Robert J. Elliott
Robert James Elliott (born 1940) is a British-Canadian mathematician, known for his contributions to control theory, game theory, stochastic processes and mathematical finance.
He was schooled at Swanwick, Derbyshire and studied mathematics in which he earn a B.A. (1961) and M.A. (1965) at the University of Oxford, as well as a Ph.D (thesis Some results in spectral synthesis advised by John Williamson (mathematician), 1965)[1] and Sc.D. (1983) from University of Cambridge.[2] He taught and conducted research at University of Newcastle (1964), Yale University (1965-66), University of Oxford (1966-68), University of Warwick (1969-73), Northwestern University (1972-73), University of Hull (1973-86), University of Alberta (1985-2001), University of Adelaide (1997-99) and University of Calgary (2001-).
[edit] Books
- with Nigel Kalton, The Existence of Value for Differential Games (American Mathematical Society, 1972)
- Stochastic Calculus and Applications (Springer-Verlag, 1982)
- Viscosity Solutions and Optimal Control (Longman, 1987)
- Stokasticheski Analiz i evo Prilozeniya (M.I.R. Publications Moscow, 1986)
- with Lakhdar Aggoun and John B. Moore, Hidden Markov Models: Estimation and Control (Springer-Verlag, 1994)
- with P. Ekkehard Kopp, Mathematics of Financial Markets (Springer Verlag, 1999, in Hungarian 2000).
- with J. van der Hoek, Binomial Models in Finance (Springer Verlag, 2005)
