Hidden Markov models: estimation and control RJ Elliott, L Aggoun, JB Moore Springer Science & Business Media, 2008 | 2225 | 2008 |
Stochastic calculus and applications SN Cohen, RJ Elliott Birkhäuser, 2015 | 1398 | 2015 |
Springer Finance M Avellaneda, G Barone-Adesi, M Broadie, MHA Davis, E Derman, ... | 825 | 1999 |
Discrete-time nonlinear filtering algorithms using Gauss–Hermite quadrature I Arasaratnam, S Haykin, RJ Elliott Proceedings of the IEEE 95 (5), 953-977, 2007 | 643 | 2007 |
American options with regime switching J Buffington, RJ Elliott International Journal of Theoretical and Applied Finance 5 (05), 497-514, 2002 | 538 | 2002 |
The existence of value in differential games RJ Elliott, NJ Kalton American Mathematical Soc., 1972 | 497* | 1972 |
Pairs trading RJ Elliott, J Van Der Hoek*, WP Malcolm Quantitative Finance 5 (3), 271-276, 2005 | 456 | 2005 |
Option pricing and Esscher transform under regime switching RJ Elliott, L Chan, TK Siu Annals of Finance 1 (4), 423-432, 2005 | 453 | 2005 |
The existence of value in differential games RJ Elliott, NJ Kalton American Mathematical Soc., 1972 | 435 | 1972 |
The existence of value in differential games RJ Elliott, NJ Kalton American Mathematical Soc., 1972 | 435 | 1972 |
The existence of value in differential games RJ Elliott, NJ Kalton American Mathematical Soc., 1972 | 435 | 1972 |
A general fractional white noise theory and applications to finance RJ Elliott, J Van Der Hoek Mathematical Finance 13 (2), 301-330, 2003 | 389 | 2003 |
On models of default risk RJ Elliott, M Jeanblanc, M Yor Mathematical Finance 10 (2), 179-195, 2000 | 332 | 2000 |
Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems MR James, JS Baras, RJ Elliott IEEE transactions on automatic control 39 (4), 780-792, 1994 | 312 | 1994 |
Hidden Markov models in finance RS Mamon, RJ Elliott Springer, 2007 | 206 | 2007 |
New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models RJ Elliott, V Krishnamurthy IEEE Transactions on Automatic Control 44 (5), 938-951, 1999 | 147 | 1999 |
Discrete time mean-field stochastic linear-quadratic optimal control problems R Elliott, X Li, YH Ni Automatica 49 (11), 3222-3233, 2013 | 141 | 2013 |
New finite-dimensional filters and smoothers for noisily observed Markov chains RJ Elliott IEEE Transactions on Information Theory 39 (1), 265-271, 1993 | 135 | 1993 |
Option pricing for pure jump processes with Markov switching compensators RJ Elliott, CJU Osakwe Finance and Stochastics 10 (2), 250-275, 2006 | 128 | 2006 |
Measure theory and filtering: Introduction and applications L Aggoun, RJ Elliott Cambridge University Press, 2004 | 126 | 2004 |