Robert Liptser
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Russian-Israeli mathematician
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Robert Liptsermathematics Degrees
Mathematics
#4623
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#6547
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Probability Theory
#149
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#178
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Measure Theory
#3019
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#3587
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Mathematics
Robert Liptser's Degrees
- PhD Mathematics Moscow State University
- Doctorate Mathematics Moscow State University
Why Is Robert Liptser Influential?
(Suggest an Edit or Addition)According to Wikipedia, Robert Sh. Liptser was a Russian-Israeli mathematician who made contributions to the theory and applications of stochastic processes, in particular to martingales, stochastic control and nonlinear filtering.
Robert Liptser's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Statistics of Random Processes I: General Theory (1984) (802)
- Statistics of Random Processes Ii: Applications (2000) (371)
- A strong law of large numbers for local martingales (1980) (275)
- From Stochastic Calculus to Mathematical Finance (2006) (144)
- A Functional Central Limit Theorem for Semimartingales (1981) (110)
- From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift (2006) (76)
- Limit theorems on large deviations for semimartingales (1992) (71)
- A filtering approach to tracking volatility from prices observed at random times (2005) (69)
- Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals (2002) (61)
- Examples of moderate deviation principle for diffusion processes (2005) (47)
- Stability of nonlinear filters in nonmixing case (2003) (46)
- On the variation distance for probability measures defined on a filtered space (1986) (44)
- When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method (2014) (44)
- Some limit theorems for simple point processes (a martingale approach) (1980) (39)
- On the Rate of Convergence in the Central Limit Theorem for Semimartingales (1982) (36)
- Deviation probability bound for martingales with applications to statistical estimation (2000) (33)
- Limit non-stationary behavior of large closed queueing networks with bottlenecks (1993) (33)
- Diffusion Approximation in Past Dependent Models and Applications to Option Pricing (1991) (33)
- INTRINSIC METHODS IN FILTER STABILITY (2008) (31)
- Stochastic version of the averaging principle for diffusion type processes (1990) (27)
- When a Stochastic Exponential is a True Martingale. Extension of a Method of Bene^s (2011) (26)
- Weak and Strong Convergence of the Distributions of Counting Processes (1983) (26)
- On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales (1982) (26)
- On diffusion approximation with discontinuous coefficients (2002) (25)
- Moderate deviations for randomly perturbed dynamical systems (1999) (25)
- MODERATE DEVIATIONS TYPE EVALUATION FOR INTEGRAL FUNCTIONALS OF DIFFUSION PROCESSES (1999) (25)
- On a role of predictor in the filtering stability (2005) (21)
- On Necessary and Sufficient Conditions in the Functional Central Limit Theorem for Semimartingales (1981) (21)
- On the problem of "predictable" criteria of contiguity (1983) (21)
- Tracking of signal and its derivatives in Gaussian white noise (1997) (17)
- Conditionally Gaussian Sequences: Filtering and Related Problems (1978) (15)
- Freidlin-Wentzell type large deviations for smooth processes (2002) (15)
- Deterministic Approximation for Stochastic Control Problems (1996) (15)
- Asymptotic analysis and extinction in a stochastic Lotka-Volterra model (2001) (13)
- Diffusion Approximation of Systems with Arrival Depending on Queue, and with Arbitrary Servicing (1989) (13)
- Nonlinear filtering problem with contamination (1997) (13)
- On convergence in variation of the distributions of multivariate point processes (1983) (12)
- The Bogolubov Averaging Principle For Semimartingales (1992) (12)
- On absolute continuity of probability measures for markov-itô processes (1980) (11)
- Moderate Deviations for a Diffusion-Type Process in a Random Environment (2009) (11)
- Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands (2005) (11)
- On diffusion approximations for filtering (1991) (10)
- State-Dependent Benes Buffer Model with Fast Loading and Output Rates (1995) (10)
- Large Deviations for Past-Dependent Recursions (2006) (9)
- MDP for integral functionals of fast and slow processes with averaging (2003) (9)
- Large deviations for a simple closed queueing model (1993) (8)
- INSTRUCTIONAL CONFERENCE ON THE THEORY OF STOCHASTIC PROCESSES: Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures (1982) (8)
- On Existence of Limiting Distribution for Time-Nonhomogeneous Countable Markov Process (2004) (8)
- Likely path to extinction in simple branching models with large initial population (2006) (8)
- On Estimating a Dynamic Function of a Stochastic System with Averaging (2000) (7)
- The Euler-Maruyama approximations for the CEV model (2010) (7)
- Filtering of nonlinear stochastic feedback systems (2000) (7)
- Tail Distributions of Supremum and Quadratic Variation of Local Martingales (2005) (7)
- Some Results on the Lotka–Volterra Model and its Small Random Perturbations (2003) (7)
- WEAK CONVERGENCE OF A SEQUENCE OF SEMIMARTINGALES TO A PROCESS OF DIFFUSION TYPE (1984) (7)
- On the Representation of Local Martingales (1977) (6)
- Stochastic Calculus on Filtered Probability Spaces (1998) (6)
- Likely path to extinction for simple branching model (Large Deviations approach) (2005) (5)
- Non-Linear Interpolation of Components of Markov Diffusion Processes (Direct Equations, Effective Formulas) (1968) (5)
- On estimation of time dependent spatial signal in Gaussian white noise (2001) (5)
- On the Invariance Principle for Semi-Martingales: The “Nonclassical” Case (1984) (5)
- On-line Tracking of a Smooth Regression Function (2002) (5)
- Asymptotic Analysis of Ruin in the Constant Elasticity of Variance Model (2011) (5)
- Martingales and Limit Theorems for Stochastic Processes (1998) (5)
- Online Estimation of a Smooth Regression Function (2003) (5)
- An Example of Large Deviations for a Stationary Process (2000) (4)
- Large Deviations Analysis of Extinction in Branching Models (2008) (4)
- Robust diffusion approximation for nonlinear filtering (1998) (3)
- Minimal dimension linear filters for stationary Markov processes with finite state space (1991) (3)
- Application of filtering equations to problems of statistics of random sequences (1978) (3)
- Nonlinear filters for linear models (a robust approach) (1995) (3)
- On Estimation of Volatility Surface and Prediction of Future Spot Volatility (2006) (3)
- Threshold estimation in autoregressive models driven by colored noise (2011) (3)
- Gaussian Martingales and a Generalization of the Kalman-Bucy Filter (1976) (3)
- Large Deviations for Occupation Measures of Markov Processes: Discrete Time, Noncompact Case (1997) (3)
- Tracking volatility (stock markets) (2000) (3)
- On exponential stability of Wonham filter (2002) (2)
- Generalized Observations Control in Problems of Stochastical Optimization (1981) (2)
- The Freidlin-Wentzell LDP with rapidly growing coefficients (2006) (2)
- On Filtration and Prediction of Components in Diffusion Markov Processes (1967) (2)
- A SIMPLE ASYMPTOTICALLY OPTIMAL FILTER OVER AN INFINITE HORIZON (2001) (2)
- The Extrapolation of Multidimensional Markov Processes from Incomplete Data (1968) (2)
- From Disorder Detection to Optimal Stopping and Mathematical Finance (2010) (1)
- Essentials of probability theory and mathematical statistics (1977) (1)
- Moderate Deviations for Integral Functionals of Diffusion Process (1997) (1)
- FCLT and MDP for Stochastic Lotka–Volterra Model (2007) (1)
- Beneš condition for a discontinuous exponential martingale (2013) (1)
- Asymptotic analysis of ruin in CEV model (2005) (1)
- Nonnegative supermartingales and martingales, and the Girsanov theorem (1977) (1)
- Asymptotically Optimal Filtering (2001) (1)
- FILTERING WITH A LIMITER (IMPROVED PERFORMANCE) (1998) (1)
- MODERATE DEVIATIONS FOR DYNAMIC MODEL GOVERNED BY STATIONARY PROCESS (2000) (1)
- On a recurrence method for computing normal solutions of linear algebraic equations (1972) (1)
- EXAMPLE OF LARGE DEVIATIONS FOR STATIONARY PROCESSO (1999) (1)
- The control of a wiener process with incomplete data (1965) (1)
- Linear estimation of random processes (1978) (1)
- A Bayesian Problem of Sequential Search in Diffusion Approximation (1965) (1)
- Martingales and Related Processes: Discrete Time (2001) (0)
- Cramer's theorem for nonnegative summands (2005) (0)
- Diffusion Approximation for Semimartingales with a Normal Reflection in a Convex Region (1989) (0)
- Tracking of Historical Volatility (2004) (0)
- On di!usion approximation with discontinuous coe$cients (2002) (0)
- Parameter Estimation and Testing of Statistical Hypotheses for Diffusion-Type Processes (1978) (0)
- Cramer’s Theorem for Nonnegative Multivariate Point Processes with Independent Increments (2005) (0)
- General equations of optimal nonlinear filtering, interpolation and extrapolation of partially observable random processes (1977) (0)
- Invariance Principle and Diffusion Approximation for Models Generated by Stationary Processes (1989) (0)
- Bene$\check{\bf S}$ condition for discontinuous exponential martingale (2009) (0)
- Semimartingales. II. Canonical Representation (1989) (0)
- The Space D. Relative Compactness of Probability Distributions of Semimartingales (1989) (0)
- Extrapolation and filtration of some Markov processes. II (1968) (0)
- Ruin Analysis in Constant Elasticity of Variance Model with large initial funds (2005) (0)
- Weak Convergence of Distributions of Semimartingales to the Distribution of a Semimartingale (1989) (0)
- Conditionally Gaussian Processes (2001) (0)
- NONLINEAR FILTERING PROBLEM WITH CONTAMINATION 1 (2002) (0)
- Absolute Continuity of Measures corresponding to the Itô Processes and Processes of the Diffusion Type (1977) (0)
- Robust diusion approximation for nonlinear ltering (1997) (0)
- Random Measures and their Compensators (1989) (0)
- What is always stable in nonlinear filtering (2005) (0)
- Moderate deviation principle for exponentially ergodic Markov chain (2004) (0)
- Ruin Analysis and LDP for CEV model (2005) (0)
- Martingales and semimartingales: discrete time (1977) (0)
- Square integrable martingales, and structure of the functionals on a Wiener process (2001) (0)
- Optimal Filtering, Interpolation and Extrapolation of Markov Processes with a Countable Number of States (1977) (0)
- Optimal Linear Nonstationary Filtering (2001) (0)
- Preface: Celebrating Albert Shiryaev's 75th Anniversary (2010) (0)
- The Structure of Local Martingales, Absolute Continuity of Measures for Point Processes, and Filtering (2001) (0)
- Filtering with a limiter (1998) (0)
- Optimal nonlinear filtering: interpolation and extrapolation of components of conditionally Gaussian processes (2001) (0)
- Random Point Processes: Stieltjes Stochastic Integrals (2001) (0)
- The computing of pseudo-inverse matrices☆ (1975) (0)
- Examples of FCLT in Random Environment (2009) (0)
- Beneš condition for a discontinuous exponential martingale (2013) (0)
- A Comparison of Linear and Nonlinear Filtration of Some Markov Processes (1966) (0)
- State-dependent buffer model with large loading and output rates (1994) (0)
- Basic Concepts and the Review of Results of «The General Theory of Stochastic Processes» (1989) (0)
- The Girsanov exponential martingale (2009) (0)
- An example of large deviations for a stationary process@@@An example of large deviations for a stationary process (1999) (0)
- Semimartingales. I. Stochastic Integral (1989) (0)
- Martingales and Related Processes: Continuous Time (2001) (0)
- Addendum: A Comparison of Linear and Nonlinear Filtration of Some Markov Processes (1968) (0)
- Large Deviations Application to Billingsley's Example (2009) (0)
- Filtering volatility from data observed at random time intervals(The 7th Workshop on Stochastic Numerics) (2005) (0)
- Weak Convergence of Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments (1989) (0)
- Large deviations for a scalar diffusion in random environment (2006) (0)
- Markovianity of a subset of components of a Markov process (2002) (0)
- Application of optimal nonlinear filtering equations to some problems in control theory and information theory (1978) (0)
- STABILITY OF NONLINEAR FILTERS IN NONMIXING CASE BY PAVEL CHIGANSKY (2004) (0)
- The Wiener Process, the Stochastic Integral over the Wiener Process, and Stochastic Differential Equations (2001) (0)
- Martingales and semimartingales: continuous time (1977) (0)
- Weak Convergence of Finite-Dimensional Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments (1989) (0)
- LDP application for Billingsley's example (2009) (0)
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