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Author ID: liptser.robert-sh Recent zbMATH articles by "Liptser, Robert"
Published as: Liptser, R. Sh.; Liptser, R.; Liptser, Robert; Liptser, R. S.; Liptser, Robert Sh.; Lipster, Robert Sh.; Liptser, Robert S.; Lipster, Robert; Lipster, R.
Further Spellings: Liptser, Robert Shevilevich; רוברט ליפצר; Липцер Роберт Шевилевич
Homepage: https://www.eng.tau.ac.il/~liptser/
External Links: MGP · Wikidata · Math-Net.Ru · dblp · GND · IdRef
Documents Indexed: 151 Publications since 1965, including 8 Books
2 Contributions as Editor
Biographic References: 3 Publications
Co-Authors: 55 Co-Authors with 132 Joint Publications
1,393 Co-Co-Authors
all top 5

Serials

19 Theory of Probability and its Applications
10 Teoriya Veroyatnosteĭ i eë Primeneniya
7 Automation and Remote Control
7 Stochastic Processes and their Applications
6 Matematicheskiĭ Sbornik. Novaya Seriya
6 The Annals of Applied Probability
6 Mathematics of the USSR, Sbornik
4 Journal of Applied Mathematics and Stochastic Analysis
4 Applications of Mathematics
3 Problems of Information Transmission
3 Kibernetika
3 SIAM Journal on Control and Optimization
3 Queueing Systems
3 Stochastics and Stochastics Reports
2 Stochastics
2 Zhurnal Vychislitel’noĭ Matematiki i Matematicheskoĭ Fiziki
2 Mathematics of the USSR. Izvestiya
2 Soviet Mathematics. Doklady
2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
2 Acta Applicandae Mathematicae
2 Probability Theory and Related Fields
2 Sequential Analysis
2 Problemy Peredachi Informatsii
2 U.S.S.R. Computational Mathematics and Mathematical Physics
2 Journal of Mathematical Systems, Estimation, and Control
2 Statistical Inference for Stochastic Processes
2 Discrete and Continuous Dynamical Systems. Series B
1 Analysis Mathematica
1 IEEE Transactions on Information Theory
1 Russian Mathematical Surveys
1 Uspekhi Matematicheskikh Nauk [N. S.]
1 Avtomatika i Telemekhanika
1 Systems & Control Letters
1 Statistics & Probability Letters
1 Doklady Bolgarskoĭ Akademii Nauk
1 Izvestiya Akademii Nauk SSSR. Seriya Matematicheskaya
1 Journal of Mathematical Sciences (New York)
1 Applied Mathematical Finance
1 Electronic Journal of Probability
1 Electronic Communications in Probability
1 Mathematical Population Studies
1 Markov Processes and Related Fields
1 Itogi Nauki i Tekhniki. Seriya Sovremennye Problemy Matematiki. Fundamental’nye Napravleniya
1 Mathematics and Its Applications. Soviet Series
1 Proceedings of the Steklov Institute of Mathematics

Publications by Year

Citations contained in zbMATH Open

115 Publications have been cited 1,657 times in 1,434 Documents Cited by Year
Statistics of random processes. I. General theory. Translated by A. B. Aries. Zbl 0364.60004
Liptser, R. S.; Shiryayev, A. N.
363
1977
Theory of martingales. Transl. from the Russian by K. Dzjaparidze. Zbl 0728.60048
Liptser, R. Sh.; Shiryayev, A. N.
184
1989
Statistics of random processes. II. Applications. Translated by A. B. Aries. Zbl 0369.60001
Liptser, R. S.; Shiryayev, A. N.
140
1978
A strong law of large numbers for local martingales. Zbl 0435.60037
Liptser, R. Sh.
128
1980
Statistics of random processes. Nonlinear filtration and related questions. (Statystyka procesów stochastycznych. Filtracja nieliniowa i zagadnienia pokrewne). Transl. from the Russian by Wojciech Herer. Zbl 0556.60003
Liptser, R. Sh.; Shiryaev, A. N.
69
1981
Statistics of random processes. 1: General theory. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62072
Liptser, Robert S.; Shiryaev, Albert N.
62
2001
Statistics of random processes. 2: Applications. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62073
Liptser, Robert S.; Shiryaev, Albert N.
55
2001
Martingale theory. (Teoriya martingalov). Zbl 0654.60035
Liptser, R. Sh.; Shiryaev, A. N.
39
1986
On the question of absolute continuity and singularity of probability measures. Zbl 0398.60044
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
29
1977
Examples of moderate deviation principle for diffusion processes. Zbl 1138.60029
Guillin, A.; Liptser, R.
27
2006
Asymptotic stability of the Wonham filter: Ergodic and nonergodic signals. Zbl 1101.93074
Baxendale, Peter; Chigansky, Pavel; Liptser, Robert
26
2004
Limit theorems on large deviations for semimartingales. Zbl 0749.60027
Liptser, Robert Sh.; Pukhalskii, Anatolii A.
23
1992
Large deviations for two scaled diffusions. Zbl 0855.60030
Liptser, Robert
23
1996
On contiguity of probability measures corresponding to semimartingales. Zbl 0591.60039
Liptser, R. S.; Shiryaev, A. N.
23
1985
On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales. Zbl 0482.60030
Liptser, R. Sh.; Shiryaev, A. N.
22
1982
A filtering approach to tracking volatility from prices observed at random times. Zbl 1108.62108
Cvitanić, Jakša; Liptser, Robert; Rozovskii, Boris
19
2006
A functional central limit theorem for semimartingales. Zbl 0471.60038
Liptser, R. Sh.; Shiryaev, A. N.
18
1981
A functional central limit theorem for semimartingales. Zbl 0454.60032
Liptser, R. Sh.; Shiryaev, A. N.
18
1980
Absolute continuity and singularity of locally absolutely continuous probability distributions. I. Zbl 0426.60039
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
15
1979
Deviation probability bound for martingales with applications to statistical estimation. Zbl 0953.62080
Liptser, R.; Spokoiny, V.
14
2000
Stability of nonlinear filters in nonmixing case. Zbl 1065.93034
Chigansky, Pavel; Liptser, Robert
14
2004
Conditional Gaussian random processes. Zbl 0318.60032
Liptser, R. Sh.
13
1974
When a stochastic exponential is a true martingale. Extension of the Beneš method. Zbl 1328.60111
Klebaner, F.; Liptser, R.
12
2014
Some limit theorems for simple point processes (a martingale approach). Zbl 0441.60045
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
12
1980
Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes. Zbl 0416.60062
Kabanov, Yu.; Liptser, R.; Shiryaev, A. N.
11
1978
On the variation distance for probability measures defined on a filtered space. Zbl 0554.60006
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
10
1986
Moderate deviations for randomly perturbed dynamical systems. Zbl 0961.60042
Klebaner, F. C.; Liptser, R.
10
1999
Stochastic calculus. Zbl 0879.60047
Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N.
8
1989
Intrinsic methods in filter stability. Zbl 1223.93108
Chigansky, P.; Liptser, R.; van Handel, R.
8
2011
Absolute Stetigkeit und Singularität lokal abolut stetiger Wahrscheinlichkeitsverteilungen. I. Zbl 0402.60039
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
8
1978
Stochastic version of the averaging principle for diffusion type processes. Zbl 0729.60047
Liptser, Robert; Stoyanov, Jordan
8
1990
Diffusion approximation in past dependent models and applications to option pricing. Zbl 0734.60035
Kind, Paolo; Liptser, Robert Sh.; Runggaldier, Wolfgang J.
8
1991
Limit non-stationary behavior of large closed queueing networks with bottlenecks. Zbl 0780.60087
Kogan, Yaakov; Liptser, Robert Sh.
7
1993
On the absolute continuity of measures corresponding to processes of diffusion type relative to a Wiener measure. Zbl 0267.60079
Liptser, R. Sh.; Shiryaev, A. N.
7
1973
Statistik von Zufallsprozessen. Nichtlineare Filtration und angrenzende Fragen. (Statistika sluchajnykh processov. Nelinejnaya fil’tratsiya i smezhnye voprosi.). Zbl 0279.60021
Liptser, R. Sh.; Shiryaev, A. N.
7
1974
Statistics of conditionally Gaussian random sequences. Zbl 0292.60060
Liptser, R. Sh.; Shiryayev, A. N.
7
1972
On convergence in variation of the distributions of multivariate point processes. Zbl 0532.60042
Kabanov, Yu. M.; Liptser, R. Sh.
7
1983
Weak and strong convergence of the distributions of counting processes. Zbl 0533.60055
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
7
1984
Gaussian diffusion approximation of closed Markov models of computer networks. Zbl 0619.60043
Kogan, Ya. A.; Liptser, R. Sh.; Smorodinskij, A. V.
6
1986
On diffusion approximation with discountinuous coefficients. Zbl 1075.60558
Krylov, N. V.; Liptser, R.
6
2002
Tracking of signals and its derivatives in Gaussian white noise. Zbl 0911.60041
Chow, P.-L.; Khasminskii, R.; Liptser, R.
6
1997
Moderate deviations type evaluation for integral functionals of diffusion processes. Zbl 0932.60030
Liptser, R.; Spokoiny, V.
6
1999
Large deviations for past-dependent recursions. Zbl 1037.60500
Klebaner, F. K.; Liptser, R. Sh.
6
1996
On necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures. Zbl 0509.60038
Liptser, R. Sh.; Pukelsheim, F.; Shiryaev, A. N.
6
1982
Necessary and sufficient conditions for the functional central limit theorem for semimartingales. Zbl 0458.60017
Liptser, R. Sh.; Shiryaev, A. N.
6
1981
Asymptotic analysis and extinction in a stochastic Lotka-Volterra model. Zbl 1015.92044
Klebaner, F. C.; Liptser, R.
6
2001
Stochastic calculus. Zbl 0714.60037
Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N.
6
1989
On the problem of ”predictable” criteria of contiguity. Zbl 0544.60044
Liptser, R.; Shiryayev, A. N.
5
1983
On estimating a dynamic function of a stochastic system with averaging. Zbl 0982.62070
Liptser, R.; Spokoiny, V.
5
2000
On a role of predictor in the filtering stability. Zbl 1111.60022
Chigansky, Pavel; Liptser, Robert
5
2006
Absolute continuity and singularity of locally absolutely continuous probability distributions. II. Zbl 0448.60028
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
5
1980
On existence of limiting distribution for time-nonhomogeneous countable Markov process. Zbl 1061.90026
Abramov, V.; Liptser, R.
4
2004
Nonlinear filtering problem with contamination. Zbl 0895.60045
Kleptsina, M. L.; Liptser, R. Sh.; Serebrovski, A. P.
4
1997
Weak and strong convergence of distributions of counting processes. Zbl 0516.60056
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
4
1983
Likely path to extinction in simple branching models with large initial population. Zbl 1115.60078
Klebaner, F. C.; Liptser, R.
4
2006
Diffusional approximation for processes with the normal reflection. Zbl 0735.60078
Anulova, S. V.; Liptser, R. Sh.
3
1990
Deterministic approximation for stochastic control problems. Zbl 0867.93085
Liptser, R. Sh.; Runggaldier, W. J.; Taksar, M.
3
1996
Estimates of proximity in variation of probability measures. Zbl 0586.60035
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
3
1984
Diffusion approximation of systems with arrival depending on queue, and with arbitrary servicing. Zbl 0668.60081
Krichagina, E. V.; Liptser, R. Sh.; Pukhal’skij, A. A.
3
1988
Diffusion approximation and optimal stochastic control. Zbl 0974.60066
Liptser, R.; Runggaldier, W. J.; Taksar, M.
3
1999
Large deviations for non diffusion process. Zbl 0938.60024
Lipster, R.
3
1997
Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures. Zbl 0519.60040
Liptser, R. Sh.; Pukelsheim, F.; Shiryaev, A. N.
3
1982
Asymptotic analysis of ruin in the constant elasticity of variance model. Zbl 1223.91041
Klebaner, F.; Liptser, R.
3
2011
On the rate of convergence in the central limit theorem for semimartingales. Zbl 0489.60052
Liptser, R. Sh.; Shiryaev, A. N.
3
1982
On the rate of convergence in the central limit theorem for semimartingales. Zbl 0499.60040
Liptser, R. Sh.; Shiryaev, A. N.
3
1982
Large deviation for martingales with independent and homogeneous increments. Zbl 0733.60044
Liptser, R. S.; Shiryaev, A. N.
3
1990
Minimal dimension linear filters for stationary Markov processes with finite state space. Zbl 0746.60042
Di Masi, G. B.; Kitsul, P.; Liptser, R. S.
2
1991
The Bogolyubov averaging principle for semimartingales. Zbl 0856.60044
Liptser, R. Sh.
2
1993
Filtering of nonlinear stochastic feedback systems. Zbl 1009.93079
Carravetta, F.; Germani, A.; Liptser, R.; Manes, C.
2
2002
The extrapolation of multidimensional Markov processes from incomplete data. Zbl 0245.60038
Liptser, R. Sh.; Shiryaev, A. N.
2
1968
Zur Frage über die absolute Stetigkeit und die Singularität von Wahrscheinlichkeitsmaßen. Zbl 0375.60048
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1977
State-dependent Beneš buffer model with fast loading and output rates. Zbl 0823.60087
Kogan, Y.; Liptser, R.; Shenfild, M.
2
1995
Moderate deviation principle for ergodic Markov chain. Lipschitz summands. Zbl 1103.60027
Delyon, Bernard; Judisty, Anatoly; Liptser, Robert
2
2006
Tail distributions of supremum and quadratic variation of local martingales. Zbl 1110.60044
Liptser, Robert; Novikov, Alexander
2
2006
Tracking volatility. Zbl 1201.91227
Goldentayer, L.; Klebaner, F.; Liptser, R. Sh.
2
2005
Freidlin-Wentzell type large deviations for smooth processes. Zbl 1022.60076
Liptser, R.; Spokoiny, V.; Veretennikov, A. Yu.
2
2002
Large deviations for occupation measures of Markov processes: Discrete time, noncompact case. Zbl 0888.60026
Liptser, R.
2
1996
On the invariance principle for semi-martingales: The ”nonclassical” case. Zbl 0529.60030
Liptser, R. Sh.; Shiryaev, A. N.
2
1984
The Euler-Maruyama approximations for the CEV model. Zbl 1230.65005
Abramov, Vyacheslav M.; Klebaner, Fima C.; Lipster, Robert Sh.
2
2011
On necessary and sufficient conditions in the functional central limit theorem for semimartingales. Zbl 0473.60031
Liptser, R. Sh.; Shiryaev, A. N.
2
1981
On weak convergence of semimartingales to stochastically continuous processes with independent and conditionally independent increments. Zbl 0484.60024
Liptser, R. Sh.; Shiryaev, A. N.
2
1981
On absolute continuity of probability measures for Markov-Itô processes. Zbl 0498.60043
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1980
Moderate deviations for a diffusion-type process in a random environment. Zbl 1197.60094
Chigansky, P.; Liptser, R.
2
2009
Robust Kalman filter in discrete time. Zbl 0417.93070
Ershov, A. A.; Liptser, R. Sh.
2
1978
Absolute Stetigkeit und Singularität lokal absolut stetiger Wahrscheinlichkeitsverteilungen. II. Zbl 0427.60037
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1979
Nonlinear filtering of Markov diffusion processes. Zbl 0225.62119
Liptser, R. Sh.; Shiryaev, A. N.
2
1968
Diffusion approximation for processes with normal reflection. Zbl 0713.60081
Anulova, S. V.; Liptser, R. Sh.
2
1990
Large deviations analysis of extinction in branching models. Zbl 1144.60050
Klebaner, Fima C.; Liptser, Robert
2
2008
Some results on the Lotka–Volterra model and its small random perturbations. Zbl 1044.34015
Khaminskii, R. Z.; Klebaner, F. C.; Liptser, R.
2
2003
On the representation of integral-valued random measures and local martingales by means of random measures with deterministic compensators. Zbl 0462.60054
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1981
On estimation of time dependent spatial signal in Gaussian white noise. Zbl 1058.62067
Chow, P.-L.; Khasminskii, R.; Liptser, R.
1
2001
On weak convergence of semimartingales to stochastically continuous processes with independent and conditionally independent increments. Zbl 0505.60035
Liptser, R. Sh.; Shiryaev, A. N.
1
1983
Diffusion approximation for queue with interarrival sequence depending on queue and with arbitrary service. Zbl 0637.60101
Krichagina, E. V.; Liptser, R. Sh.; Pukhal’skij, A. A.
1
1988
Large deviations for unbounded additive functionals of a Markov process with discrete time (noncompact case). Zbl 0819.60030
Gulinsky, O. V.; Liptser, R. S.; Lototsky, S. V.
1
1994
Nonlinear filters for linear models (a robust approach). Zbl 0837.93071
Lipster, Robert Sh.; Runggaldier, Wolfgang J.
1
1995
Gaussian diffusion approximation of closed Markov models for communication networks of electronic computers. Zbl 0594.60043
Kogan, Ya. A.; Liptser, R. Sh.; Smorodinskij, A. V.
1
1986
On a functional limit theorem for finite state space Markov processes. Zbl 0598.60036
Liptser, R. Sh.
1
1985
Kalman filter for Markov processes. Zbl 0569.60046
Krichagina, N. V.; Liptser, R. Sh.; Rubinovich, E. Ya.
1
1985
Large deviations for a simple closed queueing model. Zbl 0787.60114
Liptser, Robert Sh.
1
1993
On the density of probability measures of diffusion-type processes. Zbl 0265.60077
Liptser, R. Sh.; Shiryaev, A. N.
1
1971
When a stochastic exponential is a true martingale. Extension of the Beneš method. Zbl 1328.60111
Klebaner, F.; Liptser, R.
12
2014
Intrinsic methods in filter stability. Zbl 1223.93108
Chigansky, P.; Liptser, R.; van Handel, R.
8
2011
Asymptotic analysis of ruin in the constant elasticity of variance model. Zbl 1223.91041
Klebaner, F.; Liptser, R.
3
2011
The Euler-Maruyama approximations for the CEV model. Zbl 1230.65005
Abramov, Vyacheslav M.; Klebaner, Fima C.; Lipster, Robert Sh.
2
2011
Moderate deviations for a diffusion-type process in a random environment. Zbl 1197.60094
Chigansky, P.; Liptser, R.
2
2009
Large deviations analysis of extinction in branching models. Zbl 1144.60050
Klebaner, Fima C.; Liptser, Robert
2
2008
FCLT and MDP for stochastic Lotka-Volterra model. Zbl 1116.92068
Klebaner, F. C.; Lim, A.; Liptser, R.
1
2007
Examples of moderate deviation principle for diffusion processes. Zbl 1138.60029
Guillin, A.; Liptser, R.
27
2006
A filtering approach to tracking volatility from prices observed at random times. Zbl 1108.62108
Cvitanić, Jakša; Liptser, Robert; Rozovskii, Boris
19
2006
On a role of predictor in the filtering stability. Zbl 1111.60022
Chigansky, Pavel; Liptser, Robert
5
2006
Likely path to extinction in simple branching models with large initial population. Zbl 1115.60078
Klebaner, F. C.; Liptser, R.
4
2006
Moderate deviation principle for ergodic Markov chain. Lipschitz summands. Zbl 1103.60027
Delyon, Bernard; Judisty, Anatoly; Liptser, Robert
2
2006
Tail distributions of supremum and quadratic variation of local martingales. Zbl 1110.60044
Liptser, Robert; Novikov, Alexander
2
2006
On-line tracking of a smooth regression function. Zbl 1118.62096
Goldentayer, Lev; Liptser, Robert
1
2006
On estimation of volatility surface and prediction of future spot volatility. Zbl 1143.91337
Klebaner, Fima; Le, Truc; Liptser, Robert
1
2006
Tracking volatility. Zbl 1201.91227
Goldentayer, L.; Klebaner, F.; Liptser, R. Sh.
2
2005
Asymptotic stability of the Wonham filter: Ergodic and nonergodic signals. Zbl 1101.93074
Baxendale, Peter; Chigansky, Pavel; Liptser, Robert
26
2004
Stability of nonlinear filters in nonmixing case. Zbl 1065.93034
Chigansky, Pavel; Liptser, Robert
14
2004
On existence of limiting distribution for time-nonhomogeneous countable Markov process. Zbl 1061.90026
Abramov, V.; Liptser, R.
4
2004
Some results on the Lotka–Volterra model and its small random perturbations. Zbl 1044.34015
Khaminskii, R. Z.; Klebaner, F. C.; Liptser, R.
2
2003
On diffusion approximation with discountinuous coefficients. Zbl 1075.60558
Krylov, N. V.; Liptser, R.
6
2002
Filtering of nonlinear stochastic feedback systems. Zbl 1009.93079
Carravetta, F.; Germani, A.; Liptser, R.; Manes, C.
2
2002
Freidlin-Wentzell type large deviations for smooth processes. Zbl 1022.60076
Liptser, R.; Spokoiny, V.; Veretennikov, A. Yu.
2
2002
Online estimation of a smooth regression function. Zbl 1051.62037
Khasminskij, R.; Liptser, R.
1
2002
Statistics of random processes. 1: General theory. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62072
Liptser, Robert S.; Shiryaev, Albert N.
62
2001
Statistics of random processes. 2: Applications. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62073
Liptser, Robert S.; Shiryaev, Albert N.
55
2001
Asymptotic analysis and extinction in a stochastic Lotka-Volterra model. Zbl 1015.92044
Klebaner, F. C.; Liptser, R.
6
2001
On estimation of time dependent spatial signal in Gaussian white noise. Zbl 1058.62067
Chow, P.-L.; Khasminskii, R.; Liptser, R.
1
2001
Deviation probability bound for martingales with applications to statistical estimation. Zbl 0953.62080
Liptser, R.; Spokoiny, V.
14
2000
On estimating a dynamic function of a stochastic system with averaging. Zbl 0982.62070
Liptser, R.; Spokoiny, V.
5
2000
Moderate deviations for dynamic model governed by stationary process. Zbl 0972.60008
Liptser, Robert
1
2000
Moderate deviations for randomly perturbed dynamical systems. Zbl 0961.60042
Klebaner, F. C.; Liptser, R.
10
1999
Moderate deviations type evaluation for integral functionals of diffusion processes. Zbl 0932.60030
Liptser, R.; Spokoiny, V.
6
1999
Diffusion approximation and optimal stochastic control. Zbl 0974.60066
Liptser, R.; Runggaldier, W. J.; Taksar, M.
3
1999
Tracking of signals and its derivatives in Gaussian white noise. Zbl 0911.60041
Chow, P.-L.; Khasminskii, R.; Liptser, R.
6
1997
Nonlinear filtering problem with contamination. Zbl 0895.60045
Kleptsina, M. L.; Liptser, R. Sh.; Serebrovski, A. P.
4
1997
Large deviations for non diffusion process. Zbl 0938.60024
Lipster, R.
3
1997
Large deviations for two scaled diffusions. Zbl 0855.60030
Liptser, Robert
23
1996
Large deviations for past-dependent recursions. Zbl 1037.60500
Klebaner, F. K.; Liptser, R. Sh.
6
1996
Deterministic approximation for stochastic control problems. Zbl 0867.93085
Liptser, R. Sh.; Runggaldier, W. J.; Taksar, M.
3
1996
Large deviations for occupation measures of Markov processes: Discrete time, noncompact case. Zbl 0888.60026
Liptser, R.
2
1996
State-dependent Beneš buffer model with fast loading and output rates. Zbl 0823.60087
Kogan, Y.; Liptser, R.; Shenfild, M.
2
1995
Nonlinear filters for linear models (a robust approach). Zbl 0837.93071
Lipster, Robert Sh.; Runggaldier, Wolfgang J.
1
1995
Large deviations for unbounded additive functionals of a Markov process with discrete time (noncompact case). Zbl 0819.60030
Gulinsky, O. V.; Liptser, R. S.; Lototsky, S. V.
1
1994
Limit non-stationary behavior of large closed queueing networks with bottlenecks. Zbl 0780.60087
Kogan, Yaakov; Liptser, Robert Sh.
7
1993
The Bogolyubov averaging principle for semimartingales. Zbl 0856.60044
Liptser, R. Sh.
2
1993
Large deviations for a simple closed queueing model. Zbl 0787.60114
Liptser, Robert Sh.
1
1993
Limit theorems on large deviations for semimartingales. Zbl 0749.60027
Liptser, Robert Sh.; Pukhalskii, Anatolii A.
23
1992
Diffusion approximation in past dependent models and applications to option pricing. Zbl 0734.60035
Kind, Paolo; Liptser, Robert Sh.; Runggaldier, Wolfgang J.
8
1991
Minimal dimension linear filters for stationary Markov processes with finite state space. Zbl 0746.60042
Di Masi, G. B.; Kitsul, P.; Liptser, R. S.
2
1991
On diffusion approximations for filtering. Zbl 0732.60054
Liptser, Robert Sh.; Runggaldier, Wolfgang J.
1
1991
Stochastic version of the averaging principle for diffusion type processes. Zbl 0729.60047
Liptser, Robert; Stoyanov, Jordan
8
1990
Diffusional approximation for processes with the normal reflection. Zbl 0735.60078
Anulova, S. V.; Liptser, R. Sh.
3
1990
Large deviation for martingales with independent and homogeneous increments. Zbl 0733.60044
Liptser, R. S.; Shiryaev, A. N.
3
1990
Diffusion approximation for processes with normal reflection. Zbl 0713.60081
Anulova, S. V.; Liptser, R. Sh.
2
1990
Theory of martingales. Transl. from the Russian by K. Dzjaparidze. Zbl 0728.60048
Liptser, R. Sh.; Shiryayev, A. N.
184
1989
Stochastic calculus. Zbl 0879.60047
Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N.
8
1989
Stochastic calculus. Zbl 0714.60037
Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N.
6
1989
Diffusion approximation of systems with arrival depending on queue, and with arbitrary servicing. Zbl 0668.60081
Krichagina, E. V.; Liptser, R. Sh.; Pukhal’skij, A. A.
3
1988
Diffusion approximation for queue with interarrival sequence depending on queue and with arbitrary service. Zbl 0637.60101
Krichagina, E. V.; Liptser, R. Sh.; Pukhal’skij, A. A.
1
1988
Martingale theory. (Teoriya martingalov). Zbl 0654.60035
Liptser, R. Sh.; Shiryaev, A. N.
39
1986
On the variation distance for probability measures defined on a filtered space. Zbl 0554.60006
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
10
1986
Gaussian diffusion approximation of closed Markov models of computer networks. Zbl 0619.60043
Kogan, Ya. A.; Liptser, R. Sh.; Smorodinskij, A. V.
6
1986
Gaussian diffusion approximation of closed Markov models for communication networks of electronic computers. Zbl 0594.60043
Kogan, Ya. A.; Liptser, R. Sh.; Smorodinskij, A. V.
1
1986
On contiguity of probability measures corresponding to semimartingales. Zbl 0591.60039
Liptser, R. S.; Shiryaev, A. N.
23
1985
On a functional limit theorem for finite state space Markov processes. Zbl 0598.60036
Liptser, R. Sh.
1
1985
Kalman filter for Markov processes. Zbl 0569.60046
Krichagina, N. V.; Liptser, R. Sh.; Rubinovich, E. Ya.
1
1985
Weak and strong convergence of the distributions of counting processes. Zbl 0533.60055
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
7
1984
Estimates of proximity in variation of probability measures. Zbl 0586.60035
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
3
1984
On the invariance principle for semi-martingales: The ”nonclassical” case. Zbl 0529.60030
Liptser, R. Sh.; Shiryaev, A. N.
2
1984
On convergence in variation of the distributions of multivariate point processes. Zbl 0532.60042
Kabanov, Yu. M.; Liptser, R. Sh.
7
1983
On the problem of ”predictable” criteria of contiguity. Zbl 0544.60044
Liptser, R.; Shiryayev, A. N.
5
1983
Weak and strong convergence of distributions of counting processes. Zbl 0516.60056
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
4
1983
On weak convergence of semimartingales to stochastically continuous processes with independent and conditionally independent increments. Zbl 0505.60035
Liptser, R. Sh.; Shiryaev, A. N.
1
1983
On the invariance principle for semimartingales under ”nonclassical assumptions”. Zbl 0518.60041
Liptser, R. Sh.; Shiryaev, A. N.
1
1983
Weak convergence of a sequence of semimartingales to a diffusion type process. Zbl 0521.60034
Liptser, R. Sh.; Shiryaev, A. N.
1
1983
On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales. Zbl 0482.60030
Liptser, R. Sh.; Shiryaev, A. N.
22
1982
On necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures. Zbl 0509.60038
Liptser, R. Sh.; Pukelsheim, F.; Shiryaev, A. N.
6
1982
Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures. Zbl 0519.60040
Liptser, R. Sh.; Pukelsheim, F.; Shiryaev, A. N.
3
1982
On the rate of convergence in the central limit theorem for semimartingales. Zbl 0489.60052
Liptser, R. Sh.; Shiryaev, A. N.
3
1982
On the rate of convergence in the central limit theorem for semimartingales. Zbl 0499.60040
Liptser, R. Sh.; Shiryaev, A. N.
3
1982
Statistics of random processes. Nonlinear filtration and related questions. (Statystyka procesów stochastycznych. Filtracja nieliniowa i zagadnienia pokrewne). Transl. from the Russian by Wojciech Herer. Zbl 0556.60003
Liptser, R. Sh.; Shiryaev, A. N.
69
1981
A functional central limit theorem for semimartingales. Zbl 0471.60038
Liptser, R. Sh.; Shiryaev, A. N.
18
1981
Necessary and sufficient conditions for the functional central limit theorem for semimartingales. Zbl 0458.60017
Liptser, R. Sh.; Shiryaev, A. N.
6
1981
On necessary and sufficient conditions in the functional central limit theorem for semimartingales. Zbl 0473.60031
Liptser, R. Sh.; Shiryaev, A. N.
2
1981
On weak convergence of semimartingales to stochastically continuous processes with independent and conditionally independent increments. Zbl 0484.60024
Liptser, R. Sh.; Shiryaev, A. N.
2
1981
On the representation of integral-valued random measures and local martingales by means of random measures with deterministic compensators. Zbl 0462.60054
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1981
A strong law of large numbers for local martingales. Zbl 0435.60037
Liptser, R. Sh.
128
1980
A functional central limit theorem for semimartingales. Zbl 0454.60032
Liptser, R. Sh.; Shiryaev, A. N.
18
1980
Some limit theorems for simple point processes (a martingale approach). Zbl 0441.60045
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
12
1980
Absolute continuity and singularity of locally absolutely continuous probability distributions. II. Zbl 0448.60028
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
5
1980
On absolute continuity of probability measures for Markov-Itô processes. Zbl 0498.60043
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1980
Absolute continuity and singularity of locally absolutely continuous probability distributions. I. Zbl 0426.60039
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
15
1979
Absolute Stetigkeit und Singularität lokal absolut stetiger Wahrscheinlichkeitsverteilungen. II. Zbl 0427.60037
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
2
1979
Statistics of random processes. II. Applications. Translated by A. B. Aries. Zbl 0369.60001
Liptser, R. S.; Shiryayev, A. N.
140
1978
Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes. Zbl 0416.60062
Kabanov, Yu.; Liptser, R.; Shiryaev, A. N.
11
1978
Absolute Stetigkeit und Singularität lokal abolut stetiger Wahrscheinlichkeitsverteilungen. I. Zbl 0402.60039
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
8
1978
Robust Kalman filter in discrete time. Zbl 0417.93070
Ershov, A. A.; Liptser, R. Sh.
2
1978
Statistics of random processes. I. General theory. Translated by A. B. Aries. Zbl 0364.60004
Liptser, R. S.; Shiryayev, A. N.
363
1977
On the question of absolute continuity and singularity of probability measures. Zbl 0398.60044
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
29
1977
...and 15 more Documents
all top 5

Cited by 1,619 Authors

28 Mao, Xuerong
25 Liptser, Robert
20 Kutoyants, Yury A.
14 Kleptsyna, Marina L.
13 Jiang, Daqing
13 Le Breton, Alain
12 Runggaldier, Wolfgang J.
11 Liu, Meng
10 Jiang, Hui
10 Klebaner, Fima C.
10 Rodkina, Alexandra
9 Borkar, Vivek Shripad
9 Puhalskii, Anatolii A.
9 Thavaneswaran, Aerambamoorthy
9 van Handel, Ramon
9 Wang, Guangchen
9 Wang, Ke
9 Wu, Fuke
9 Wu, Zhen
9 Yuan, Chenggui
8 Basin, Michael V.
8 Chigansky, Pavel
8 Elliott, Robert James
8 Hayat, Tasawar
8 Karatzas, Ioannis
8 Korolyuk, Volodymyr Semenovych
8 Pap, Gyula
8 Shiryaev, Al’bert Nikolaevich
8 Yin, George Gang
7 Zhang, Xinhong
6 Bishwal, Jaya P. N.
6 Chen, Nan
6 Di Masi, Giovanni B.
6 Gapeev, Pavel V.
6 Grigelionis, Bronius I.
6 Kolmanovskii, Vladimir Borisovich
6 Li, Xiaoyue
6 Limnios, Nikolaos
6 Liu, Qun
6 Majda, Andrew J.
6 Mikulevicius, Remigijus
6 Mishura, Yuliya Stepanivna
6 Prakasa Rao, B. L. S.
6 Reiß, Markus
6 Singer, Hermann
6 Wang, Ran
6 Yin, Gang George
6 Yoshida, Nakahiro
5 Abramov, Vyacheslav M.
5 Barczy, Mátyás
5 Beneš, Václav Edvard
5 Bogachev, Vladimir Igorevich
5 Chang, Mouhsiung
5 Christopeit, Norbert
5 Criens, David
5 Ekström, Erik
5 Khas’minskiĭ, Rafail Zalmanovich
5 Khmaladze, Estate V.
5 Konev, Victor
5 Melnikov, Aleksander Viktorovich
5 Miller, G. B.
5 Novikov, Aleksandr Aleksandrovich
5 Petersen, Ian Richard
5 Ralchenko, Kostiantyn V.
5 Semenikhin, Konstantin V.
5 Shaikhet, Leonid Efimovich
5 Spiliopoulos, Konstantinos V.
5 Veretennikov, Alexander Yu.
5 Vladimirov, Igor G.
5 Xiong, Jie
5 Zeitouni, Ofer
5 Zeng, Yong
5 Zhai, Jianliang
5 Zhou, Baoquan
5 Zou, Xiaoling
4 Al-saedi, Ahmed Eid Salem
4 Anan’ev, Boris Ivanovich
4 Anh, Vo V.
4 Bäuerle, Nicole
4 Borisov, Andrei V.
4 Budhiraja, Amarjit S.
4 Chow, Pao-Liu
4 Cialenco, Igor
4 Da Prato, Giuseppe
4 Deng, Feiqi
4 Ganguly, Arnab
4 Heunis, Andrew J.
4 Höpfner, Reinhard
4 Huang, Chifu
4 Kadiev, Ramazan Ismailovich
4 Kloeden, Peter Eris
4 Krylov, Nicolaĭ Vladimirovich
4 Kulik, Alexey M.
4 Lu, Chun
4 Luo, Qi
4 Luschgy, Harald
4 Mandjes, Michel Robertus Hendrikus
4 Mania, Michael
4 Musiela, Marek
4 Nasyrov, F. S.
...and 1,519 more Authors
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Cited in 280 Serials

101 Stochastic Processes and their Applications
43 Statistics & Probability Letters
41 Probability Theory and Related Fields
40 Stochastic Analysis and Applications
38 Stochastics
38 Systems & Control Letters
37 The Annals of Applied Probability
28 Applied Mathematics and Computation
24 Journal of Mathematical Analysis and Applications
24 Journal of Statistical Planning and Inference
23 Lithuanian Mathematical Journal
21 Journal of Applied Probability
19 Automatica
19 Journal of Mathematical Sciences (New York)
18 Applied Mathematics and Optimization
17 The Annals of Probability
17 Automation and Remote Control
16 Statistical Inference for Stochastic Processes
16 Stochastics and Dynamics
15 Advances in Difference Equations
13 Annals of the Institute of Statistical Mathematics
13 The Annals of Statistics
12 Physica A
12 Ukrainian Mathematical Journal
12 SIAM Journal on Control and Optimization
12 Journal of Theoretical Probability
12 Bernoulli
12 Stochastics
11 Journal of Optimization Theory and Applications
11 Acta Applicandae Mathematicae
11 Discrete and Continuous Dynamical Systems. Series B
10 Advances in Applied Probability
10 Theory of Probability and its Applications
10 Journal of Economic Theory
10 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
10 Journal of Economic Dynamics & Control
10 Communications in Statistics. Theory and Methods
10 Finance and Stochastics
10 Proceedings of the Steklov Institute of Mathematics
9 Computers & Mathematics with Applications
9 International Journal of Systems Science
9 Journal of Statistical Physics
9 Mathematical Notes
9 Statistics
9 Sequential Analysis
9 Cybernetics and Systems Analysis
9 Random Operators and Stochastic Equations
8 Journal of the Franklin Institute
8 Journal of Multivariate Analysis
8 Insurance Mathematics & Economics
8 Journal of Computer and Systems Sciences International
8 Electronic Journal of Statistics
7 Journal of Computational and Applied Mathematics
7 Journal of Soviet Mathematics
7 Mathematics and Computers in Simulation
7 Theory of Probability and Mathematical Statistics
7 Doklady Mathematics
6 Journal of Applied Mathematics and Mechanics
6 Journal of Econometrics
6 Journal of Mathematical Economics
6 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
6 MCSS. Mathematics of Control, Signals, and Systems
6 Stochastics and Stochastics Reports
6 Mathematical Problems in Engineering
6 Nonlinear Dynamics
6 Asia-Pacific Financial Markets
6 Nonlinear Analysis. Hybrid Systems
5 International Journal of Control
5 Journal of Functional Analysis
5 Circuits, Systems, and Signal Processing
5 Mathematical and Computer Modelling
5 Queueing Systems
5 Mathematical Methods of Statistics
5 Electronic Journal of Probability
5 Mathematical Finance
5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 Journal of Systems Science and Complexity
5 Mathematics and Financial Economics
5 SIAM/ASA Journal on Uncertainty Quantification
5 Modern Stochastics. Theory and Applications
4 Problems of Information Transmission
4 Bulletin of Mathematical Biology
4 Information Sciences
4 Kybernetika
4 Journal of Time Series Analysis
4 Journal of Applied Mathematics and Stochastic Analysis
4 Applied Mathematical Modelling
4 European Journal of Operational Research
4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
4 Journal of Nonlinear Science
4 Statistical Papers
4 Abstract and Applied Analysis
4 Mathematical Methods of Operations Research
4 Communications in Nonlinear Science and Numerical Simulation
4 Decisions in Economics and Finance
4 Frontiers of Mathematics in China
4 SIAM Journal on Financial Mathematics
4 Journal of Probability and Statistics
4 Annals of Finance
4 Stochastic and Partial Differential Equations. Analysis and Computations
...and 180 more Serials
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Cited in 40 Fields

1,039 Probability theory and stochastic processes (60-XX)
393 Statistics (62-XX)
362 Systems theory; control (93-XX)
222 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
111 Ordinary differential equations (34-XX)
110 Biology and other natural sciences (92-XX)
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73 Calculus of variations and optimal control; optimization (49-XX)
59 Partial differential equations (35-XX)
57 Operations research, mathematical programming (90-XX)
37 Dynamical systems and ergodic theory (37-XX)
24 Information and communication theory, circuits (94-XX)
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1 Mechanics of deformable solids (74-XX)
1 Optics, electromagnetic theory (78-XX)

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