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Issue Date
Title
Author(s)
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.
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.
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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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BSDE
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EM algorithm
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Comparison theorem
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comparison theorem
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nonlinear expectation
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Backward stochastic differential ...
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Change of measures
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Convex risk measure
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Dynamic risk measure
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