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Issue Date
Title
Author(s)
2005
Finite-dimensional filtering and control for continuous-time nonlinear systems
Elliott, R.
;
Aggoun, L.
;
Benmerzouga, A.
2007
Ito formulas for franctional Brownian motion
Elliott, R.
;
Van Der Hoek, J.
;
Fu, M.
;
Jarrow, R.
;
Yen, J.
;
Elliott, R.
2007
The term structure of interest rates in a hidden markov setting
Elliott, R.
;
Wilson, C.
;
Mamon, R.
;
Elliott, R.
2007
Smoothed parameter estimation for a hidden Markov Model of credit quality
Korolkiewicz, M.
;
Elliott, R.
;
Mamon, R.
;
Elliott, R.
2005
An algorithmic estimation scheme for hybrid stochastic systems
Malcolm, W.
;
Elliott, R.
;
Dufour, F.
;
Arulampalam, M.
;
Camacho, E.
;
IEEE Conference on Decision and Control (44th : 2005 : Seville, Spain)
2001
A continuous time kronecker's lemma and martingale convergence
Elliott, R.
2002
Regime switching and European options
Buffington, J.
;
Elliott, R.
2005
Exact smoothers for discrete-time hybrid stochastic systems
Elliott, R.
;
Malcolm, W.
;
Dufour, F.
;
Camacho, E.
;
IEEE Conference on Decision and Control (44th : 2005 : Seville, Spain)
2002
Price interactions of baseload supply changes and electricity demand shocks
Sick, G.
;
Stein, M.
;
Elliott, R.
2003
On a generalized form of risk measure
Elliott, R.
;
Siu, T.
;
Yang, H.
Discover
Author
2
Asilomar Conference on Signals, S...
2
Asilomar Conference on Signals, S...
2
Camacho, E.
2
Deng, J.
2
IEEE Conference on Decision and C...
2
Korolkiewicz, M.
1
American Control Conference (2005...
1
American Control Conference (2008...
1
Arasaratnam, I.
1
Arulampalam, M.
.
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Subject
2
Asset pricing
2
Change of measure
2
Change of measures
2
Esscher transform
2
Exponential affine form
2
Reference probability
2
Regime-switching HJB equation
2
Stochastic differential game
1
American options
1
American put option
.
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Date issued
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2009
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