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ORCIDRobert J. Elliott
Person information
- affiliation: University of Calgary, Haskayne School of Business, Canada
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2020 – today
- 2021
[j77]Robert J. Elliott
, Dilip B. Madan, King Wang:
Filtering Response Directions. SIAM J. Financial Math. 12(3): 1285-1306 (2021)- 2020
- [j76]Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu, Robert J. Elliott:
Optimal portfolio execution problem with stochastic price impact. Autom. 112 (2020) - [j75]Zhe Yang, Robert J. Elliott:
Stochastic control for BSDEs and ABSDEs with Markov chain noises. Int. J. Control 93(9): 2029-2042 (2020)
2010 – 2019
- 2019
- [j74]Yingying Lai, Robert J. Elliott:
The mean squared loss control problem for a partially observed Markov chain. Int. J. Control 92(3): 585-592 (2019) - 2017
- [j73]Dong-Mei Zhu, Wai-Ki Ching, Robert J. Elliott, Tak Kuen Siu, Lianmin Zhang:
A Higher-order interactive hidden Markov model and its applications. OR Spectr. 39(4): 1055-1069 (2017) - [j72]Dawei Shi, Robert J. Elliott, Tongwen Chen:
On Finite-State Stochastic Modeling and Secure Estimation of Cyber-Physical Systems. IEEE Trans. Autom. Control. 62(1): 65-80 (2017) - [j71]Robert J. Elliott:
Filtering With Uncertain Noise. IEEE Trans. Autom. Control. 62(2): 876-881 (2017) - 2016
- [j70]Dawei Shi, Robert J. Elliott, Tongwen Chen:
Event-based state estimation of discrete-state hidden Markov models. Autom. 65: 12-26 (2016) - 2015
- [j69]Yuan-Hua Ni, Robert J. Elliott, Xun Li:
Discrete-time mean-field Stochastic linear-quadratic optimal control problems, II: Infinite horizon case. Autom. 57: 65-77 (2015) - [j68]Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega:
Non-Gaussian GARCH option pricing models and their diffusion limits. Eur. J. Oper. Res. 247(3): 820-830 (2015) - [j67]Robert J. Elliott, Tak Kuen Siu, Samuel N. Cohen:
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. J. Appl. Probab. 52(3): 771-785 (2015) - 2014
- [j66]Robert J. Elliott, Tak Kuen Siu:
Filtering and change point estimation for hidden Markov-modulated Poisson processes. Appl. Math. Lett. 28: 66-71 (2014) - [j65]Robert J. Elliott, Tak Kuen Siu, Eric S. Fung:
A Double HMM approach to Altman Z-scores and credit ratings. Expert Syst. Appl. 41(4): 1553-1560 (2014) - [j64]Robert J. Elliott, Tak Kuen Siu, Leunglung Chan:
On pricing barrier options with regime switching. J. Comput. Appl. Math. 256: 196-210 (2014) - 2013
- [j63]Robert J. Elliott, Leunglung Chan, Tak Kuen Siu:
Option valuation under a regime-switching constant elasticity of variance process. Appl. Math. Comput. 219(9): 4434-4443 (2013) - [j62]Robert J. Elliott, Xun Li, Yuan-Hua Ni:
Discrete time mean-field stochastic linear-quadratic optimal control problems. Autom. 49(11): 3222-3233 (2013) - [j61]John van der Hoek, Robert J. Elliott:
A modified hidden Markov model. Autom. 49(12): 3509-3519 (2013) - [j60]Robert J. Elliott, Jia Deng:
Change point estimation for continuous-time hidden Markov models. Syst. Control. Lett. 62(2): 112-114 (2013) - [j59]Robert J. Elliott, Tak Kuen Siu, John W. Lau:
Filtering a Double Threshold Model With Regime Switching. IEEE Trans. Autom. Control. 58(12): 3185-3190 (2013) - 2012
- [j58]Leo Shen, Robert J. Elliott:
How to value risk. Expert Syst. Appl. 39(5): 6111-6115 (2012) - [j57]Leo Shen, Robert J. Elliott:
Optimal Design of Dynamic Default Risk Measures. J. Appl. Probab. 49(4): 967-977 (2012) - [j56]Robert J. Elliott, Tak Kuen Siu:
Markovian forward-backward stochastic differential equations and stochastic flows. Syst. Control. Lett. 61(10): 1017-1022 (2012) - [j55]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. Optim. 50(2): 964-990 (2012) - 2011
- [j54]Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu:
On filtering and estimation of a threshold stochastic volatility model. Appl. Math. Comput. 218(1): 61-75 (2011) - [j53]Robert J. Elliott, Tak Kuen Siu:
A BSDE approach to a risk-based optimal investment of an insurer. Autom. 47(2): 253-261 (2011) - [j52]Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu:
Characteristic functions and option valuation in a Markov chain market. Comput. Math. Appl. 62(1): 65-74 (2011) - [j51]Robert J. Elliott, Tak Kuen Siu:
An M-ary detection approach for asset allocation. Comput. Math. Appl. 62(4): 2083-2094 (2011) - [j50]Robert J. Elliott, Jia Deng:
A filter for a hidden Markov chain observed in fractional Gaussian noise. Syst. Control. Lett. 60(2): 93-100 (2011) - [j49]Robert J. Elliott, Tak Kuen Siu:
Control of discrete-time HMM partially observed under fractional Gaussian noises. Syst. Control. Lett. 60(5): 350-355 (2011) - [j48]Samuel N. Cohen, Robert J. Elliott:
Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations. SIAM J. Control. Optim. 49(1): 125-139 (2011) - 2010
- [j47]Robert J. Elliott, Tak Kuen Siu:
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Ann. Oper. Res. 176(1): 271-291 (2010) - [j46]Robert J. Elliott, Simon Haykin:
A Zakai equation derivation of the extended Kalman filter. Autom. 46(3): 620-624 (2010) - [j45]Robert J. Elliott, Jia Deng:
A filter for a state space model with fractional Gaussian noise. Autom. 46(10): 1689-1695 (2010) - [j44]Robert J. Elliott, Tak Kuen Siu, Hailiang Yang:
Filtering a Markov Modulated Random Measure. IEEE Trans. Autom. Control. 55(1): 74-88 (2010)
2000 – 2009
- 2009
- [j43]Robert J. Elliott, Jia Deng:
A Viterbi smoother for discrete state space model. Syst. Control. Lett. 58(6): 400-405 (2009) - [c17]Robert J. Elliott, Tak Kuen Siu:
A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization. ISCAS 2009: 1189-1192 - 2008
- [j42]Robert J. Elliott, Alexei Filinkov:
A self tuning model for risk estimation. Expert Syst. Appl. 34(3): 1692-1697 (2008) - [j41]Robert J. Elliott:
Assessment 2.0. Int. J. Emerg. Technol. Learn. 3(S1): 66-70 (2008) - [j40]Robert J. Elliott, W. Paul Malcolm:
Discrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson Processes. IEEE Trans. Autom. Control. 53(1): 247-256 (2008) - [c16]Robert J. Elliott, William Paul Malcolm:
An exact recursive filter for Quadrature Amplitude Modulation dynamics. ACSCC 2008: 1667-1670 - [c15]Robert J. Elliott, Tak Kuen Siu:
A Markovian regime-switching stochastic differential game for portfolio risk minimization. ACC 2008: 1017-1022 - 2007
- [j39]Ienkaran Arasaratnam, Simon Haykin, Robert J. Elliott:
Discrete-Time Nonlinear Filtering Algorithms Using Gauss-Hermite Quadrature. Proc. IEEE 95(5): 953-977 (2007) - [c14]Robert J. Elliott, Tak Kuen Siu, Hailiang Yang:
Insurance Claims Modulated by a Hidden Marked Point Process. ACC 2007: 390-395 - 2006
- [j38]Robert J. Elliott, Simon Haykin:
A new nonlinear filter. Commun. Inf. Syst. 6(3): 203-220 (2006) - [j37]Robert J. Elliott, Carlton-James U. Osakwe:
Option Pricing for Pure Jump Processes with Markov Switching Compensators. Finance Stochastics 10(2): 250-275 (2006) - [j36]Robert J. Elliott, John van der Hoek:
Optimal linear estimation and data fusion. IEEE Trans. Autom. Control. 51(4): 686-689 (2006) - [c13]Robert J. Elliott, François Dufour, W. Paul Malcolm:
On The Performance of Gaussian Mixture Estimation Techniques for Dicrete-Time Jump Markov Linear Systems. CDC 2006: 314-319 - 2005
- [j35]Robert J. Elliott, François Dufour, W. Paul Malcolm:
State and Mode Estimation for Discrete-Time Jump Markov Systems. SIAM J. Control. Optim. 44(3): 1081-1104 (2005) - [j34]Robert J. Elliott, William Paul Malcolm:
General Smoothing Formulas for Markov-Modulated Poisson Observations. IEEE Trans. Autom. Control. 50(8): 1123-1134 (2005) - [j33]W. Paul Malcolm, Robert J. Elliott, Matthew R. James:
Risk-sensitive filtering and smoothing for continuous-time Markov Processes. IEEE Trans. Inf. Theory 51(5): 1731-1738 (2005) - [c12]Robert J. Elliott, François Dufour, W. Paul Malcolm:
New Gaussian mixture state estimation schemes for discrete time hybrid Gauss-Markov systems. ACC 2005: 3453-348 - [c11]W. Paul Malcolm, Robert J. Elliott, François Dufour, M. Sanjeev Arulampalam:
An Algorithmic Estimation Scheme for Hybrid Stochastic Systems. CDC/ECC 2005: 6097-6102 - [c10]Robert J. Elliott, W. Paul Malcolm, François Dufour:
Exact Smoothers for Discrete-Time Hybrid Stochastic Systems. CDC/ECC 2005: 6917-6921 - 2004
- [j32]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) - [j31]Robert J. Elliott, W. Paul Malcolm:
Robust M-ary detection filters and smoothers for continuous-time jump Markov systems. IEEE Trans. Autom. Control. 49(7): 1046-1055 (2004) - 2003
- [j30]Charalambos D. Charalambous, Robert J. Elliott, Vikram Krishnamurthy:
Conditional Moment Generating Functions for Integrals and Stochastic Integrals. SIAM J. Control. Optim. 42(5): 1578-1603 (2003) - [c9]W. Paul Malcolm, Robert J. Elliott, John van der Hoek:
On the numerical stability of time-discretised state estimation via Clark transformations. CDC 2003: 1406-1412 - 2002
- [j29]Vikram Krishnamurthy, Robert J. Elliott:
Robust continuous-time smoothers without two-sided stochastic integrals. IEEE Trans. Autom. Control. 47(11): 1824-1841 (2002) - [j28]Langford B. White, Robert J. Elliott:
A mixed MAP/MLSE receiver for convolutional coded signals transmitted over a fading channel. IEEE Trans. Signal Process. 50(5): 1205-1214 (2002) - [c8]Robert J. Elliott, W. Paul Malcolm, Allanus H. Tsoi:
HMM volatility estimation. CDC 2002: 398-404 - 2001
- [j27]Robert J. Elliott, John van der Hoek:
Stochastic flows and the forward measure. Finance Stochastics 5(4): 511-525 (2001) - [c7]Robert J. Elliott, William Paul Malcolm:
Robust smoother dynamics for Poisson processes driven by an Ito?diffusion. CDC 2001: 376-381 - [c6]Robert J. Elliott, William Paul Malcolm:
Robust M-ary detection filters for continuous-time jump Markov systems. CDC 2001: 1681-1686 - 2000
- [j26]Charalambos D. Charalambous, Robert J. Elliott:
Information states in stochastic control and filtering: a Lie algebraic theoretic approach. IEEE Trans. Autom. Control. 45(4): 653-674 (2000) - [c5]Vikram Krishnamurthy, Robert J. Elliott:
Robust continuous-time smoothers-without two-sided stochastic integrals. CDC 2000: 286-291 - [c4]Robert J. Elliott, W. Paul Malcolm:
Robust EM algorithms for Markov modulated Poisson processes. CDC 2000: 4678-4685
1990 – 1999
- 1999
- [j25]Robert J. Elliott, Allanus H. Tsoi, Shiu Hong Lui:
Short rate analysis and marked point processes. Math. Methods Oper. Res. 50(1): 149-160 (1999) - [j24]Robert J. Elliott, Monique Jeanblanc:
Incomplete markets with jumps and informed agents. Math. Methods Oper. Res. 50(3): 475-492 (1999) - [j23]Robert J. Elliott, Vikram Krishnamurthy:
New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models. IEEE Trans. Autom. Control. 44(5): 938-951 (1999) - [j22]Charalambos D. Charalambous, Robert J. Elliott:
Finite-dimensional nonlinear output feedback dynamic games and bounds for sector nonlinearities. IEEE Trans. Autom. Control. 44(9): 1753-1759 (1999) - [j21]Robert J. Elliott, Vikram Krishnamurthy, H. Vincent Poor:
Exact filters for certain moments and stochastic integrals of the state of systems with Benes nonlinearity. IEEE Trans. Autom. Control. 44(10): 1929-1933 (1999) - [c3]W. Paul Malcolm, Robert J. Elliott:
M-ary detection filters for Cox process models. ISSPA 1999: 179-182 - 1998
- [j20]François Dufour, Robert J. Elliott:
Adaptive control of linear systems with Markov perturbations. IEEE Trans. Autom. Control. 43(3): 351-372 (1998) - [j19]Robert J. Elliott, John van der Hoek:
A finite-dimensional filter for hybrid observations. IEEE Trans. Autom. Control. 43(5): 736-739 (1998) - [j18]Robert J. Elliott, John B. Moore:
A martingale Kronecker lemma and parameter estimation for linear systems. IEEE Trans. Autom. Control. 43(9): 1263-1265 (1998) - [j17]Charalambos D. Charalambous, Subhrakanti Dey, Robert J. Elliott:
New finite-dimensional risk-sensitive filters: small noise limits. IEEE Trans. Autom. Control. 43(10): 1424-1429 (1998) - 1997
- [j16]Vikram Krishnamurthy, Robert J. Elliott:
Filters for estimating Markov modulated poisson processes and image-based tracking. Autom. 33(5): 821-833 (1997) - [j15]Robert J. Elliott, John van der Hoek:
An application of hidden Markov models to asset allocation problems. Finance Stochastics 1(3): 229-238 (1997) - [j14]Charalambos D. Charalambous, Robert J. Elliott:
Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems. IEEE Trans. Autom. Control. 42(4): 482-497 (1997) - [j13]Vikram Krishnamurthy, Robert J. Elliott:
Exact finite-dimensional filters for doubly stochastic auto-regressive processes. IEEE Trans. Autom. Control. 42(9): 1289-1293 (1997) - [c2]Robert J. Elliott, Vikram Krishnamurthy, Jonathan H. Manton:
Optimal Estimation of Poisson Rate from Discrete Time Observations. ICC (3) 1997: 1392-1395 - 1996
- [j12]Vaclav Edvard Benes, Robert J. Elliott:
Finite-dimensional solutions of a modified Zakai equation. Math. Control. Signals Syst. 9(4): 341-351 (1996) - [j11]Alain Bensoussan, Robert J. Elliott:
General finite-dimensional risk-sensitive problems and small noise limits. IEEE Trans. Autom. Control. 41(2): 210-215 (1996) - [j10]Robert J. Elliott, François Dufour, David D. Sworder:
Exact hybrid filters in discrete time. IEEE Trans. Autom. Control. 41(12): 1807-1810 (1996) - [c1]Vikram Krishnamurthy, Robert J. Elliott:
Optimal Filters for Reconstructing. ISSPA 1996: 337-340 - 1995
- [j9]Vikram Krishnamurthy, Robert J. Elliott:
A filtered EM algorithm for joint hidden Markov model and sinusoidal parameter estimation. IEEE Trans. Signal Process. 43(1): 353-358 (1995) - 1994
- [j8]Robert J. Elliott:
Exact adaptive filters for Markov chains observed in Gaussian noise. Autom. 30(9): 1399-1408 (1994) - [j7]Matthew R. James, John S. Baras, Robert J. Elliott:
Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems. IEEE Trans. Autom. Control. 39(4): 780-792 (1994) - [j6]Robert J. Elliott, L. Aggoun:
Estimation for discrete Markov random fields observed in Gaussian noise. IEEE Trans. Inf. Theory 40(5): 1600-1603 (1994) - 1993
- [j5]Robert J. Elliott:
New finite-dimensional filters and smoothers for noisily observed Markov chains. IEEE Trans. Inf. Theory 39(1): 265-271 (1993)
1980 – 1989
- 1989
- [j4]Robert J. Elliott:
Bilateral prediction. IEEE Trans. Inf. Theory 35(4): 912-917 (1989) - 1986
- [j3]Robert J. Elliott:
Reverse-time Markov processes. IEEE Trans. Inf. Theory 32(2): 290-292 (1986) - [j2]Peter L. Antonelli, Robert J. Elliott:
The Zakai forms of the prediction and smoothing equations. IEEE Trans. Inf. Theory 32(6): 816-817 (1986) - 1983
- [j1]Robert J. Elliott:
Application of variational inequalities to stochastic control: A. Bensoussan and J. L. Lions. Autom. 19(4): 453 (1983)
Coauthor Index
W. Paul Malcolm
aka: William Paul Malcolm
aka: William Paul Malcolm
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