Robert J. Elliott

Publication Activity (10 Years)

Years Active: 1983-2021
Publications (10 Years): 8

Top Topics

Infinite Horizon

Optimal Control Problems

Top Venues

IEEE Trans. Autom. Control.

Int. J. Control

J. Appl. Probab.

Publications

Robert J. Elliott, Dilip B. Madan, King Wang
Filtering Response Directions. SIAM J. Financial Math. 12 (3) (2021)
Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu, Robert J. Elliott
Optimal portfolio execution problem with stochastic price impact. Autom. 112 (2020)
Zhe Yang, Robert J. Elliott
Stochastic control for BSDEs and ABSDEs with Markov chain noises. Int. J. Control 93 (9) (2020)
Yingying Lai, Robert J. Elliott
The mean squared loss control problem for a partially observed Markov chain. Int. J. Control 92 (3) (2019)
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) (2017)
Robert J. Elliott
Filtering With Uncertain Noise. IEEE Trans. Autom. Control. 62 (2) (2017)
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) (2017)
Dawei Shi, Robert J. Elliott, Tongwen Chen
Event-based state estimation of discrete-state hidden Markov models. Autom. 65 (2016)
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) (2015)
Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega
Non-Gaussian GARCH option pricing models and their diffusion limits. Eur. J. Oper. Res. 247 (3) (2015)
Yuan-Hua Ni, Robert J. Elliott, Xun Li
Discrete-time mean-field Stochastic linear-quadratic optimal control problems, II: Infinite horizon case. Autom. 57 (2015)
Robert J. Elliott, Tak Kuen Siu, Leunglung Chan
On pricing barrier options with regime switching. J. Comput. Appl. Math. 256 (2014)
Robert J. Elliott, Tak Kuen Siu
Filtering and change point estimation for hidden Markov-modulated Poisson processes. Appl. Math. Lett. 28 (2014)
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) (2014)
Robert J. Elliott, Tak Kuen Siu, John W. Lau
Filtering a Double Threshold Model With Regime Switching. IEEE Trans. Autom. Control. 58 (12) (2013)
Robert J. Elliott, Jia Deng
Change point estimation for continuous-time hidden Markov models. Syst. Control. Lett. 62 (2) (2013)
Robert J. Elliott, Leunglung Chan, Tak Kuen Siu
Option valuation under a regime-switching constant elasticity of variance process. Appl. Math. Comput. 219 (9) (2013)
John van der Hoek, Robert J. Elliott
A modified hidden Markov model. Autom. 49 (12) (2013)
Robert J. Elliott, Xun Li, Yuan-Hua Ni
Discrete time mean-field stochastic linear-quadratic optimal control problems. Autom. 49 (11) (2013)
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) (2012)
Leo Shen, Robert J. Elliott
Optimal Design of Dynamic Default Risk Measures. J. Appl. Probab. 49 (4) (2012)
Robert J. Elliott, Tak Kuen Siu
Markovian forward-backward stochastic differential equations and stochastic flows. Syst. Control. Lett. 61 (10) (2012)
Leo Shen, Robert J. Elliott
How to value risk. Expert Syst. Appl. 39 (5) (2012)
Robert J. Elliott, Tak Kuen Siu
An M-ary detection approach for asset allocation. Comput. Math. Appl. 62 (4) (2011)
Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu
Characteristic functions and option valuation in a Markov chain market. Comput. Math. Appl. 62 (1) (2011)
Robert J. Elliott, Jia Deng
A filter for a hidden Markov chain observed in fractional Gaussian noise. Syst. Control. Lett. 60 (2) (2011)
Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu
On filtering and estimation of a threshold stochastic volatility model. Appl. Math. Comput. 218 (1) (2011)
Robert J. Elliott, Tak Kuen Siu
A BSDE approach to a risk-based optimal investment of an insurer. Autom. 47 (2) (2011)
Samuel N. Cohen, Robert J. Elliott
Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations. SIAM J. Control. Optim. 49 (1) (2011)
Robert J. Elliott, Tak Kuen Siu
Control of discrete-time HMM partially observed under fractional Gaussian noises. Syst. Control. Lett. 60 (5) (2011)
Robert J. Elliott, Jia Deng
A filter for a state space model with fractional Gaussian noise. Autom. 46 (10) (2010)
Robert J. Elliott, Tak Kuen Siu, Hailiang Yang
Filtering a Markov Modulated Random Measure. IEEE Trans. Autom. Control. 55 (1) (2010)
Robert J. Elliott, Tak Kuen Siu
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Ann. Oper. Res. 176 (1) (2010)
Robert J. Elliott, Simon Haykin
A Zakai equation derivation of the extended Kalman filter. Autom. 46 (3) (2010)
Robert J. Elliott, Jia Deng
A Viterbi smoother for discrete state space model. Syst. Control. Lett. 58 (6) (2009)
Robert J. Elliott, Tak Kuen Siu
A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization. ISCAS (2009)
Robert J. Elliott, William Paul Malcolm
An exact recursive filter for Quadrature Amplitude Modulation dynamics. ACSCC (2008)
Robert J. Elliott, Alexei Filinkov
A self tuning model for risk estimation. Expert Syst. Appl. 34 (3) (2008)
Robert J. Elliott, W. Paul Malcolm
Discrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson Processes. IEEE Trans. Autom. Control. 53 (1) (2008)
Robert J. Elliott, Tak Kuen Siu
A Markovian regime-switching stochastic differential game for portfolio risk minimization. ACC (2008)
Ienkaran Arasaratnam, Simon Haykin, Robert J. Elliott
Discrete-Time Nonlinear Filtering Algorithms Using Gauss-Hermite Quadrature. Proc. IEEE 95 (5) (2007)
Robert J. Elliott, Tak Kuen Siu, Hailiang Yang
Insurance Claims Modulated by a Hidden Marked Point Process. ACC (2007)
Robert J. Elliott, Carlton-James U. Osakwe
Option Pricing for Pure Jump Processes with Markov Switching Compensators. Finance Stochastics 10 (2) (2006)
Robert J. Elliott, John van der Hoek
Optimal linear estimation and data fusion. IEEE Trans. Autom. Control. 51 (4) (2006)
Robert J. Elliott, Simon Haykin
A new nonlinear filter. Commun. Inf. Syst. 6 (3) (2006)
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)
W. Paul Malcolm, Robert J. Elliott, François Dufour, M. Sanjeev Arulampalam
An Algorithmic Estimation Scheme for Hybrid Stochastic Systems. CDC/ECC (2005)
Robert J. Elliott, François Dufour, W. Paul Malcolm
State and Mode Estimation for Discrete-Time Jump Markov Systems. SIAM J. Control. Optim. 44 (3) (2005)
Robert J. Elliott, W. Paul Malcolm, François Dufour
Exact Smoothers for Discrete-Time Hybrid Stochastic Systems. CDC/ECC (2005)
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) (2005)
Robert J. Elliott, François Dufour, W. Paul Malcolm
New Gaussian mixture state estimation schemes for discrete time hybrid Gauss-Markov systems. ACC (2005)
Robert J. Elliott, William Paul Malcolm
General Smoothing Formulas for Markov-Modulated Poisson Observations. IEEE Trans. Autom. Control. 50 (8) (2005)
Christian Bender, Robert J. Elliott
Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market. Math. Oper. Res. 29 (4) (2004)
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) (2004)
Charalambos D. Charalambous, Robert J. Elliott, Vikram Krishnamurthy
Conditional Moment Generating Functions for Integrals and Stochastic Integrals. SIAM J. Control. Optim. 42 (5) (2003)
W. Paul Malcolm, Robert J. Elliott, John van der Hoek
On the numerical stability of time-discretised state estimation via Clark transformations. CDC (2003)
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) (2002)
Robert J. Elliott, W. Paul Malcolm, Allanus H. Tsoi
HMM volatility estimation. CDC (2002)
Vikram Krishnamurthy, Robert J. Elliott
Robust continuous-time smoothers without two-sided stochastic integrals. IEEE Trans. Autom. Control. 47 (11) (2002)
Robert J. Elliott, William Paul Malcolm
Robust smoother dynamics for Poisson processes driven by an Ito?diffusion. CDC (2001)
Robert J. Elliott, William Paul Malcolm
Robust M-ary detection filters for continuous-time jump Markov systems. CDC (2001)
Robert J. Elliott, John van der Hoek
Stochastic flows and the forward measure. Finance Stochastics 5 (4) (2001)
Charalambos D. Charalambous, Robert J. Elliott
Information states in stochastic control and filtering: a Lie algebraic theoretic approach. IEEE Trans. Autom. Control. 45 (4) (2000)
Vikram Krishnamurthy, Robert J. Elliott
Robust continuous-time smoothers-without two-sided stochastic integrals. CDC (2000)
Robert J. Elliott, W. Paul Malcolm
Robust EM algorithms for Markov modulated Poisson processes. CDC (2000)
Robert J. Elliott, Allanus H. Tsoi, Shiu Hong Lui
Short rate analysis and marked point processes. Math. Methods Oper. Res. 50 (1) (1999)
Robert J. Elliott, Vikram Krishnamurthy
New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models. IEEE Trans. Autom. Control. 44 (5) (1999)
W. Paul Malcolm, Robert J. Elliott
M-ary detection filters for Cox process models. ISSPA (1999)
Charalambos D. Charalambous, Robert J. Elliott
Finite-dimensional nonlinear output feedback dynamic games and bounds for sector nonlinearities. IEEE Trans. Autom. Control. 44 (9) (1999)
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) (1999)
Robert J. Elliott, Monique Jeanblanc
Incomplete markets with jumps and informed agents. Math. Methods Oper. Res. 50 (3) (1999)
Robert J. Elliott, John van der Hoek
A finite-dimensional filter for hybrid observations. IEEE Trans. Autom. Control. 43 (5) (1998)
Charalambos D. Charalambous, Subhrakanti Dey, Robert J. Elliott
New finite-dimensional risk-sensitive filters: small noise limits. IEEE Trans. Autom. Control. 43 (10) (1998)
Robert J. Elliott, John B. Moore
A martingale Kronecker lemma and parameter estimation for linear systems. IEEE Trans. Autom. Control. 43 (9) (1998)
François Dufour, Robert J. Elliott
Adaptive control of linear systems with Markov perturbations. IEEE Trans. Autom. Control. 43 (3) (1998)
Vikram Krishnamurthy, Robert J. Elliott
Filters for estimating Markov modulated poisson processes and image-based tracking. Autom. 33 (5) (1997)
Robert J. Elliott, John van der Hoek
An application of hidden Markov models to asset allocation problems. Finance Stochastics 1 (3) (1997)
Robert J. Elliott, Vikram Krishnamurthy, Jonathan H. Manton
Optimal Estimation of Poisson Rate from Discrete Time Observations. ICC (3) (1997)
Vikram Krishnamurthy, Robert J. Elliott
Exact finite-dimensional filters for doubly stochastic auto-regressive processes. IEEE Trans. Autom. Control. 42 (9) (1997)
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) (1997)
Robert J. Elliott, François Dufour, David D. Sworder
Exact hybrid filters in discrete time. IEEE Trans. Autom. Control. 41 (12) (1996)
Vaclav Edvard Benes, Robert J. Elliott
Finite-dimensional solutions of a modified Zakai equation. Math. Control. Signals Syst. 9 (4) (1996)
Vikram Krishnamurthy, Robert J. Elliott
Optimal Filters for Reconstructing. ISSPA (1996)
Alain Bensoussan, Robert J. Elliott
General finite-dimensional risk-sensitive problems and small noise limits. IEEE Trans. Autom. Control. 41 (2) (1996)
Vikram Krishnamurthy, Robert J. Elliott
A filtered EM algorithm for joint hidden Markov model and sinusoidal parameter estimation. IEEE Trans. Signal Process. 43 (1) (1995)
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) (1994)
Robert J. Elliott
Exact adaptive filters for Markov chains observed in Gaussian noise. Autom. 30 (9) (1994)
Robert J. Elliott, L. Aggoun
Estimation for discrete Markov random fields observed in Gaussian noise. IEEE Trans. Inf. Theory 40 (5) (1994)
Robert J. Elliott
New finite-dimensional filters and smoothers for noisily observed Markov chains. IEEE Trans. Inf. Theory 39 (1) (1993)
Robert J. Elliott
Bilateral prediction. IEEE Trans. Inf. Theory 35 (4) (1989)
Peter L. Antonelli, Robert J. Elliott
The Zakai forms of the prediction and smoothing equations. IEEE Trans. Inf. Theory 32 (6) (1986)
Robert J. Elliott
Reverse-time Markov processes. IEEE Trans. Inf. Theory 32 (2) (1986)
Robert J. Elliott
Application of variational inequalities to stochastic control: A. Bensoussan and J. L. Lions. Autom. 19 (4) (1983)