CURRICULUM VITAE
Robert James Elliott DSc , PhD , MA BA

 

       
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LIST OF PUBLICATIONS - PAPERS PUBLISHED

Books | Books Edited | Book Reviews
Harmonic and Functional Analysis 1964-1970
Hypoelliptic Operators 1969-1974
Differential Games 1972-1982
Stochastic Calculus and Control 1975-1981
Stochastic Calculus and Applications 1981-1985
Stochastic Processes and Applications 1986-1991
Filtering and Stochastic Processes 1991-1995
Stochastic Filtering and Applications 1995-
Mathematical Finance 1990-

 
STOCHASTIC FILTERING AND APPLICATIONS 1995 -

149. 

R.J. Elliott and L. Aggoun. "M.A.P. estimation for hidden discrete random fields", Stochastic Analysis and Applications 16(1998) 83-89. 

150. 

J.B. Moore, R.J. Elliott and S. Dey. "Risk sensitive generalizations of minimum variance estimation and control", Third I.F.A.C. Symposium on Nonlinear Control Systems Design, Lake Tahoe, CA, June 1995 2 (1995): 466-470.

151. 

V. Krishnamurthy and R.J. Elliott. "Filters for estimating Markov modulated Poisson processes and image enhanced tracking", I.E.E.E. Conference on decision and Control, New Orleans, December 1995, I.E.E.E. Press, Piscataway, NJ (1995): 63-68.

152. 

R.J. Elliott and J.B. Moore. "State and parameter estimation for linear systems", Journal of Mathematical Systems, Estimation and Control 6 (1996): 125-128.

153. 

A. Bensoussan and R.J. Elliott. "General finite dimensional risk sensitive problems and small noise limits", I.E.E.E. Transactions on Automatic Control 41 (1996): 210-215.

154. 

M. Kent, D.D. Sworder, R.J. Elliott and F. Dufour. "Fading in mobile GMSK", 29th I.E.E.E. Asilomar Conference on Signals, Systems and Computers, Asilomar, CA, November 1995 I.E.E.E. Computer Society Press (1996): 314-318.

155. 

F. Dufour, P. Bertrand and R.J. Elliott. "Filtering for linear systems with jump parameters and high signal to noise ratio", 13th I.F.A.C. World Congress, San Francisco, June 1996 H (1996): 445-450.

156. 

R.J. Elliott, J.B. Moore and S. Dey. "Risk sensitive maximum likelihood sequence estimation", I.E.E.E. Trans. on Circuits and Systems 43 (1996): 805-810. (13th I.F.A.C. World Congress, San Francisco, June 1996 J: 191-196.

157. 

C. Charalambous and R.J. Elliott. "Finite dimensional observers and controllers for nonlinear systems", 13th IFAC World Congress, San Francisco, June 1996 E (1996): 389-394.

158. 

C. Charalambous and R.J. Elliott. "Explicit solutions for nonlinear partially observable stochastic control problems", Proceedings of 3rd IEEE Mediterranean Symposium and New Directions in Control & Automation. Cyprus. Vol. II. 189-196. 

159. 

M. James and R.J. Elliott. "Risk sensitive and risk neutral control for continuous time hidden Markov models", Applied Mathematics and Optimization 34 (1996): 37-50.

160. 

R.J. Elliott, J.B. Moore and S. Dey. "Risk sensitive generalizations of minimum variance estimation and control" Journal of Mathematical Systems and Control 7 (1997): 123-126.

161. 

R.J. Elliott, F. Dufour and D.D. Sworder. "Exact hybrid filters in discrete time", I.E.E.E. Transactions on Automatic Control 41 (1996): 1807-1810.

162. 

V. Benes and R.J. Elliott. "Finite dimensional solutions of a modified Zakai equation", Mathematics of Control, Signals and Systems 9 (1996), 341-351.

163. 

C. Charalambous and R.J. Elliott. "Finite dimensional nonlinear output feedback disturbance attenuation control problems", Proceedings of the 3rd I.E.E.E Mediterranean Symposium on New Directions in Control and Automation, Limassol, Cyprus 4 (1995): 371-378.

164. 

C. Charalambous and R.J. Elliott. Examples of optimal control for nonlinear stochastic control problems with partial information' I.E.E.E. Control and Decision Conference, New Orleans, December 1995. I.E.E.E. Press Piscataway, NJ: 2187-2192.

165. 

C. Charalambous and R.J. Elliott. "Finite-dimensional nonlinear output feedback dynamic games and bounds for sector nonlinearities", I.E.E.E. Trans. Auto. Control, 44 (1999): 1753-1759.

166. 

R.J. Elliott and J.B. Moore. "Zakai equations for Hilbert space valued processes", Stochastic Analysis & Applications, 16(1998), 597-605.

167. 

R.J. Elliott. "A genetic filtering problem", Stochastic Analysis and Applications, 17 (1999), 541-552.

168. 

V. Krishnamurthy and R.J. Elliott. "Filters for estimating Markov Modulated Poisson processes and Image enhanced tracking", Automatica 33 (1997), 821-833.

169. 

R.J. Elliott and V. Krishnamurthy. "New finite dimensional filters for the estimation of discrete time linear Gaussian models" I.E.E.E Transactions on Automatic Control, 44 (1999): 938-951.

170. 

C. Charalambous and R.J. Elliott. "Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems", I.E.E.E. Transactions on Automatic Control 42 (1997), 482-497.

171. 

L. Aggoun and R.J. Elliott. "Measure change techniques in optimal control", Journal of Applied Mathematics and Optimization 35 (1997), 165-175.

172. 

R.J. Elliott and V. Krishnamurthy. "Exact finite dimensional filters for maximum likelihood parameter estimation of continuous time linear-Gaussian systems", S.I.A.M. Jour. Control, 35(1997), 1908-1925.

173.

F. Dufour, R.J. Elliott and A. Tsoi. "Asymptotic filters for linear systems with jump parameters in the case of high signal to noise ratio", 34th I.E.E.E Conference on Decision and Control, New Orleans, December 1995, I.E.E.E Press, Piscataway, NJ: 3349-3353.

174. 

L. Aggoun and R.J. Elliott. "Recursive estimation in capture recapture models", Sultan Qaboos University, Oman, Science and Technology, 3 (1998): 67-75.

175. 

V. Krishnamurthy and R.J. Elliott. "Exact finite dimensional filters for doubly stochastic auto- regressive processes", I.E.E.E. Trans. Auto. Control 42 (1997), 1289-1293.

176. 

R.J. Elliott and J. van der Hoek. "A finite dimensional filter for hybrid observations", I.E.E.E. Trans. Automatic Control, 43(1998), 736-739.

177. 

R.J. Elliott, S. Dey and J.B. Moore. "Risk sensitive maximum likelihood sequence estimation", 13th I.F.A.C. World Congress, San Francisco, June 1996, Vol J. 191-196.

178. 

C. Charalambous and R.J. Elliott. "Classes of nonlinear partially observable stochastic optimal control problems with explicit control laws", S.I.A.M. Journal of Control and Optimization, 36(1998), 542-578.

179. 

F. Dufour and R.J. Elliott. "Adaptive control of linear systems with Markov pertubations" I.E.E.E. Automatic Control, 43(1998), 351-372.

180. 

F. Dufour and R.J. Elliott. "Filtering with discrete state observations", 36th I.E.E.E Conference on Decision and Control, San Diego, CA, December 1997, I.E.E.E Press, Piscataway N.J., 4451-4454.

181. 

J. Baras, A. Bensoussan, C. Charalambous and R.J. Elliott. "Some results on risk sensitive control with partial information’. 34th I.E.E.E. Conference on Decision and Control, New Orleans, December 1995.  I.E.E.E. Press, Piscataway, NJ:  2853-2857.

182. 

V. Krishnamurthy and R.J. Elliott. "Exact finite dimensional filters for certain exponential functionals of Gaussian state processes", 36th I.E.E.E. Conference on Decision and Control, San Diego CA, December 1997, I.E.E.E Press, Piscataway NJ 1651-1656.

183. 

R.J. Elliott and V. Krishnamurthy. "Finite dimensional filters for maximum likelihood estimation of continuous time linear Gaussian systems", 36th I.E.E.E. Conference on Decision and Control, San Diego CA, December 1997, I.E.E.E Press, Piscataway NJ, 4469-4474.

184. 

R.J. Elliott, J. Ford and J.B. Moore. "On-line consistent estimation of Hidden Markov Models", submitted for publication. 

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185. 

R.J. Elliott and J.B. Moore. "Almost sure parameter estimation and convergence rates for Hidden Markov Models", Systems and Control Letters, 32(1997), 203-207.

186. 

R.J. Elliott and J.B. Moore. "A martingale Kronecker lemma and parameter estimation for linear systems", I.E.E.E Transactions on Automatic Control, 43(1998), 1263-1265.

187. 

R.J. Elliott. "A continuous time Kronecker lemma and martingale convergence".  Stochastic Analysis and Applications, 19 (2001): 433-437.

188. 

J. Manton, R.J. Elliott and V. Krishnamurthy. "Discrete time filters for a doubly stochastic Poisson process and other exponential noise models", Journal of Adaptive Control and Signal Processing. , International Journal of Adaptive Control and Signal Processing 13 (1999): 393-416.

189. 

M. Kent, D.D. Sworder and R.J. Elliott. "Fading in mobile GMSK-II." 30th I.E.E.E. Asilomar Conference on Signals, Systems & Computers. Nov 1996. I.E.E.E. Computer Society Press, 1997, pp 617-621.

190. 

C. Charalambous and R.J. Elliott. "New finite dimensional stochastic optimal control problems." Proceedings of the 1997 American Control Conference, June 1997.

191. 

C. Charalambous, S. Dey and R.J. Elliott. "New finite dimensional risk sensitive filters: small noise limits." I.E.E.E. Transactions on Automatic Control, 43 (1998): 1424-1429.

192. 

C. Charalambous and R.J. Elliott. "New explicit filters and smoothers for diffusion with nonlinear drift and measurement".  Systems and Control Letters 33 (1998): 89-103.

193. 

S. Dey, R.J. Elliott and J.B. Moore. "Finite dimensional risk sensitive estimation for continuous time non-linear systems", European Control Conference 1997 pp2830-2835.

194. 

C. Charalambous, S. Dey and R.J. Elliott. "New finite dimensional risk sensitive filters". Proceedings 1997 American Control Conference, June 1997 pp435-439.

195.

C. Charalambous, R.J. Elliott and V. Krishnamurthy. "Conditional moment generating functions for integrals and stochastic integrals. 36th IEEE Conference on Decision and Control, San Diego CA, December 1997, I.E.E.E Press Piscataway NJ, 3944-3949.

196.

C. Charalambous and R.J. Elliott. "Certain results concerning filtering and control of diffusions in small white noise". 36th I.E.E.E. Conference on Decision and Control, San Diego CA, December 1997, I.E.E.E Press Piscataway NJ, 2773-2778

198.

C. Charalambous and R.J. Elliott. ‘Information states in optimal control and filtering: a Lie algebraic theoretic approach’.  36th I.E.E.E. Conference on Decision and Control. San Diego CA, December 1997, I.E.E.E Press Piscataway NJ, 2801-2808.

199.

V. Krishnamurthy and R.J. Elliott. ‘Exact finite dimensional filters for exponential functionals of the state’.  Stochastic Analysis, Control Optimization and Applications. A Volume in Honor of W.H. Fleming. Birkhauser, Boston, 1999. pp. 391-408.

200.

R.J. Elliott, J. Ford and J.B. Moore. ‘On-line almost-sure parameter estimation for partially observed discrete-time linear systems’.  International Journal of Adaptive Control & Signal Processing (2002), 16: 435-453.

201.

R.J. Elliott, V. Krishnamurthy and H. V. Poor. ‘Exact filters for certain moments and stochastic integrals of the state of systems with Benes nonlinearity’.   I.E.E.E. Trans. Auto. Control 44 (1999): 1929-1933.

202.

R.J. Elliott, V. Krishnamurthy and J. Manton. ‘Optimal estimation of Poisson rate from discrete time observations’.  I.E.E.E. Conference on Communications, Montreal PQ, June 1997, I.E.E.E Press Piscataway NJ, pp 1392-1395.

203.

W. P. Malcolm, M. R. James and R. J. Elliott. "Risk sensitive filtering with Counting process observations",37th I.E.E.E. Conference on Decision and Control. Tampa FL, December 1998, I.E.E.E. Press Piscataway NJ, pp 2300-2304.

204.

W. P. Malcolm, R. J. Elliott and M. R. James. "Risk sensitive filtering with Poisson observations", Journal of Applied Mathematics and Optimization, 41 (2000): 387-402.

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205.

W. P. Malcolm, R. J. Elliott. "M-ary detection for a Cox process model", International Symposium on Signal Processing and its Applications, Brisbane Australia, August 1999.

206.

W. P. Malcolm, R.J. Elliott and M. R. James. ‘Risk sensitive filtering with continuous time observations’.   I.E.E.E. Conference on Decision and Control, Phoenix Arizona, December 1999, I.E.E.E Press Piscataway NJ, pp 143-150.

207.

W. P. Malcolm, and R.J. Elliott. "A general smoothing equation for Poisson observations", I.E.E.E. Conference on Decision and Control, Phoenix Arizona, December 1999. I.E.E.E Press Piscataway NJ, pp 4106-4110.

208.

R.J. Elliott and W. P. Malcolm. "Reproducing Gaussian densities and linear Gaussian detection", Systems and Control Letters 40 (2000) pp 133-138.

209.

J. Baras, A. Bensoussan and R.J. Elliott, `Some results on risk sensitive control with partial information'.  I.E.E.E. Conference on Decision and Control, New Orleans, December 1995. I.E.E.E. Press, Piscataway, NJ: 2853-2857.

210.

C. Charalambous, A. Logothetis and R.J. Elliott, `Bank filters for ML parameter estimation via the expectation maximization algorithm: The continuous time case'.  37th I.E.E.E. Conference on Decision and Control, Tampa, FL, December 1988, I.E.E.E. Press, Piscataway, NJ: 2317-2322.

211.

F. Dufour, P. Bertrand and R.J. Elliott, `Filtering for linear systems with jump parameters and high signal to noise ratio'.  13th I.F.A.C. World Congress, San Francisco June 1996 H: 445-450.

212.

J.B. Moore, R.J. Elliott and S. Dey, `Risk sensitive generalizations of minimum variance estimation and control'.   3rd I.F.A.C. Symposium on Nonlinear Control Systems Design, Lake Tahoe, CA, June 1995 2 (1995): 466-470.  Jour. Math. Systems & Control  7 (1997):  123-126.

213.

L. Aggoun and R.J. Elliott, ‘Recursive estimation in capture-recapture methods’.   Sultan Qaboos University, Oman, Science and Technology, 3 (1998): 67-75.

214.

V. Krishnamurthy and R.J. Elliott, ‘Filters for estimating Markov modulated Poisson processes and image enhanced tracking’.  34th I.E.E.E. Conference on Decision and Control, New Orleans, December 1995. I.E.E.E. Press, Piscataway, NJ: 63-68.

215.

C. Charalambous and R.J. Elliott, ‘Finite dimensional observers and controllers for nonlinear systems’.   13th I.F.A.C. World Congress, San Francisco, June 1996 E: 389-394.

216.

C. Charalambous and R.J. Elliott, ‘Information states in stochastic control and filtering: A Lie theoretic approach’,   I.E.E.E. Trans. Auto. Control 45 (2000): 653-674.

217.

M. Kent, D.D. Sworder and R.J. Elliott, ‘Fading in mobile GMSK channel’.   36th I.E.E.E. Conference on Decision and Control, San Diego, CA, December 1997, I.E.E.E. Press, Piscataway, NJ, 4451-4454.

218.

V. Krishnamurthy and R. J. Elliott, ‘Finite dimensional filters for the estimation of discrete time Gauss-Markov models’.   36th I.E.E.E. Conference on Decision and Control, San Diego, CA, December 1997, I.E.E.E. Press, Piscataway, NJ: 1637-1642.

219.

C.D. Charalambous and R.J. Elliott, `Explicit solutions for nonlinear partially observable stochastic control problems' Proceedings of 3rd I.E.E.E. Mediterranean Symposium and New Directions in Control and Automation, Limassol, Cyprus II (1995): 189-196.

220.

W.P. Malcolm and R.J. Elliott, ‘Dynamic model tracking for Markov modulated Poisson processes’. I.E.E.E. 

221.

R.J. Elliott, 'Improved smoothers for discrete time hidden Markov model estimation'.

222.

L.B. White and R.J. Elliott,  ‘Mixed MAP/MLSE receiver for convolutional coded signals transmitted over a fading channel’.   I.E.E.E. Trans. Signal Processing, (2002)  50:  1205-1214.

223.

D.D. Sworder, J.E. Boyd and R.J. Elliott, Model estimation in hybrid systems’.Jour. Math. Anal. and App.245 (2000) 225-247.

224.

V. Krishnamurthy and R.J. Elliott, 'Robust continuous-time smoothers-without two sided stochastic integrals'.

225.

R.J. Elliott and W.P. Malcolm, 'Robust EM Algorithms for Markov modulated Poisson processes' 39th I.E.E.E. Conference on Decision and Control, Sydney, Australia, December 2000, 4678-4685.

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226.

V. Krishnamurthy and R.J. Elliott, 'Robust continuous-time smoothers-without two sided stochastic integrals'. 39th I.E.E.E. Conference on Decision and Control, Sydney, Australia, December 2000, 286-291.

227.

L.B. White and R.J. Elliott, 'Detection of changes in Dynamic Networks. Part A. A linear systems approach.'

228.

D.D. Sworder, J.E. Boyd, R.G. Hutchins and R.J. Elliott, ‘Bearing only tracking from a stationary platform.’ 35th I.E.E.E. Asilomar Conference on Signals, Systems and Computers, November 2000 I.E.E.E. Computr Society Press (2001), 1428-1432.

229.

R.J. Elliott and W.P. Malcolm, ‘Robust smoother dynamics for Poisson processes driven by an Ito diffusion’. 40th I.E.E.E. Conference on Decision and Control, Orlando, Fl. December 2001. I.E.E.E. Press Piscataway, NJ 376-381

230.

R.J. Elliott and W.P. Malcolm, ‘Improved smoother dynamics for discrete time HMM parameter estimation. 40th I.E.E.E. Conference on Decision and Control, Orlando, Fl. December 2001. I.E.E.E. Press Piscataway N.J. 3506-3511

231.

R.J. Elliott and W.P. Malcolm, ‘Robust M-ary detection filters for continuous time jump Markov systems. 40th I.E.E.E. Conference on Decision and Control, Orlando, Fl. December 2001. I.E.E.E. Press Piscataway N.J. 1681-1686

232.

R.J. Elliott, F. Dufour and W.P. Malcolm, ‘A Comparison of Recursive Angle Only Target Tracking Algorithms’.  Proceedings of SPIE 2001, the International Society for Optical Engineering.  Bellingham, WA. (2001) 270-278.

233.

R. J. Elliott and W. P. Malcolm, ‘Robust Detection Filters for Jump Markov Systems with Doubly Stochastic Process Models’.

234.

R. J. Elliott and W.P. Malcolm, ‘Robust M-ary detection filters and smoothers for continuous time jump – Markov systems’.

235.

R. J. Elliott and W.P. Malcolm, ‘Robust smoothing schemes for Markov modulated Poisson Processes’.

236.

R. J. Elliott, W. P. Malcolm, and L. Aggoun, ‘ Filtering smoothing and M-ary detection with discrete time Poisson observations.

237.

R. J. Elliott and W. P. Malcolm, ‘ Improved smoother dynamics for discrete time HMM parameter estimation.

238.

D. D. Sworder, J.E. Boyd, R. G Hutchins, and R. J. Elliott, ‘Hybrid M-ary detection in target tracking'. 37th Asilomar Conference on Signals, Systems and Computers". IEEE Computer Society Press, Asilomar, CA. November 2003, 2255-2259.

239.

F. Dufour and R. J. Elliott, ‘Filtering with discrete state observations’. Applied Mathematics & Optimization 40 (1999), 259-272.

240. W.P. Malcolm & R.J. Elliott, 'New Finite Dimensional Filters for Mixed Time Scale Dynamics'. 36th IEEE Asilomar Conference on Signals, Systems and Computers, IEEE Computer Society Press 2003, 828-832.
241. D. D. Sworder, J. E. Boyd, R. G. Hutchins and R. J. Elliott, 'Receivers for Multi-mode Channels'. 37th IEEE Conference on Signals, Systems and Computers, Asilomar, CA IEEE Computer Society Press, Asilomar CA. Novewmber 2003, 487-491.
242. R. J. Elliott and J. van der Hoek, 'Optimal Linear Estimation, Data Fusion and Copulas'.
243. R. J. Elliott, L. Aggoun and A. Benmerzouga, 'Finite dimensional filtering and control for continuous time nonlinear systems'. Stochastic Analysis & Applications 22 (2004).
244. R. J. Elliott and W. P. Malcolm 'Non linear filtering for discrete time circularly distributed random variables.'
245. D. D. Sworder, J. E. Boyd, R. G. Hutchins and R. J. Elliott, Multi-sensor tracking of a vehicle on a grid.
Mathematical Finance 1990

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