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Issue Date
Title
Author(s)
2013
Some properties of generalized anticipated backward stochastic differential equations
Yang, Z.
;
Elliott, R.
2012
An HMM approach for optimal investment of an insurer
Elliott, R.
;
Siu, T.
2014
Strategic asset allocation under a fractional hidden markov model
Elliott, R.
;
Siu, T.
2013
Computational dynamic market risk measures in discrete time setting
Seck, B.
;
Elliott, R.
;
Gueyie, J.
2013
Reflected backward stochastic differential equations, convex risk measures and American options
Elliott, R.
;
Siu, T.
2014
A double HMM approach to Altman Z-scores and credit ratings
Elliott, R.
;
Siu, T.
;
Fung, E.
2013
Filtering a double threshold model with regime switching
Elliott, R.
;
Siu, T.
;
Lau, J.
2014
On pricing barrier options with regime switching
Elliott, R.
;
Siu, T.
;
Chan, L.
2013
A modified hidden Markov model
Van Der Hoek, J.
;
Elliott, R.
2014
Filtering and change point estimation for hidden Markov-modulated Poisson processes
Elliott, R.
;
Siu, T.
Discover
Author
44
Siu, T.
9
Malcolm, W.
7
Cohen, S.
7
Van Der Hoek, J.
6
Badescu, A.
6
Deng, J.
6
Miao, H.
6
Sworder, D.
5
Boyd, J.
5
Hutchins, R.
.
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Subject
5
BSDE
5
Change of measures
5
EM algorithm
5
Reference probability
4
Comparison theorem
4
comparison theorem
4
Esscher transform
4
nonlinear expectation
4
Stochastic differential game
3
Backward stochastic differential ...
.
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Date issued
75
2010 - 2017
41
2001 - 2009