Robert Sh. Liptser (Russian: Роберт Шевелевич Липцер; Hebrew: רוברט ליפצר, 20 March 1936 – 2 January 2019) 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.
Professor Robert Sh. Liptser | |
|---|---|
 Robert Liptser, in Château de Chenonceau, France, 25 March 2007 | |
| Born | March 20, 1936 |
| Died | January 2, 2019 (aged 82) |
| Nationality | Russian-Israeli |
| Scientific career | |
| Fields | Probability and Stochastic Processes |
| Thesis | Filtering, smoothing and prediction of diffusion Markov processes from incomplete data |
| Doctoral advisor | Albert Shiryaev |
| Website | www |
Biography
editLiptser was born in Kirovograd, Ukraine and spent his youth in Odesa, Ukraine. In 1959 he graduated with the M.Sc. degree in electrical engineering from Moscow Aviation Institute and in 1965 he graduated with the second M.Sc in mathematics from Faculty of Mechanics and Mathematics of Moscow State University. In 1968 he obtained his Ph.D. degree from Moscow Institute of Physics and Technology (MIPT).[1]
He held a Professor position at MIPT and worked in the Institute of Control Sciences until 1990, when he joined the Institute for Information Transmission Problems as the head of the Stochastic Dynamic Systems Laboratory.
In 1993 emigrated to Israel and lived in Kfar Saba. In Israel he held a Professor position at the School of Electrical Engineering in Tel Aviv University, until his retirement in 2005.
Research
editLiptser made several important contributions to the theory of martingales and to their applications in engineering and statistics.[2][3][4] This includes his study of the conditionally Gaussian processes,[5] which play an important role in the separation principle in stochastic control.[6]
He coauthored a number of influential books.[7] His monograph "Statistics of Random processes: General Theory and Applications",[8][9] written together with Albert Shiryaev in 1974, has become internationally renowned reference textbook among scholars, working in stochastic analysis and related fields.
References
edit- ^ Statistics And Control Of Stochastic Processes: The Liptser Festschrift, p. XI, at Google Books
- ^ Kabanov, Yu. M., Liptser, R. Sh. and Shiryaev, A. N. "Absolute continuity and singularity of locally absolutely continuous probability distributions. I.", "Matematicheskii Sbornik 149.3 (1978): 364-415
- ^ Kabanov, Yu M., Liptser, R. Sh. and Shiryaev, A. N. "On the variation distance for probability measures defined on a filtered space.", "Probability theory and related fields 71.1 (1986): 19-35"
- ^ Liptser, R. Sh. "A strong law of large numbers for local martingales.", "Stochastics 3.1-4 (1980): 217-228."
- ^ Liptser, R. "Conditionally Gaussian Random Processes", Probl. Peredachi Inf., 1974, Volume 10, Issue 2, Pages 75–94
- ^ Bensoussan, Alain. Stochastic control of partially observable systems. Cambridge University Press, 2004.
- ^ Liptser, Robert, and Shiryayev, Albert Nikolaevich. Theory of martingales. Vol. 49. Springer Science & Business Media, 2012.
- ^ Liptser, Robert S., and Shiryaev, Albert N. Statistics of random processes: I. General theory, 2nd ed. Vol. 5. Springer Science & Business Media, 2013
- ^ Liptser, Robert S., and Shiryaev, Albert N. Statistics of random processes II: Applications. 2nd ed. Vol. 6. Springer Science & Business Media, 2013.
External links
edit- Robert Sh. Liptser at the Mathematics Genealogy Project
- Monash Probability Conference in Honor of Robert Liptser's 80th Birthday, 26–29 April 2016
- Statistics And Control Of Stochastic Processes: The Liptser Festschrift at Google Books
- Robert Shevilevich Liptser, biographical sketch in Russian
- Institute of Control Sciences of Russian Academy of Sciences
- Robert Shevilevich Liptser, obituary in Theory of Probability and its Applications
- Abramov, V. M., Miller, B. M., Rubinovich, E. Ya. and Chigansky, P. Yu. Development of the theory of stochastic control and filtering in the works of R. Sh. Liptser, Automatika i Telemekhanika, issue 3 (2020), 1--13. (In Russian.)