Liptser Robert Shevilevich

Publications in Math-Net.Ru

1. When a stochastic exponential is a true martingale. Extension of the Beneš method
   
   Teor. Veroyatnost. i Primenen., 58:1 (2013),  53–80
2. Beneš condition for discontinuous exponential martingale
   
   Zap. Nauchn. Sem. POMI, 396 (2011),  144–154
3. Asymptotic analysis of ruin in CEV model
   
   Teor. Veroyatnost. i Primenen., 55:2 (2010),  350–357
4. Moderate Deviations for a Diffusion-Type Process in a Random Environment
   
   Teor. Veroyatnost. i Primenen., 54:1 (2009),  39–62
5. Tracking the Volatility Function
   
   Probl. Peredachi Inf., 41:3 (2005),  32–50
6. Online estimation of a smooth regression function
   
   Teor. Veroyatnost. i Primenen., 47:3 (2002),  567–575
7. Diffusion approximation and optimal stochastic control
   
   Teor. Veroyatnost. i Primenen., 44:4 (1999),  705–737
8. An example of large deviations for a stationary process
   
   Teor. Veroyatnost. i Primenen., 44:1 (1999),  211–225
9. Large Deviations for Past-Dependent Recursions
   
   Probl. Peredachi Inf., 32:4 (1996),  23–34
10. Large deviations for occupation measures of Markov processes: discrete time, noncompact case
    
    Teor. Veroyatnost. i Primenen., 41:1 (1996),  65–88
11. The Bogolyubov averaging principle for semimartingales
    
    Trudy Mat. Inst. Steklov., 202 (1993),  175–189
12. Diffusion approximation for processes with normal reflection
    
    Teor. Veroyatnost. i Primenen., 35:3 (1990),  417–430
13. Stochastic calculus
    
    Itogi Nauki i Tekhniki. Ser. Sovrem. Probl. Mat. Fund. Napr., 45 (1989),  5–253
14. Diffusion Approximation for Queue with Inter-Arrive Sequence Depending on Queue and with Arbitrary Service
    
    Teor. Veroyatnost. i Primenen., 33:1 (1988),  124–135
15. Gaussian Diffusion Approximation of Closed Markov Models of Computer Networks
    
    Probl. Peredachi Inf., 22:1 (1986),  49–65
16. Estimates of closeness in variation of probability measures
    
    Dokl. Akad. Nauk SSSR, 278:2 (1984),  265–268
17. Weak convergence of a sequence of semimartingales to a process of diffusion type
    
    Mat. Sb. (N.S.), 121(163):2(6) (1983),  176–200
18. Weak and strong convergence of distributions of counting processes
    
    Teor. Veroyatnost. i Primenen., 28:2 (1983),  288–319
19. On the invariance principle for semimartingales with «nonclassical» assumptions
    
    Teor. Veroyatnost. i Primenen., 28:1 (1983),  3–31
20. Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures
    
    Uspekhi Mat. Nauk, 37:6(228) (1982),  97–124
21. On the rate of convergence in the central limit theorem for semimartingales
    
    Teor. Veroyatnost. i Primenen., 27:1 (1982),  3–14
22. On weak convergence of semimartingales to stochastically continuous processes with independent and conditionally independent increments
    
    Mat. Sb. (N.S.), 116(158):3(11) (1981),  331–358
23. Necessary and sufficient conditions for the functional central limit theorem for semimartingales
    
    Teor. Veroyatnost. i Primenen., 26:1 (1981),  132–137
24. Optimal control and information processing in continuous time (a linear system and quadratic functional)
    
    Avtomat. i Telemekh., 1980, no. 10,  47–53
25. On the representation of integral-valued random measures and local martingales by means of random measures with deterministic compensators
    
    Mat. Sb. (N.S.), 111(153):2 (1980),  293–307
26. A functional central limit theorem for semimartingales
    
    Teor. Veroyatnost. i Primenen., 25:4 (1980),  683–703
27. Absolute continuity and singularity of locally absolutely continuous probability distributions. II
    
    Mat. Sb. (N.S.), 108(150):1 (1979),  32–61
28. A robust Kalman filter in discrete time
    
    Avtomat. i Telemekh., 1978, no. 3,  60–69
29. Absolute continuity and singularity of locally absolutely continuous probability distributions. I
    
    Mat. Sb. (N.S.), 107(149):3(11) (1978),  364–415
30. “Predictable” criteria for absolute continuity and singularity of probability measures (the continuous time case)
    
    Dokl. Akad. Nauk SSSR, 237:5 (1977),  1016–1019
31. On the question of absolute continuity and singularity of probability measures
    
    Mat. Sb. (N.S.), 104(146):2(10) (1977),  227–247
32. On a representation of local martingales
    
    Teor. Veroyatnost. i Primenen., 21:4 (1976),  718–726
33. Gaussian martingales and a generalization of the Kalman–Bucy filter
    
    Teor. Veroyatnost. i Primenen., 20:2 (1975),  292–308
34. The computation of pseudoinverse matrices
    
    Zh. Vychisl. Mat. Mat. Fiz., 15:2 (1975),  489–492
35. Equations of near-optimal Kalman filter with a singular matrix of noise covariations in observations
    
    Avtomat. i Telemekh., 1974, no. 1,  35–41
36. Optimal Encoding and Decoding for Transmission of a Gaussian Markov Signal in a Noiseless-Feedback Channel
    
    Probl. Peredachi Inf., 10:4 (1974),  3–15
37. Conditionally Gaussian Random Processes
    
    Probl. Peredachi Inf., 10:2 (1974),  75–94
38. On the absolute continuity of measures corresponding to processes of diffusion type relative to a Wiener measure
    
    Izv. Akad. Nauk SSSR Ser. Mat., 36:4 (1972),  847–889
39. A recurrence method for computing the normal solutions of linear algebraic equations
    
    Zh. Vychisl. Mat. Mat. Fiz., 12:4 (1972),  843–857
40. On the density of probability measures of diffusion-type processes
    
    Izv. Akad. Nauk SSSR Ser. Mat., 33:5 (1969),  1120–1131
41. Interpolation and filtering of a jump-like component of a Markov process
    
    Izv. Akad. Nauk SSSR Ser. Mat., 33:4 (1969),  901–914
42. Nonlinear filtration of diffusion Markov processes
    
    Trudy Mat. Inst. Steklov., 104 (1968),  135–180
43. Nonlinear interpolation of components of diffusion Markov processes
    
    Teor. Veroyatnost. i Primenen., 13:4 (1968),  602–620
44. Extrapolation of multidimensional Markov processes from incomplete data
    
    Teor. Veroyatnost. i Primenen., 13:1 (1968),  17–38
45. On filtration and prediction of components of diffusion Markov processes
    
    Teor. Veroyatnost. i Primenen., 12:4 (1967),  764–765
46. Comparison of linear and nonlinear filtration of some Markov processes
    
    Teor. Veroyatnost. i Primenen., 11:3 (1966),  528–533
47. On a Bayes Problem of Sequential Search in Diffusion Approximation
    
    Teor. Veroyatnost. i Primenen., 10:1 (1965),  192–199


48. Application of martingale methods
    
    Avtomat. i Telemekh., 1988, no. 11,  169–176
49. A review of «Applied optimal estimation» by A. Gelb, J. F. Rasper, R. A. Nash, Ch. F. Price, A. A. Sutherland
    
    Avtomat. i Telemekh., 1977, no. 6,  207–208
50. Letter to the editor
    
    Teor. Veroyatnost. i Primenen., 13:1 (1968),  195