Prof. Robert Liptser

Research Interests:

• Approximation in filtering problems
• Large deviations
• Diffusion approximation in queueing
• Approximation in stochastic control
• Theory of martingales
• Moderate deviations instead of diffusion approximation

Current Projects:

• Robust diffusion approximation for nonlinear filtering.
• Moderate Deviations for Randomly Perturbed Dynamical Systems.
• Nonlinear filtering problem with contamination.
• Asymptotic Optimality for Stochastic Control Problems via Diffusion Approximation.
• The Bogolubov averaging principle for semimartingales.
• Moderate deviations for semimartingales
• State-dependent Benes buffer model with fast loading and output rates.

Other Academic Activities:

• Full Professor
• Courses I teach: Random Processes, Stochastic Control.

See List of publications

Lecture Notes for the course ``Stochastic Processes''

Lecture Notes for the course ``Stochastic Control''

Return to:
[ Department of Electrical Engineering-Systems | Fac. of Eng. ]

If you have any comments or questions about this page, please send them to liptser@eng.tau.ac.il
Last modified on 19.05.97