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Issue Date
Title
Author(s)
2010
A Zakai equation derivation of the extended Kalman filter
Elliott, R.
;
Haykin, S.
2010
On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, R.
;
Siu, T.
;
Badescu, A.
2010
Filtering a Markov modulated random measure
Elliott, R.
;
Siu, T.
;
Yang, H.
2011
Ruin theory in a hidden Markov-modulated risk model
Elliott, R.
;
Siu, T.
;
Yang, H.
2011
A stochastic differential game for optimal investment of an insurer with regime switching
Elliott, R.
;
Siu, T.
2013
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
Elliott, R.
;
Lian, G.
2013
Option pricing and filtering with hidden Markov-Modulated pure-jump processes
Elliott, R.
;
Siu, T.
2013
Fractional differencing in discrete time
Elder, J.
;
Elliott, R.
;
Miao, H.
2012
Asset pricing using finite state Markov chain stochastic discount functions
Van Der Hoek, J.
;
Elliott, R.
2012
Markov chain hitting times
Elliott, R.
;
Van Der Hoek, J.
;
Sworder, D.
Discover
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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