Robert J. Elliott

Dilip B. Madan

King Wang

SIAM J. Financial Math., 2021

2020

Stochastic control for BSDEs and ABSDEs with Markov chain noises.

[BibT_eX]

[DOI]

Zhe Yang

Int. J. Control, 2020

Optimal portfolio execution problem with stochastic price impact.

[BibT_eX]

[DOI]

Autom., 2020

2019

The mean squared loss control problem for a partially observed Markov chain.

[BibT_eX]

[DOI]

Yingying Lai

Int. J. Control, 2019

2017

On Finite-State Stochastic Modeling and Secure Estimation of Cyber-Physical Systems.

[BibT_eX]

[DOI]

Dawei Shi

Tongwen Chen

IEEE Trans. Autom. Control., 2017

Filtering With Uncertain Noise.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2017

A Higher-order interactive hidden Markov model and its applications.

[BibT_eX]

[DOI]

OR Spectr., 2017

2016

Event-based state estimation of discrete-state hidden Markov models.

[BibT_eX]

[DOI]

Dawei Shi

Tongwen Chen

Autom., 2016

2015

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree.

[BibT_eX]

[DOI]

Samuel N. Cohen

J. Appl. Probab., 2015

Non-Gaussian GARCH option pricing models and their diffusion limits.

[BibT_eX]

[DOI]

Alexandru Badescu

Juan-Pablo Ortega

Eur. J. Oper. Res., 2015

Discrete-time mean-field Stochastic linear-quadratic optimal control problems, II: Infinite horizon case.

[BibT_eX]

[DOI]

Yuan-Hua Ni

Xun Li

Autom., 2015

2014

On pricing barrier options with regime switching.

[BibT_eX]

[DOI]

Leunglung Chan

J. Comput. Appl. Math., 2014

A Double HMM approach to Altman Z-scores and credit ratings.

[BibT_eX]

[DOI]

Eric S. Fung

Expert Syst. Appl., 2014

Filtering and change point estimation for hidden Markov-modulated Poisson processes.

[BibT_eX]

[DOI]

Appl. Math. Lett., 2014

2013

Filtering a Double Threshold Model With Regime Switching.

[BibT_eX]

[DOI]

John W. Lau

IEEE Trans. Autom. Control., 2013

Change point estimation for continuous-time hidden Markov models.

[BibT_eX]

[DOI]

Syst. Control. Lett., 2013

A modified hidden Markov model.

[BibT_eX]

[DOI]

Autom., 2013

Discrete time mean-field stochastic linear-quadratic optimal control problems.

[BibT_eX]

[DOI]

Xun Li

Yuan-Hua Ni

Autom., 2013

Option valuation under a regime-switching constant elasticity of variance process.

[BibT_eX]

[DOI]

Leunglung Chan

Appl. Math. Comput., 2013

2012

A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance.

[BibT_eX]

[DOI]

Xin Zhang

SIAM J. Control. Optim., 2012

Markovian forward-backward stochastic differential equations and stochastic flows.

[BibT_eX]

[DOI]

Syst. Control. Lett., 2012

Optimal Design of Dynamic Default Risk Measures.

[BibT_eX]

[DOI]

Leo Shen

J. Appl. Probab., 2012

How to value risk.

[BibT_eX]

[DOI]

Leo Shen

Expert Syst. Appl., 2012

2011

Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations.

[BibT_eX]

[DOI]

Samuel N. Cohen

SIAM J. Control. Optim., 2011

Control of discrete-time HMM partially observed under fractional Gaussian noises.

[BibT_eX]

[DOI]

Syst. Control. Lett., 2011

A filter for a hidden Markov chain observed in fractional Gaussian noise.

[BibT_eX]

[DOI]

Syst. Control. Lett., 2011

An M-ary detection approach for asset allocation.

[BibT_eX]

[DOI]

Comput. Math. Appl., 2011

Characteristic functions and option valuation in a Markov chain market.

[BibT_eX]

[DOI]

Chuin Ching Liew

Comput. Math. Appl., 2011

A BSDE approach to a risk-based optimal investment of an insurer.

[BibT_eX]

[DOI]

Autom., 2011

On filtering and estimation of a threshold stochastic volatility model.

[BibT_eX]

[DOI]

Chuin Ching Liew

Appl. Math. Comput., 2011

2010

Filtering a Markov Modulated Random Measure.

[BibT_eX]

[DOI]

Hailiang Yang

IEEE Trans. Autom. Control., 2010

A Zakai equation derivation of the extended Kalman filter.

[BibT_eX]

[DOI]

Simon Haykin

Autom., 2010

A filter for a state space model with fractional Gaussian noise.

[BibT_eX]

[DOI]

Autom., 2010

On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy.

[BibT_eX]

[DOI]

Ann. Oper. Res., 2010

2009

A Viterbi smoother for discrete state space model.

[BibT_eX]

[DOI]

Syst. Control. Lett., 2009

A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization.

[BibT_eX]

[DOI]

Proceedings of the International Symposium on Circuits and Systems (ISCAS 2009), 2009

2008

Discrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson Processes.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2008

Assessment 2.0.

[BibT_eX]

[DOI]

Int. J. Emerg. Technol. Learn., 2008

A self tuning model for risk estimation.

[BibT_eX]

[DOI]

Alexei Filinkov

Expert Syst. Appl., 2008

A Markovian regime-switching stochastic differential game for portfolio risk minimization.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2008

An exact recursive filter for Quadrature Amplitude Modulation dynamics.

[BibT_eX]

[DOI]

Proceedings of the 42nd Asilomar Conference on Signals, Systems and Computers, 2008

2007

Discrete-Time Nonlinear Filtering Algorithms Using Gauss-Hermite Quadrature.

[BibT_eX]

[DOI]

Ienkaran Arasaratnam

Simon Haykin

Proc. IEEE, 2007

Insurance Claims Modulated by a Hidden Marked Point Process.

[BibT_eX]

[DOI]

Hailiang Yang

Proceedings of the American Control Conference, 2007

2006

Optimal linear estimation and data fusion.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2006

Option Pricing for Pure Jump Processes with Markov Switching Compensators.

[BibT_eX]

[DOI]

Carlton-James U. Osakwe

Finance Stochastics, 2006

A new nonlinear filter.

[BibT_eX]

[DOI]

Simon Haykin

Commun. Inf. Syst., 2006

On The Performance of Gaussian Mixture Estimation Techniques for Dicrete-Time Jump Markov Linear Systems.

[BibT_eX]

[DOI]

Proceedings of the 45th IEEE Conference on Decision and Control, 2006

2005

Risk-sensitive filtering and smoothing for continuous-time Markov Processes.

[BibT_eX]

[DOI]

Matthew R. James

IEEE Trans. Inf. Theory, 2005

General Smoothing Formulas for Markov-Modulated Poisson Observations.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2005

State and Mode Estimation for Discrete-Time Jump Markov Systems.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2005

An Algorithmic Estimation Scheme for Hybrid Stochastic Systems.

[BibT_eX]

[DOI]

M. Sanjeev Arulampalam

Proceedings of the 44th IEEE IEEE Conference on Decision and Control and 8th European Control Conference Control, 2005

Exact Smoothers for Discrete-Time Hybrid Stochastic Systems.

[BibT_eX]

[DOI]

Proceedings of the 44th IEEE IEEE Conference on Decision and Control and 8th European Control Conference Control, 2005

New Gaussian mixture state estimation schemes for discrete time hybrid Gauss-Markov systems.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2005

2004

Robust M-ary detection filters and smoothers for continuous-time jump Markov systems.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2004

Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market.

[BibT_eX]

[DOI]

Christian Bender

Math. Oper. Res., 2004

2003

Conditional Moment Generating Functions for Integrals and Stochastic Integrals.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2003

On the numerical stability of time-discretised state estimation via Clark transformations.

[BibT_eX]

[DOI]

Proceedings of the 42nd IEEE Conference on Decision and Control, 2003

2002

A mixed MAP/MLSE receiver for convolutional coded signals transmitted over a fading channel.

[BibT_eX]

[DOI]

Langford B. White

IEEE Trans. Signal Process., 2002

Robust continuous-time smoothers without two-sided stochastic integrals.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2002

HMM volatility estimation.

[BibT_eX]

[DOI]

Allanus H. Tsoi

Proceedings of the 41st IEEE Conference on Decision and Control, 2002

2001

Stochastic flows and the forward measure.

[BibT_eX]

[DOI]

Finance Stochastics, 2001

Robust M-ary detection filters for continuous-time jump Markov systems.

[BibT_eX]

[DOI]

Proceedings of the 40th IEEE Conference on Decision and Control, 2001

Robust smoother dynamics for Poisson processes driven by an Ito?diffusion.

[BibT_eX]

[DOI]

Proceedings of the 40th IEEE Conference on Decision and Control, 2001

2000

Information states in stochastic control and filtering: a Lie algebraic theoretic approach.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2000

Robust EM algorithms for Markov modulated Poisson processes.

[BibT_eX]

[DOI]

Proceedings of the 39th IEEE Conference on Decision and Control, 2000

1999

Exact filters for certain moments and stochastic integrals of the state of systems with Benes nonlinearity.

[BibT_eX]

[DOI]

H. Vincent Poor

IEEE Trans. Autom. Control., 1999

New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1999

Finite-dimensional nonlinear output feedback dynamic games and bounds for sector nonlinearities.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1999

Short rate analysis and marked point processes.

[BibT_eX]

[DOI]

Allanus H. Tsoi

Shiu Hong Lui

Math. Methods Oper. Res., 1999

Incomplete markets with jumps and informed agents.

[BibT_eX]

[DOI]

Monique Jeanblanc

Math. Methods Oper. Res., 1999

M-ary detection filters for Cox process models.

[BibT_eX]

[DOI]

Proceedings of the ISSPA '99. Proceedings of the Fifth International Symposium on Signal Processing and its Applications, 1999

1998

A martingale Kronecker lemma and parameter estimation for linear systems.

[BibT_eX]

[DOI]

John B. Moore

IEEE Trans. Autom. Control., 1998

A finite-dimensional filter for hybrid observations.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1998

Adaptive control of linear systems with Markov perturbations.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1998

New finite-dimensional risk-sensitive filters: small noise limits.

[BibT_eX]

[DOI]

Subhrakanti Dey

IEEE Trans. Autom. Control., 1998

1997

Exact finite-dimensional filters for doubly stochastic auto-regressive processes.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1997

Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1997

An application of hidden Markov models to asset allocation problems.

[BibT_eX]

[DOI]

Finance Stochastics, 1997

Filters for estimating Markov modulated poisson processes and image-based tracking.

[BibT_eX]

[DOI]

Autom., 1997

Optimal Estimation of Poisson Rate from Discrete Time Observations.

[BibT_eX]

[DOI]

Jonathan H. Manton

Proceedings of the 1997 IEEE International Conference on Communications: Towards the Knowledge Millennium, 1997

1996

Exact hybrid filters in discrete time.

[BibT_eX]

[DOI]

David D. Sworder

IEEE Trans. Autom. Control., 1996

General finite-dimensional risk-sensitive problems and small noise limits.

[BibT_eX]

[DOI]

Alain Bensoussan

IEEE Trans. Autom. Control., 1996

Finite-dimensional solutions of a modified Zakai equation.

[BibT_eX]

[DOI]

Vaclav Edvard Benes

Math. Control. Signals Syst., 1996

Optimal Filters for Reconstructing.

[BibT_eX]

[DOI]

Proceedings of the Fourth International Symposium on Signal Processing and Its Applications, 1996

1995

A filtered EM algorithm for joint hidden Markov model and sinusoidal parameter estimation.

[BibT_eX]

[DOI]

IEEE Trans. Signal Process., 1995

1994

Estimation for discrete Markov random fields observed in Gaussian noise.

[BibT_eX]

[DOI]

L. Aggoun

IEEE Trans. Inf. Theory, 1994

Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems.

[BibT_eX]

[DOI]

Matthew R. James

John S. Baras

IEEE Trans. Autom. Control., 1994

Exact adaptive filters for Markov chains observed in Gaussian noise.

[BibT_eX]

[DOI]

Autom., 1994

1993

New finite-dimensional filters and smoothers for noisily observed Markov chains.

[BibT_eX]

[DOI]

IEEE Trans. Inf. Theory, 1993

1989

Bilateral prediction.

[BibT_eX]

[DOI]

IEEE Trans. Inf. Theory, 1989

1986

Reverse-time Markov processes.

[BibT_eX]

[DOI]

IEEE Trans. Inf. Theory, 1986

The Zakai forms of the prediction and smoothing equations.

[BibT_eX]

[DOI]

Peter L. Antonelli

IEEE Trans. Inf. Theory, 1986

1983

Application of variational inequalities to stochastic control: A. Bensoussan and J. L. Lions.

[BibT_eX]

[DOI]