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Issue Date
Title
Author(s)
2013
A converse comparison theorem for anticipated BSDEs and related non-linear expectations
Yang, Z.
;
Elliott, R.
2013
Change point estimation for continuous-time hidden Markov models
Elliott, R.
;
Deng, J.
2014
Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, A.
;
Elliott, R.
;
Ortega, J.
2011
Control of discrete-time HMM partially observed under fractional Gaussian noises
Elliott, R.
;
Siu, T.
2011
Utility-based indifference pricing in regime-switching models
Elliott, R.
;
Siu, T.
2012
Markovian forward-backward stochastic differential equations and stochastic flows
Elliott, R.
;
Siu, T.
2010
A general theory of finite state Backward Stochastic Difference Equations
Cohen, S.
;
Elliott, R.
2013
Filtering hidden semi-Markov chains
Elliott, R.
;
Limnios, N.
;
Swishchuk, A.
2011
On pricing and hedging options in regime-switching models with feedback effect
Elliott, R.
;
Siu, T.
;
Badescu, A.
2010
A model for energy pricing with stochastic emission costs
Elliott, R.
;
Lyle, M.
;
Miao, H.
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Author
37
Siu, T.
7
Cohen, S.
6
Van Der Hoek, J.
5
Badescu, A.
5
Yang, Z.
4
Deng, J.
3
Chan, L.
3
Miao, H.
2
Fung, E.
2
Lau, J.
.
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Subject
5
BSDE
5
EM algorithm
4
Comparison theorem
4
comparison theorem
4
nonlinear expectation
3
Backward stochastic differential ...
3
Change of measures
3
Convex risk measure
3
Dynamic risk measure
3
Filtering
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