101 citations · 224 across the 20 of their papers we have counts for
21 papers
Regime Switching Entropic Risk Measures on Crude Oil Pricing
Babacar Seck, Robert J. Elliott
This paper introduces a new type of risk measures, namely regime switching entropic risk measures, and study their applicability through simulations. The state of the economy is in…
Backward stochastic differential equations with regime-switching and sublinear expectations
Engel John C. Dela Vega, Robert J. Elliott
This paper introduces a backward stochastic differential equation driven by both Brownian motion and a Markov chain (BSDEBM). Regime-switching is also incorporated through its driv…
A stochastic control approach to bid-ask price modelling
Engel John C. Dela Vega, Robert J. Elliott
This paper develops a model for the bid and ask prices of a European type asset by formulating a stochastic control problem. The state process is governed by a modified geometric B…
Optimal Liquidation in Target Zone Models and Neumann Problem of Backward SPDEs with Singular Terminal Condition
Robert Elliott, Jinniao Qiu, Wenning Wei
We study the optimal liquidation problems in target zone models using dynamic programming methods. Such control problems allow for stochastic differential equations with reflection…
Semimartingale dynamics and estimation for a semi-Markov chain
Robert J. Elliott
We consider a finite state discrete time process X. Without loss of generality the finite state space can be identified with the set of unit vectors {e1, e2, . . . , eN} with ei =…
Compound Hawkes Processes in Limit Order Books
Anatoliy Swishchuk, Bruno Remillard, Robert Elliott +1
In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove La…