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Issue Date
Title
Author(s)
1999
Discrete Time Filter for a Doubly Stochastic Poisson Process and other Exponential Noise Models
Manton, J.
;
Elliott, R.
;
Krishnamurthy, V.
2005
Option pricing and Esscher transform under regime switching
Elliott, R.
;
Chan, L.
;
Siu, T.
2002
A mixed MAP/MLSE receiver for convolutional coded signals transmitted over a fading channel
White, L.
;
Elliott, R.
2002
Robust continuous-time smoothers without two-sided stochastic integrals
Krishnamurthy, V.
;
Elliott, R.
2005
Risk-sensitive filtering and smoothing for continuous-time Markov processes
Malcolm, W.
;
Elliott, R.
;
James, M.
1998
A Finite-Dimensional Filter for Hybrid Observations
Elliott, R.
;
van der Hoek, J.
2005
General smoothing formulas for Markov-modulated Poisson observations
Elliott, R.
;
Malcolm, W.
2006
Optimal linear estimation and data fusion
Elliott, R.
;
Van Der Hoek, J.
2003
Robust parameter estimation for asset price models with Markov modulated volatilities
Elliott, R.
;
Malcolm, W.
;
Tsoi, A.
2003
On the Clark-Ocone theorem for fractional Brownian motions with Hurst parameter bigger than half
Bender, C.
;
Elliott, R.
Discover
Author
12
Malcolm, W.
10
Van Der Hoek, J.
4
Tsoi, A.
3
Chan, L.
3
IEEE Conference on Decision and C...
2
Bender, C.
2
Djaferis, T.
2
Krishnamurthy, V.
2
Siu, T.
2
Wu, P.
.
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Subject
2
filtering
2
fractional Brownian motion
2
Markov switching
2
Martingales
2
Option pricing
2
Reference probability
1
adaptive estimation
1
analytical option valuation.
1
Arbitrage
1
binary market models
.
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1998