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Issue Date
Title
Author(s)
2007
Ito formulas for franctional Brownian motion
Elliott, R.
;
Van Der Hoek, J.
;
Fu, M.
;
Jarrow, R.
;
Yen, J.
;
Elliott, R.
2007
The term structure of interest rates in a hidden markov setting
Elliott, R.
;
Wilson, C.
;
Mamon, R.
;
Elliott, R.
2007
Smoothed parameter estimation for a hidden Markov Model of credit quality
Korolkiewicz, M.
;
Elliott, R.
;
Mamon, R.
;
Elliott, R.
2007
Pricing options and variance swaps in Markov-Modulated Brownian markets
Elliott, R.
;
Swishchuk, A.
;
Mamon, R.
;
Elliott, R.
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
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Author
3
Mamon, R.
1
Arasaratnam, I.
1
Fu, M.
1
Haykin, S.
1
IEEE Transactions on Automatic Co...
1
Jarrow, R.
1
Korolkiewicz, M.
1
Swishchuk, A.
1
Van Der Hoek, J.
1
Wilson, C.
.
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Subject
1
Gaussian sumfilter
1
Gauss–Hermite Quadrature Rule
1
nonlinear filtering
1
quadrature Kalman filter
1
statistical linear regression (SLR)