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Issue Date
Title
Author(s)
2006
Stochastic volatility model with filtering
Elliott, R.
;
Miao, H.
2012
A Bayesian approach for optimal reinsurance and investment in a diffusion model
Zhang, X.
;
Elliott, R.
;
Siu, T.
2011
On filtering and estimation of a threshold stochastic volatility model
Elliott, R.
;
Liew, C.
;
Siu, T.
2011
An M-ary detection approach for asset allocation
Elliott, R.
;
Siu, T.
2011
A filter for a hidden Markov chain observed in fractional Gaussian noise
Elliott, R.
;
Deng, J.
Discover
Author
3
Siu, T.
1
Deng, J.
1
Liew, C.
1
Miao, H.
1
Zhang, X.
Subject
2
EM algorithm
1
Asset allocation
1
Bayesian adaptive control approach
1
Change of measures
1
Fractional white noise
1
Hidden Markov chain
1
HJB dynamic programming
1
HJB equations
1
M-ary detection
1
Markov switching
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