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Robert J. Elliott

Identifiers

  • name variant Robert J. Elliott 0.60 · backfill

Papers (16)

  1. Semimartingale dynamics and estimation for a semi-Markov chain math.PR · 2019 · author #1
  2. A level-1 Limit Order book with time dependent arrival rates q-fin.TR · 2017 · author #2
  3. Some Properties of Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model math.PR · 2015 · author #3
  4. On Anticipated backward stochastic differential equations with Markov chain noise math.PR · 2014 · author #2
  5. Backward Stochastic Differential Equations with Continuous Coefficients in a Markov Chain Model and with Applications to European Options math.PR · 2014 · author #3
  6. Reflected Backward Stochastic Differential Equations for a Finite State Markov Chain Model and Applications to American Options math.PR · 2014 · author #3
  7. Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise math.PR · 2014 · author #3
  8. Filters and smoothers for self-exciting Markov modulated counting processes q-fin.CP · 2013 · author #2
  9. Computational Dynamic Market Risk Measures in Discrete Time Setting q-fin.RM · 2013 · author #2
  10. Quadratic hedging schemes for non-Gaussian GARCH models q-fin.PR · 2012 · author #2
  11. Existence, uniqueness and comparisons for BSDEs in general spaces math.PR · 2010 · author #2
  12. Time consistency and moving horizons for risk measures q-fin.RM · 2009 · author #2
  13. A general theory of Finite State Backward Stochastic Difference Equations math.PR · 2008 · author #2
  14. A Ring Isomorphism and corresponding Pseudoinverses math.RA · 2008 · author #2
  15. Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions q-fin.CP · 2008 · author #2
  16. Solutions of Backward Stochastic Differential Equations on Markov Chains math.PR · 2008 · author #2

Mentions

  • 1505.03228 #3 · backfill · confidence 0.70 Robert J. Elliott
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  • 0810.0055 #2 · backfill · confidence 0.70 Robert J. Elliott
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Frequent Coauthors