Robert J. Elliott

95 papers C 4Journal 78Unranked 13
YearRankTypeTitle / Venue / Authors
2026 J jnl
Stochastic control for backward stochastic difference equations with semi-Markov chain noises.
Commun. Inf. Syst.
Robert J. Elliott, Zhe Yang
2021 J jnl
Filtering Response Directions.
SIAM J. Financial Math.
Robert J. Elliott, Dilip B. Madan, King Wang
2020 J jnl
Optimal portfolio execution problem with stochastic price impact.
Autom.
Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu, Robert J. Elliott
2020 J jnl
Stochastic control for BSDEs and ABSDEs with Markov chain noises.
Int. J. Control
Zhe Yang, Robert J. Elliott
2019 J jnl
The mean squared loss control problem for a partially observed Markov chain.
Int. J. Control
Yingying Lai, Robert J. Elliott
2017 J jnl
A Higher-order interactive hidden Markov model and its applications.
OR Spectr.
Dong-Mei Zhu, Wai-Ki Ching, Robert J. Elliott, Tak Kuen Siu, Lianmin Zhang
2017 J jnl
Filtering With Uncertain Noise.
IEEE Trans. Autom. Control.
Robert J. Elliott
2017 J jnl
On Finite-State Stochastic Modeling and Secure Estimation of Cyber-Physical Systems.
IEEE Trans. Autom. Control.
Dawei Shi, Robert J. Elliott, Tongwen Chen
2016 J jnl
Event-based state estimation of discrete-state hidden Markov models.
Autom.
Dawei Shi, Robert J. Elliott, Tongwen Chen
2015 J jnl
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree.
J. Appl. Probab.
Robert J. Elliott, Tak Kuen Siu, Samuel N. Cohen
2015 J jnl
Discrete-time mean-field Stochastic linear-quadratic optimal control problems, II: Infinite horizon case.
Autom.
Yuan-Hua Ni, Robert J. Elliott, Xun Li
2015 J jnl
Non-Gaussian GARCH option pricing models and their diffusion limits.
Eur. J. Oper. Res.
Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega
2014 J jnl
A Double HMM approach to Altman Z-scores and credit ratings.
Expert Syst. Appl.
Robert J. Elliott, Tak Kuen Siu, Eric S. Fung
2014 J jnl
Filtering and change point estimation for hidden Markov-modulated Poisson processes.
Appl. Math. Lett.
Robert J. Elliott, Tak Kuen Siu
2014 J jnl
On pricing barrier options with regime switching.
J. Comput. Appl. Math.
Robert J. Elliott, Tak Kuen Siu, Leunglung Chan
2013 J jnl
A modified hidden Markov model.
Autom.
John van der Hoek, Robert J. Elliott
2013 J jnl
Change point estimation for continuous-time hidden Markov models.
Syst. Control. Lett.
Robert J. Elliott, Jia Deng
2013 J jnl
Discrete time mean-field stochastic linear-quadratic optimal control problems.
Autom.
Robert J. Elliott, Xun Li, Yuan-Hua Ni
2013 J jnl
Filtering a Double Threshold Model With Regime Switching.
IEEE Trans. Autom. Control.
Robert J. Elliott, Tak Kuen Siu, John W. Lau
2013 J jnl
Option valuation under a regime-switching constant elasticity of variance process.
Appl. Math. Comput.
Robert J. Elliott, Leunglung Chan, Tak Kuen Siu
2012 J jnl
A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance.
SIAM J. Control. Optim.
Xin Zhang, Robert J. Elliott, Tak Kuen Siu
2012 J jnl
How to value risk.
Expert Syst. Appl.
Leo Shen, Robert J. Elliott
2012 J jnl
Markovian forward-backward stochastic differential equations and stochastic flows.
Syst. Control. Lett.
Robert J. Elliott, Tak Kuen Siu
2012 J jnl
Optimal Design of Dynamic Default Risk Measures.
J. Appl. Probab.
Leo Shen, Robert J. Elliott
2011 J jnl
A BSDE approach to a risk-based optimal investment of an insurer.
Autom.
Robert J. Elliott, Tak Kuen Siu
2011 J jnl
A filter for a hidden Markov chain observed in fractional Gaussian noise.
Syst. Control. Lett.
Robert J. Elliott, Jia Deng
2011 J jnl
An M-ary detection approach for asset allocation.
Comput. Math. Appl.
Robert J. Elliott, Tak Kuen Siu
2011 J jnl
Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations.
SIAM J. Control. Optim.
Samuel N. Cohen, Robert J. Elliott
2011 J jnl
Characteristic functions and option valuation in a Markov chain market.
Comput. Math. Appl.
Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu
2011 J jnl
Control of discrete-time HMM partially observed under fractional Gaussian noises.
Syst. Control. Lett.
Robert J. Elliott, Tak Kuen Siu
2011 J jnl
On filtering and estimation of a threshold stochastic volatility model.
Appl. Math. Comput.
Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu
2010 J jnl
A Zakai equation derivation of the extended Kalman filter.
Autom.
Robert J. Elliott, Simon Haykin
2010 J jnl
A filter for a state space model with fractional Gaussian noise.
Autom.
Robert J. Elliott, Jia Deng
2010 J jnl
Filtering a Markov Modulated Random Measure.
IEEE Trans. Autom. Control.
Robert J. Elliott, Tak Kuen Siu, Hailiang Yang
2010 J jnl
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy.
Ann. Oper. Res.
Robert J. Elliott, Tak Kuen Siu
2009 C conf
A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization.
ISCAS
Robert J. Elliott, Tak Kuen Siu
2009 J jnl
A Viterbi smoother for discrete state space model.
Syst. Control. Lett.
Robert J. Elliott, Jia Deng
2008 C conf
A Markovian regime-switching stochastic differential game for portfolio risk minimization.
ACC
Robert J. Elliott, Tak Kuen Siu
2008 J jnl
A self tuning model for risk estimation.
Expert Syst. Appl.
Robert J. Elliott, Alexei Filinkov
2008 — conf
An exact recursive filter for Quadrature Amplitude Modulation dynamics.
ACSCC
Robert J. Elliott, William Paul Malcolm
2008 J jnl
Assessment 2.0.
Int. J. Emerg. Technol. Learn.
Robert J. Elliott
2008 J jnl
Discrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson Processes.
IEEE Trans. Autom. Control.
Robert J. Elliott, W. Paul Malcolm
2007 J jnl
Discrete-Time Nonlinear Filtering Algorithms Using Gauss-Hermite Quadrature.
Proc. IEEE
Ienkaran Arasaratnam, Simon Haykin, Robert J. Elliott
2007 C conf
Insurance Claims Modulated by a Hidden Marked Point Process.
ACC
Robert J. Elliott, Tak Kuen Siu, Hailiang Yang
2006 J jnl
A new nonlinear filter.
Commun. Inf. Syst.
Robert J. Elliott, Simon Haykin
2006 — conf
On The Performance of Gaussian Mixture Estimation Techniques for Dicrete-Time Jump Markov Linear Systems.
CDC
Robert J. Elliott, François Dufour, W. Paul Malcolm
2006 J jnl
Optimal linear estimation and data fusion.
IEEE Trans. Autom. Control.
Robert J. Elliott, John van der Hoek
2006 J jnl
Option Pricing for Pure Jump Processes with Markov Switching Compensators.
Finance Stochastics
Robert J. Elliott, Carlton-James U. Osakwe
2005 — conf
An Algorithmic Estimation Scheme for Hybrid Stochastic Systems.
CDC/ECC
W. Paul Malcolm, Robert J. Elliott, François Dufour, M. Sanjeev Arulampalam
2005 — conf
Exact Smoothers for Discrete-Time Hybrid Stochastic Systems.
CDC/ECC
Robert J. Elliott, W. Paul Malcolm, François Dufour
2005 J jnl
General Smoothing Formulas for Markov-Modulated Poisson Observations.
IEEE Trans. Autom. Control.
Robert J. Elliott, William Paul Malcolm
2005 C conf
New Gaussian mixture state estimation schemes for discrete time hybrid Gauss-Markov systems.
ACC
Robert J. Elliott, François Dufour, W. Paul Malcolm
2005 J jnl
Risk-sensitive filtering and smoothing for continuous-time Markov Processes.
IEEE Trans. Inf. Theory
W. Paul Malcolm, Robert J. Elliott, Matthew R. James
2005 J jnl
State and Mode Estimation for Discrete-Time Jump Markov Systems.
SIAM J. Control. Optim.
Robert J. Elliott, François Dufour, W. Paul Malcolm
2004 J jnl
Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market.
Math. Oper. Res.
Christian Bender, Robert J. Elliott
2004 J jnl
Robust M-ary detection filters and smoothers for continuous-time jump Markov systems.
IEEE Trans. Autom. Control.
Robert J. Elliott, W. Paul Malcolm
2003 J jnl
Conditional Moment Generating Functions for Integrals and Stochastic Integrals.
SIAM J. Control. Optim.
Charalambos D. Charalambous, Robert J. Elliott, Vikram Krishnamurthy
2003 — conf
On the numerical stability of time-discretised state estimation via Clark transformations.
CDC
W. Paul Malcolm, Robert J. Elliott, John van der Hoek
2002 J jnl
A mixed MAP/MLSE receiver for convolutional coded signals transmitted over a fading channel.
IEEE Trans. Signal Process.
Langford B. White, Robert J. Elliott
2002 — conf
HMM volatility estimation.
CDC
Robert J. Elliott, W. Paul Malcolm, Allanus H. Tsoi
2002 J jnl
Robust continuous-time smoothers without two-sided stochastic integrals.
IEEE Trans. Autom. Control.
Vikram Krishnamurthy, Robert J. Elliott
2001 — conf
Robust M-ary detection filters for continuous-time jump Markov systems.
CDC
Robert J. Elliott, William Paul Malcolm
2001 — conf
Robust smoother dynamics for Poisson processes driven by an Ito?diffusion.
CDC
Robert J. Elliott, William Paul Malcolm
2001 J jnl
Stochastic flows and the forward measure.
Finance Stochastics
Robert J. Elliott, John van der Hoek
2000 J jnl
Information states in stochastic control and filtering: a Lie algebraic theoretic approach.
IEEE Trans. Autom. Control.
Charalambos D. Charalambous, Robert J. Elliott
2000 — conf
Robust EM algorithms for Markov modulated Poisson processes.
CDC
Robert J. Elliott, W. Paul Malcolm
2000 — conf
Robust continuous-time smoothers-without two-sided stochastic integrals.
CDC
Vikram Krishnamurthy, Robert J. Elliott
1999 J jnl
Exact filters for certain moments and stochastic integrals of the state of systems with Benes nonlinearity.
IEEE Trans. Autom. Control.
Robert J. Elliott, Vikram Krishnamurthy, H. Vincent Poor
1999 J jnl
Finite-dimensional nonlinear output feedback dynamic games and bounds for sector nonlinearities.
IEEE Trans. Autom. Control.
Charalambos D. Charalambous, Robert J. Elliott
1999 J jnl
Incomplete markets with jumps and informed agents.
Math. Methods Oper. Res.
Robert J. Elliott, Monique Jeanblanc
1999 — conf
M-ary detection filters for Cox process models.
ISSPA
W. Paul Malcolm, Robert J. Elliott
1999 J jnl
New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models.
IEEE Trans. Autom. Control.
Robert J. Elliott, Vikram Krishnamurthy
1999 J jnl
Short rate analysis and marked point processes.
Math. Methods Oper. Res.
Robert J. Elliott, Allanus H. Tsoi, Shiu Hong Lui
1998 J jnl
A finite-dimensional filter for hybrid observations.
IEEE Trans. Autom. Control.
Robert J. Elliott, John van der Hoek
1998 J jnl
A martingale Kronecker lemma and parameter estimation for linear systems.
IEEE Trans. Autom. Control.
Robert J. Elliott, John B. Moore
1998 J jnl
Adaptive control of linear systems with Markov perturbations.
IEEE Trans. Autom. Control.
François Dufour, Robert J. Elliott
1998 J jnl
New finite-dimensional risk-sensitive filters: small noise limits.
IEEE Trans. Autom. Control.
Charalambos D. Charalambous, Subhrakanti Dey, Robert J. Elliott
1997 J jnl
An application of hidden Markov models to asset allocation problems.
Finance Stochastics
Robert J. Elliott, John van der Hoek
1997 J jnl
Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems.
IEEE Trans. Autom. Control.
Charalambos D. Charalambous, Robert J. Elliott
1997 J jnl
Exact finite-dimensional filters for doubly stochastic auto-regressive processes.
IEEE Trans. Autom. Control.
Vikram Krishnamurthy, Robert J. Elliott
1997 J jnl
Filters for estimating Markov modulated poisson processes and image-based tracking.
Autom.
Vikram Krishnamurthy, Robert J. Elliott
1997 — conf
Optimal Estimation of Poisson Rate from Discrete Time Observations.
ICC (3)
Robert J. Elliott, Vikram Krishnamurthy, Jonathan H. Manton
1996 J jnl
Exact hybrid filters in discrete time.
IEEE Trans. Autom. Control.
Robert J. Elliott, François Dufour, David D. Sworder
1996 J jnl
Finite-dimensional solutions of a modified Zakai equation.
Math. Control. Signals Syst.
Vaclav Edvard Benes, Robert J. Elliott
1996 J jnl
General finite-dimensional risk-sensitive problems and small noise limits.
IEEE Trans. Autom. Control.
Alain Bensoussan, Robert J. Elliott
1996 — conf
Optimal Filters for Reconstructing.
ISSPA
Vikram Krishnamurthy, Robert J. Elliott
1995 J jnl
A filtered EM algorithm for joint hidden Markov model and sinusoidal parameter estimation.
IEEE Trans. Signal Process.
Vikram Krishnamurthy, Robert J. Elliott
1994 J jnl
Estimation for discrete Markov random fields observed in Gaussian noise.
IEEE Trans. Inf. Theory
Robert J. Elliott, L. Aggoun
1994 J jnl
Exact adaptive filters for Markov chains observed in Gaussian noise.
Autom.
Robert J. Elliott
1994 J jnl
Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems.
IEEE Trans. Autom. Control.
Matthew R. James, John S. Baras, Robert J. Elliott
1993 J jnl
New finite-dimensional filters and smoothers for noisily observed Markov chains.
IEEE Trans. Inf. Theory
Robert J. Elliott
1989 J jnl
Bilateral prediction.
IEEE Trans. Inf. Theory
Robert J. Elliott
1986 J jnl
Reverse-time Markov processes.
IEEE Trans. Inf. Theory
Robert J. Elliott
1986 J jnl
The Zakai forms of the prediction and smoothing equations.
IEEE Trans. Inf. Theory
Peter L. Antonelli, Robert J. Elliott
1983 J jnl
Application of variational inequalities to stochastic control: A. Bensoussan and J. L. Lions.
Autom.
Robert J. Elliott