Application of variational inequalities to stochastic control: A. Bensoussan and J. L. Lions. - Robert J. Elliott (Autom., 1983)

The Zakai forms of the prediction and smoothing equations. - Peter L. Antonelli; Robert J. Elliott (IEEE Trans. Inf. Theory, 1986)

Reverse-time Markov processes. - Robert J. Elliott (IEEE Trans. Inf. Theory, 1986)

Bilateral prediction. - Robert J. Elliott (IEEE Trans. Inf. Theory, 1989)

New finite-dimensional filters and smoothers for noisily observed Markov chains. - Robert J. Elliott (IEEE Trans. Inf. Theory, 1993)

Exact adaptive filters for Markov chains observed in Gaussian noise. - Robert J. Elliott (Autom., 1994)

Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems. - Matthew R. James; John S. Baras; Robert J. Elliott (IEEE Trans. Autom. Control., 1994)

Estimation for discrete Markov random fields observed in Gaussian noise. - Robert J. Elliott; L. Aggoun (IEEE Trans. Inf. Theory, 1994)

A filtered EM algorithm for joint hidden Markov model and sinusoidal parameter estimation. - Vikram Krishnamurthy; Robert J. Elliott (IEEE Trans. Signal Process., 1995)

Optimal Filters for Reconstructing. - Vikram Krishnamurthy; Robert J. Elliott (ISSPA, 1996)

Finite-dimensional solutions of a modified Zakai equation. - Vaclav Edvard Benes; Robert J. Elliott (Math. Control. Signals Syst., 1996)

General finite-dimensional risk-sensitive problems and small noise limits. - Alain Bensoussan 001; Robert J. Elliott (IEEE Trans. Autom. Control., 1996)

Exact hybrid filters in discrete time. - Robert J. Elliott; François Dufour; David D. Sworder (IEEE Trans. Autom. Control., 1996)

Optimal Estimation of Poisson Rate from Discrete Time Observations. - Robert J. Elliott; Vikram Krishnamurthy; Jonathan H. Manton (ICC (3), 1997)

Filters for estimating Markov modulated poisson processes and image-based tracking. - Vikram Krishnamurthy; Robert J. Elliott (Autom., 1997)

An application of hidden Markov models to asset allocation problems. - Robert J. Elliott; John van der Hoek (Finance Stochastics, 1997)

Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems. - Charalambos D. Charalambous; Robert J. Elliott (IEEE Trans. Autom. Control., 1997)

Exact finite-dimensional filters for doubly stochastic auto-regressive processes. - Vikram Krishnamurthy; Robert J. Elliott (IEEE Trans. Autom. Control., 1997)

New finite-dimensional risk-sensitive filters: small noise limits. - Charalambos D. Charalambous; Subhrakanti Dey; Robert J. Elliott (IEEE Trans. Autom. Control., 1998)

Adaptive control of linear systems with Markov perturbations. - François Dufour; Robert J. Elliott (IEEE Trans. Autom. Control., 1998)

A finite-dimensional filter for hybrid observations. - Robert J. Elliott; John van der Hoek (IEEE Trans. Autom. Control., 1998)

A martingale Kronecker lemma and parameter estimation for linear systems. - Robert J. Elliott; John B. Moore (IEEE Trans. Autom. Control., 1998)

M-ary detection filters for Cox process models. - W. Paul Malcolm; Robert J. Elliott (ISSPA, 1999)

Incomplete markets with jumps and informed agents. - Robert J. Elliott; Monique Jeanblanc (Math. Methods Oper. Res., 1999)

Short rate analysis and marked point processes. - Robert J. Elliott; Allanus H. Tsoi; Shiu Hong Lui (Math. Methods Oper. Res., 1999)

Finite-dimensional nonlinear output feedback dynamic games and bounds for sector nonlinearities. - Charalambos D. Charalambous; Robert J. Elliott (IEEE Trans. Autom. Control., 1999)

New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models. - Robert J. Elliott; Vikram Krishnamurthy (IEEE Trans. Autom. Control., 1999)

Exact filters for certain moments and stochastic integrals of the state of systems with Benes nonlinearity. - Robert J. Elliott; Vikram Krishnamurthy; H. Vincent Poor (IEEE Trans. Autom. Control., 1999)

Robust EM algorithms for Markov modulated Poisson processes. - Robert J. Elliott; W. Paul Malcolm (CDC, 2000)

Information states in stochastic control and filtering: a Lie algebraic theoretic approach. - Charalambos D. Charalambous; Robert J. Elliott (IEEE Trans. Autom. Control., 2000)

Robust smoother dynamics for Poisson processes driven by an Ito?diffusion. - Robert J. Elliott; William Paul Malcolm (CDC, 2001)

Robust M-ary detection filters for continuous-time jump Markov systems. - Robert J. Elliott; William Paul Malcolm (CDC, 2001)

Stochastic flows and the forward measure. - Robert J. Elliott; John van der Hoek (Finance Stochastics, 2001)

HMM volatility estimation. - Robert J. Elliott; W. Paul Malcolm; Allanus H. Tsoi (CDC, 2002)

Robust continuous-time smoothers without two-sided stochastic integrals. - Vikram Krishnamurthy; Robert J. Elliott (IEEE Trans. Autom. Control., 2002)

A mixed MAP/MLSE receiver for convolutional coded signals transmitted over a fading channel. - Langford B. White; Robert J. Elliott (IEEE Trans. Signal Process., 2002)

On the numerical stability of time-discretised state estimation via Clark transformations. - W. Paul Malcolm; Robert J. Elliott; John van der Hoek (CDC, 2003)

Conditional Moment Generating Functions for Integrals and Stochastic Integrals. - Charalambos D. Charalambous; Robert J. Elliott; Vikram Krishnamurthy (SIAM J. Control. Optim., 2003)

Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market. - Christian Bender; Robert J. Elliott (Math. Oper. Res., 2004)

Robust M-ary detection filters and smoothers for continuous-time jump Markov systems. - Robert J. Elliott; W. Paul Malcolm (IEEE Trans. Autom. Control., 2004)

New Gaussian mixture state estimation schemes for discrete time hybrid Gauss-Markov systems. - Robert J. Elliott; François Dufour; W. Paul Malcolm (ACC, 2005)

Exact Smoothers for Discrete-Time Hybrid Stochastic Systems. - Robert J. Elliott; W. Paul Malcolm; François Dufour (CDC/ECC, 2005)

An Algorithmic Estimation Scheme for Hybrid Stochastic Systems. - W. Paul Malcolm; Robert J. Elliott; François Dufour; M. Sanjeev Arulampalam (CDC/ECC, 2005)

State and Mode Estimation for Discrete-Time Jump Markov Systems. - Robert J. Elliott; François Dufour; W. Paul Malcolm (SIAM J. Control. Optim., 2005)

General Smoothing Formulas for Markov-Modulated Poisson Observations. - Robert J. Elliott; William Paul Malcolm (IEEE Trans. Autom. Control., 2005)

Risk-sensitive filtering and smoothing for continuous-time Markov Processes. - W. Paul Malcolm; Robert J. Elliott; Matthew R. James (IEEE Trans. Inf. Theory, 2005)

On The Performance of Gaussian Mixture Estimation Techniques for Dicrete-Time Jump Markov Linear Systems. - Robert J. Elliott; François Dufour; W. Paul Malcolm (CDC, 2006)

A new nonlinear filter. - Robert J. Elliott; Simon Haykin 001 (Commun. Inf. Syst., 2006)

Option Pricing for Pure Jump Processes with Markov Switching Compensators. - Robert J. Elliott; Carlton-James U. Osakwe (Finance Stochastics, 2006)

Optimal linear estimation and data fusion. - Robert J. Elliott; John van der Hoek (IEEE Trans. Autom. Control., 2006)

Insurance Claims Modulated by a Hidden Marked Point Process. - Robert J. Elliott; Tak Kuen Siu; Hailiang Yang (ACC, 2007)

Discrete-Time Nonlinear Filtering Algorithms Using Gauss-Hermite Quadrature. - Ienkaran Arasaratnam; Simon Haykin 001; Robert J. Elliott (Proc. IEEE, 2007)

An exact recursive filter for Quadrature Amplitude Modulation dynamics. - Robert J. Elliott; William Paul Malcolm (ACSCC, 2008)

A Markovian regime-switching stochastic differential game for portfolio risk minimization. - Robert J. Elliott; Tak Kuen Siu (ACC, 2008)

A self tuning model for risk estimation. - Robert J. Elliott; Alexei Filinkov (Expert Syst. Appl., 2008)

Assessment 2.0. - Robert J. Elliott (Int. J. Emerg. Technol. Learn., 2008)

Discrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson Processes. - Robert J. Elliott; W. Paul Malcolm (IEEE Trans. Autom. Control., 2008)

A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization. - Robert J. Elliott; Tak Kuen Siu (ISCAS, 2009)

A Viterbi smoother for discrete state space model. - Robert J. Elliott; Jia Deng (Syst. Control. Lett., 2009)

On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. - Robert J. Elliott; Tak Kuen Siu (Ann. Oper. Res., 2010)

A filter for a state space model with fractional Gaussian noise. - Robert J. Elliott; Jia Deng (Autom., 2010)

A Zakai equation derivation of the extended Kalman filter. - Robert J. Elliott; Simon Haykin 001 (Autom., 2010)

Filtering a Markov Modulated Random Measure. - Robert J. Elliott; Tak Kuen Siu; Hailiang Yang (IEEE Trans. Autom. Control., 2010)

On filtering and estimation of a threshold stochastic volatility model. - Robert J. Elliott; Chuin Ching Liew; Tak Kuen Siu (Appl. Math. Comput., 2011)

A BSDE approach to a risk-based optimal investment of an insurer. - Robert J. Elliott; Tak Kuen Siu (Autom., 2011)

Characteristic functions and option valuation in a Markov chain market. - Robert J. Elliott; Chuin Ching Liew; Tak Kuen Siu (Comput. Math. Appl., 2011)

An M-ary detection approach for asset allocation. - Robert J. Elliott; Tak Kuen Siu (Comput. Math. Appl., 2011)

A filter for a hidden Markov chain observed in fractional Gaussian noise. - Robert J. Elliott; Jia Deng (Syst. Control. Lett., 2011)

Control of discrete-time HMM partially observed under fractional Gaussian noises. - Robert J. Elliott; Tak Kuen Siu (Syst. Control. Lett., 2011)

Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations. - Samuel N. Cohen; Robert J. Elliott (SIAM J. Control. Optim., 2011)

How to value risk. - Leo Shen; Robert J. Elliott (Expert Syst. Appl., 2012)

Optimal Design of Dynamic Default Risk Measures. - Leo Shen; Robert J. Elliott (J. Appl. Probab., 2012)

Markovian forward-backward stochastic differential equations and stochastic flows. - Robert J. Elliott; Tak Kuen Siu (Syst. Control. Lett., 2012)

A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance. - Xin Zhang 012; Robert J. Elliott; Tak Kuen Siu (SIAM J. Control. Optim., 2012)

Option valuation under a regime-switching constant elasticity of variance process. - Robert J. Elliott; Leunglung Chan; Tak Kuen Siu (Appl. Math. Comput., 2013)

Discrete time mean-field stochastic linear-quadratic optimal control problems. - Robert J. Elliott; Xun Li 002; Yuan-Hua Ni (Autom., 2013)

A modified hidden Markov model. - John van der Hoek; Robert J. Elliott (Autom., 2013)

Change point estimation for continuous-time hidden Markov models. - Robert J. Elliott; Jia Deng (Syst. Control. Lett., 2013)

Filtering a Double Threshold Model With Regime Switching. - Robert J. Elliott; Tak Kuen Siu; John W. Lau (IEEE Trans. Autom. Control., 2013)

Filtering and change point estimation for hidden Markov-modulated Poisson processes. - Robert J. Elliott; Tak Kuen Siu (Appl. Math. Lett., 2014)

A Double HMM approach to Altman Z-scores and credit ratings. - Robert J. Elliott; Tak Kuen Siu; Eric S. Fung (Expert Syst. Appl., 2014)

On pricing barrier options with regime switching. - Robert J. Elliott; Tak Kuen Siu; Leunglung Chan (J. Comput. Appl. Math., 2014)

Discrete-time mean-field Stochastic linear-quadratic optimal control problems, II: Infinite horizon case. - Yuan-Hua Ni; Robert J. Elliott; Xun Li 002 (Autom., 2015)

Non-Gaussian GARCH option pricing models and their diffusion limits. - Alexandru Badescu; Robert J. Elliott; Juan-Pablo Ortega (Eur. J. Oper. Res., 2015)

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. - Robert J. Elliott; Tak Kuen Siu; Samuel N. Cohen (J. Appl. Probab., 2015)

Event-based state estimation of discrete-state hidden Markov models. - Dawei Shi; Robert J. Elliott; Tongwen Chen (Autom., 2016)

A Higher-order interactive hidden Markov model and its applications. - Dong-Mei Zhu; Wai-Ki Ching; Robert J. Elliott; Tak Kuen Siu; Lianmin Zhang (OR Spectr., 2017)

Filtering With Uncertain Noise. - Robert J. Elliott (IEEE Trans. Autom. Control., 2017)

On Finite-State Stochastic Modeling and Secure Estimation of Cyber-Physical Systems. - Dawei Shi; Robert J. Elliott; Tongwen Chen (IEEE Trans. Autom. Control., 2017)

The mean squared loss control problem for a partially observed Markov chain. - Yingying Lai; Robert J. Elliott (Int. J. Control, 2019)

Optimal portfolio execution problem with stochastic price impact. - Guiyuan Ma; Chi Chung Siu; Song-Ping Zhu; Robert J. Elliott (Autom., 2020)

Stochastic control for BSDEs and ABSDEs with Markov chain noises. - Zhe Yang; Robert J. Elliott (Int. J. Control, 2020)

Filtering Response Directions. - Robert J. Elliott; Dilip B. Madan; King Wang (SIAM J. Financial Math., 2021)