Elliott
Robert Elliott
Research Professor, University of South Australia.. Faculty Professor and Emeritus Professor
Verified email at ucalgary.ca
Title
Cited by
Cited by
Year
Hidden Markov models: estimation and control
RJ Elliott, L Aggoun, JB Moore
Springer Science & Business Media, 2008
24372008
Stochastic calculus and applications
SN Cohen, RJ Elliott
Birkhäuser, 2015
15612015
Mathematics of financial markets
RJ Elliott, PE Kopp
Springer finance, 2005
8852005
Discrete-time nonlinear filtering algorithms using Gauss–Hermite quadrature
I Arasaratnam, S Haykin, RJ Elliott
Proceedings of the IEEE 95 (5), 953-977, 2007
7432007
American options with regime switching
J Buffington, RJ Elliott
International Journal of Theoretical and Applied Finance 5 (05), 497-514, 2002
5882002
The existence of value in differential games
RJ Elliott, NJ Kalton
American Mathematical Soc., 1972
538*1972
Pairs trading
RJ Elliott, J Van Der Hoek*, WP Malcolm
Quantitative Finance 5 (3), 271-276, 2005
5292005
Option pricing and Esscher transform under regime switching
RJ Elliott, L Chan, TK Siu
Annals of Finance 1, 423-432, 2005
5052005
The existence of value in differential games
RJ Elliott, NJ Kalton
American Mathematical Soc., 1972
4581972
The existence of value in differential games
RJ Elliott, NJ Kalton
American Mathematical Soc., 1972
4581972
The existence of value in differential games
RJ Elliott, NJ Kalton
American Mathematical Soc., 1972
4581972
A general fractional white noise theory and applications to finance
RJ Elliott, J Van Der Hoek
Mathematical Finance 13 (2), 301-330, 2003
4242003
Magnetic properties of rare earth metals
R Elliott
Springer Science & Business Media, 2013
4092013
Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
MR James, JS Baras, RJ Elliott
IEEE transactions on automatic control 39 (4), 780-792, 1994
3501994
On models of default risk
RJ Elliott, M Jeanblanc, M Yor
Mathematical Finance 10 (2), 179-195, 2000
3462000
Abrupt but smaller than expected changes in surface air quality attributable to COVID-19 lockdowns
Z Shi, C Song, B Liu, G Lu, J Xu, T Van Vu, RJR Elliott, W Li, WJ Bloss, ...
Science advances 7 (3), eabd6696, 2021
2402021
Hidden Markov models in finance
RS Mamon, RJ Elliott
Springer, 2007
2372007
Discrete time mean-field stochastic linear-quadratic optimal control problems
R Elliott, X Li, YH Ni
Automatica 49 (11), 3222-3233, 2013
1942013
New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
RJ Elliott, V Krishnamurthy
IEEE Transactions on Automatic Control 44 (5), 938-951, 1999
1511999
Pricing options under a generalized Markov-modulated jump-diffusion model
RJ Elliott, TK Siu, L Chan, JW Lau
Stochastic Analysis and Applications 25 (4), 821-843, 2007
1452007
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