Recent Publications of Robert Elliott
A* R. J. Elliott, T.K. Siu and H. Yang Filtering a Markov-Modulated Random Measure'. IEEE Transactions on Automatic Control 55 (2010) 74-88
A* S. N. Cohen and R.J. Elliott, Comparisons for Backward Stochastic Differential Equations on Markov Chains and Related No-arbitrage Conditions. Annals of Applied Probability, 2010 (1), 267-311.
A* R. J. Elliott and J Deng, A filter for a state space model with fractional Gaussian noise Automatica, Volume 46, Issue 10, October 2010, Pages 1689-1695
A* R. J. Elliott and S Haykin, A Zakai equation derivation of the extended Kalman filter. Automatica, Volume 46, Issue 3, March 2010, Pages 620-624
A* S. N. Cohen and R.J. Elliott, Backward Stochastic Difference Equations and Nearly Time Consistent Nonlinear Expectations. SIAM Journal on Control and Optimization.
Vol. 49, (1), 2011 125-139
A* S. N. Cohen and R.J. Elliott, Existence and Comparisons for BSDEs in general spaces,
Annals of Probability. Accepted
A* R. J. Elliott, T.K. Siu and A. Badescu, 'On Pricing and Hedging Options in Regime-Switching Models with Feedback Effect', Journal of Economic Dynamics and Control.
A S. N. Cohen and R.J. Elliott. A General Theory of Finite State Backward Stochastic Difference Equations, Stochastic Processes and their Applications, 120, (2010), 442-466.
B R. J. Elliott and T.K. Siu Risk Minimizing Portfolios Under a Markovian Regime-Switching' Annals of Operations Research (2010) 176 271-291
B W. P. Malcolm and R.J. Elliott, Some applications of M-ary detection in quantitative finance. Quantitative Finance 10, (2010) 13-20
R. J. Elliott and T.K. Siu, Risk-based Indifference Pricing Under a Stochastic Volatility Model. Communications on Stochastic Analysis, 4 (2010), 51-73
A R. J. Elliott, M. R. Lyle and H. Miao. 'A model for energy pricing with stochastic emission costs' Energy Economics. 32 (2010), 838 - 847
B R. J. Elliott, J. van der Hoek and J. Valencia, Nonlinear filter estimation of volatility'. Stochastic Analysis and Applications 28 (2010), 696-710
Also an edition of our book "Mathematics of Financial Markets", written with P E Kopp, was published in Beijing China in September 2010 by the World Publishing Corporation, Beijing.
Papers (no journal ranking):
R. J. Elliott and J. Deng, A Filter for a Hidden Markov Chain Observed in Fractional Gaussian Noise, Systems & Control Letters 60: 93-100 (2011).
R. J. Elliott and T.K. Siu, A BSDE Approach to a Risk-Based Optimal Investment of an Insurer, Automatica 47(2): 253-428. Regular Paper, Lead article.
R. J. Elliott and T.K. Siu, Pricing and Hedging Contingent Claims with Regime Switching Risk, Communications in Mathematical Sciences 9(2): 477-498 (2011).
R. J. Elliott and T.K. Siu, A Stochastic Differential Game for Optimal Investment of An Insurer With Regime Switching, Quantitative Finance 11(3): 365-380 (2011).
R. J. Elliott, H. Miao and Z. Wu, An asset pricing model with mean reversion and regime switching stochastic volatility, Oxford Handbook of Nonlinear Filtering, edited by Dan O. Crisan and Boris Rozovsky, (2011), 960-989.
R. J. Elliott and T.K. Siu, A Stochastic Differential Game for Optimal Investment of An Insurer With Regime Switching. Quantitative Finance. Accepted.
R. J. Elliott and T.K. Siu, Default Times in a Continuous-Time Markovian Regime Switching Model. Stochastic Analysis and Applications, Accepted.
R. J. Elliott and T.K. Siu, A Risk-Based Approach for Pricing American Options Under a Generalized Markov Regime-Switching Model. Quantitative Finance, Accepted.
R. J. Elliott, T.K. Siu and A. Badescu, On Pricing and Hedging Options Under Double Markov-Modulated Models With Feedback Effect. Journal of Economic Dynamics and Control, Accepted.
A. M. Badescu, R.J. Elliott, R.J. Kulperger, J. Miettinen and T.K. Siu, Pricing Kernels for GARCH Option Pricing with Generalized Hyperbolic Distributions. International Journal of Theoretical and Applied Finance, Accepted.
R. J. Elliott and T.K. Siu, A Hidden Markov Model for Optimal Investment of An Insurer with Model Uncertainty. International Journal of Robust and Nonlinear Control, Accepted.
R. J. Elliott, T.K. Siu and H. Yang, Ruin Theory in a Hidden Markov-Modulated Risk Model. Stochastic Models. Accepted.
R. J. Elliott and T.K. Siu, Control of Discrete-Time HMM Partially Observed Under Fractional Gaussian Noises. Systems and Control Letters. Accepted.
R. J. Elliott and T.K. Siu, Filtering a Hidden Markov-Modulated Intensity-Based Credit Risk Model. Communications in Mathematical Sciences. Accepted.
R. J. Elliott, C.C. Liew and T.K. Siu, Characteristic Functions and Option Valuation in a Markov Chain Market. Computers and Mathematics with Applications. Accepted.
R. J. Elliott, T.K. Siu and E.S. Fung, Filtering a Nonlinear Stochastic Volatility Model. Nonlinear Dynamics. Accepted.
R. J. Elliott, T.K. Siu and A. Badescu, Bond Valuation Under a Discrete-Time Regime-Switching Term-Structure Model and its Continuous-Time Extension. Managerial Finance. Accepted.
R. J. Elliott, C.C. Liew and T.K. Siu, On Filtering and Estimation of a Threshold Stochastic Volatility Model. Applied Mathematics and Computation. Accepted.
R. J. Elliott and T.K. Siu, Utility-Based Indifference Pricing in Regime Switching Models. Nonlinear Analysis Series A: Theory, Methods & Applications. Accepted.
R. J. Elliott, T.K. Siu and H. Yang, A Partial Differential Equation Approach To Multivariate Risk Theory. Special Issue for Professor Jiaan Yan's 70 birthday. Accepted.