Exact adaptive filters for Markov chains observed in Gaussian noise

Dynamic Control of the Investment Portfolio in the Jump-Diffusion Financial Market with Regime Switching

Automation and Remote Control

Sequential Monte Carlo Methods to Train Neural Network Models

Neural Computation

Adaptive signal processing of asset price dynamics with predictability analysis

Information Sciences: an International Journal

A self tuning model for risk estimation

Expert Systems with Applications: An International Journal

Brief paper: A filter for a state space model with fractional Gaussian noise

Automatica (Journal of IFAC)

On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment

SIAM Journal on Control and Optimization

A survey of techniques for incremental learning of HMM parameters

Information Sciences: an International Journal

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

SIAM Journal on Control and Optimization