Robert J. Elliott

	2012
27		Leo Shen, Robert J. Elliott: How to value risk. Expert Syst. Appl. 39(5): 6111-6115 (2012)
26		Xin Zhang, Robert J. Elliott, Tak Kuen Siu: A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance. SIAM J. Control and Optimization 50(2): 964-990 (2012)
	2011
25		Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu: On filtering and estimation of a threshold stochastic volatility model. Applied Mathematics and Computation 218(1): 61-75 (2011)
24		Robert J. Elliott, Tak Kuen Siu: A BSDE approach to a risk-based optimal investment of an insurer. Automatica 47(2): 253-261 (2011)
23		Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu: Characteristic functions and option valuation in a Markov chain market. Computers & Mathematics with Applications 62(1): 65-74 (2011)
22		Robert J. Elliott, Tak Kuen Siu: An M-ary detection approach for asset allocation. Computers & Mathematics with Applications 62(4): 2083-2094 (2011)
21		Samuel N. Cohen, Robert J. Elliott: Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations. SIAM J. Control and Optimization 49(1): 125-139 (2011)
20		Robert J. Elliott, Jia Deng: A filter for a hidden Markov chain observed in fractional Gaussian noise. Systems & Control Letters 60(2): 93-100 (2011)
19		Robert J. Elliott, Tak Kuen Siu: Control of discrete-time HMM partially observed under fractional Gaussian noises. Systems & Control Letters 60(5): 350-355 (2011)
	2010
18		Robert J. Elliott, Tak Kuen Siu: On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Annals OR 176(1): 271-291 (2010)
17		Robert J. Elliott, Jia Deng: A filter for a state space model with fractional Gaussian noise. Automatica 46(10): 1689-1695 (2010)
16		Robert J. Elliott, Simon Haykin: A Zakai equation derivation of the extended Kalman filter. Automatica 46(3): 620-624 (2010)
	2009
15		Robert J. Elliott, Tak Kuen Siu: A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization. ISCAS 2009: 1189-1192
14		Robert J. Elliott, Jia Deng: A Viterbi smoother for discrete state space model. Systems & Control Letters 58(6): 400-405 (2009)
	2008
13		Robert J. Elliott, Alexei Filinkov: A self tuning model for risk estimation. Expert Syst. Appl. 34(3): 1692-1697 (2008)
	2006
12		Robert J. Elliott, Carlton-James U. Osakwe: Option Pricing for Pure Jump Processes with Markov Switching Compensators. Finance and Stochastics 10(2): 250-275 (2006)
	2005
11		W. Paul Malcolm, Robert J. Elliott, Matthew R. James: Risk-sensitive filtering and smoothing for continuous-time Markov Processes. IEEE Transactions on Information Theory 51(5): 1731-1738 (2005)
10		Robert J. Elliott, François Dufour, W. Paul Malcolm: State and Mode Estimation for Discrete-Time Jump Markov Systems. SIAM J. Control and Optimization 44(3): 1081-1104 (2005)
	2004
9		Christian Bender, Robert J. Elliott: Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market. Math. Oper. Res. 29(4): 935-945 (2004)
	2002
8		Langford B. White, Robert J. Elliott: A mixed MAP/MLSE receiver for convolutional coded signals transmitted over a fading channel. IEEE Transactions on Signal Processing 50(5): 1205-1214 (2002)
	1997
7		Robert J. Elliott, Vikram Krishnamurthy, Jonathan H. Manton: Optimal Estimation of Poisson Rate from Discrete Time Observations. ICC (3) 1997: 1392-1395
	1994
6		Robert J. Elliott: Exact adaptive filters for Markov chains observed in Gaussian noise. Automatica 30(9): 1399-1408 (1994)
5		Robert J. Elliott, L. Aggoun: Estimation for discrete Markov random fields observed in Gaussian noise. IEEE Transactions on Information Theory 40(5): 1600-1603 (1994)
	1993
4		Robert J. Elliott: New finite-dimensional filters and smoothers for noisily observed Markov chains. IEEE Transactions on Information Theory 39(1): 265-271 (1993)
	1989
3		Robert J. Elliott: Bilateral prediction. IEEE Transactions on Information Theory 35(4): 912-917 (1989)
	1986
2		Robert J. Elliott: Reverse-time Markov processes. IEEE Transactions on Information Theory 32(2): 290-292 (1986)
1		Peter L. Antonelli, Robert J. Elliott: The Zakai forms of the prediction and smoothing equations. IEEE Transactions on Information Theory 32(6): 816-817 (1986)

Coauthor Index

1	L. Aggoun	[5]
2	Peter L. Antonelli	[1]
3	Christian Bender	[9]
4	Samuel N. Cohen	[21]
5	Jia Deng	[14] [17] [20]
6	François Dufour	[10]
7	Alexei Filinkov	[13]
8	Simon Haykin	[16]
9	Matthew R. James	[11]
10	Vikram Krishnamurthy	[7]
11	Chuin Ching Liew	[23] [25]
12	W. Paul Malcolm	[10] [11]
13	Jonathan H. Manton	[7]
14	Carlton-James U. Osakwe	[12]
15	Leo Shen	[27]
16	Tak Kuen Siu	[15] [18] [19] [22] [23] [24] [25] [26]
17	Langford B. White	[8]
18	Xin Zhang	[26]

Colors in the list of coauthors

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