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Issue Date
Title
Author(s)
2011
Backward Stochastic Difference Equations with Finite States
Cohen, S.
;
Elliott, R.
;
Kohatsu Higa, A.
;
Privault, N.
;
Sheu, S.
;
Workshop on Stochastic Analysis and Finance (29 Jun 2009 - 3 Jul 2009 : Hong Kong)
2017
A Higher-order interactive hidden Markov model and its applications
Zhu, D.
;
Ching, W.
;
Elliott, R.
;
Siu, T.
;
Zhang, L.
2010
Comparison theorems for finite state backward stochastic differential equations
Cohen, S.
;
Elliott, R.
;
Chiarella, C.
;
Novikov, A.
;
International Conference on Quantitative Methods in Finance (2009 : Sydney, Australia)
2015
On binomial observations of continuous-time Markovian population models
Bean, N.G.
;
Elliott, R.
;
Eshragh, A.
;
Ross, J.V.
2005
Hidden Markov chain filtering for a jump diffusion model
Wu, P.
;
Elliott, R.
2015
Asset pricing using trading volumes in a hidden regime-switching environment
Elliott, R.
;
Siu, T.
2016
On anticipated backward stochastic differential equations with Markov chain noise
Yang, Z.
;
Elliott, R.
2003
Perpetual American options with fractional Brownian motion
Elliott, R.
;
Chan, L.
2001
Robust smoother dynamics for Poisson processes driven by an Ito^diffusion
Elliott, R.
;
Malcolm, W.
;
Djaferis, T.
;
IEEE Conference on Decision and Control (40th : 2001 : Orlando, Florida)
2001
Robust M-ary detection filters for continuous-time jump Markov systems
Elliott, R.
;
Malcolm, W.
;
Djaferis, T.
;
IEEE Conference on Decision and Control (40th : 2001 : Orlando, Florida)
Discover
Author
47
Siu, T.
21
Malcolm, W.
17
Van Der Hoek, J.
8
Cohen, S.
7
Chan, L.
7
Miao, H.
6
Badescu, A.
6
Deng, J.
6
Sworder, D.
5
Boyd, J.
.
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Subject
7
Reference probability
6
BSDE
6
EM algorithm
5
Change of measures
5
comparison theorem
5
Esscher transform
5
Filtering
5
nonlinear expectation
4
Comparison theorem
4
Option pricing
.
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Date issued
77
2010 - 2017
81
2000 - 2009
3
1998 - 1999