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Issue Date
Title
Author(s)
2008
Discrete-time expectation maximization algorithms for Markov-modulated poisson processes
Elliott, R.
;
Malcolm, W.
2007
Discrete-time nonlinear filtering algorithms using Gauss-Hermite quadrature: new computationally efficient methods are proposed for more accurately analyzing and modeling dynamic processes that are nonlinear and subject to non-Gaussian noise
Arasaratnam, I.
;
Haykin, S.
;
Elliott, R.
;
IEEE Transactions on Automatic Control (1 May 2007
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
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