Robert J. Elliott
From Wikipedia, the free encyclopedia
Robert James Elliott (born 1940) is a British-Canadian mathematician, known for his contributions to functional analysis, 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 Master of Arts|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)
