List of Recent Publications

Articles

  1. .
  2. R.S. Liptser, Large deviations for occupation measure of Markov processes (discrete time non compact case), Theory of Probab. Appl., Moscow , v.41, 1, 1996, pp.65--88.
  3. R.S. Liptser, W.J. Runggaldier, and M.Taksar, Deterministic approximation for stochastic control problem, SIAM J. on Optimization and Control , v.34, 1, 1996, pp.161--178.
  4. R.S. Liptser, Large deviations for two scaled diffusions , Theory of Probability and Related Fields , v.106, 1996, pp.71--104.
  5. F.C. Klebaner and R. Liptser, Large deviations for past-dependent recursions, Problems of Information Transmission , v.32, 4, 1996, pp.23--34.
  6. Liptser R.Sh., Steinberg Y., Bobrovski B.Z., and Schuss Z., Fixed lag smoothing of scalar diffusions-Part I: the filtering-smoothig equation, Stochastic Processes and their Application , v.64, 1996, pp.237--255.
  7. M.L. Kleptsina, and A.P. Serebrovski, and R.Sh. Liptser, Nonlinear Filtering problem with contamination (Averaging Principle), The Annals of Applied Probability , v.7, 1997, 4, pp. 917--934.
  8. Chow, P.-L., Khasminskii, R., and Liptser, R.Sh. Tracking of signal and its derivatives in Gaussian white noise, Stochastic processes and their application ,v. 69, 1997, 2, pp. 259--273.
  9. R.S. Liptser, O. Zeitouni, Robust diffusion approximation for nonlinear filtering, Journal of Mathematical Systems, Estimation and Control , v.8, 1998, 1, pp. 138-142. http://www.birkhauser.com/journals/jmsec/download.html code 93647
  10. Liptser, R. and Muzhikanov, P. Filtering with a Limiter (improved performance), Journal of Applied Mathematics and Stochastic Analysis , v.11, 1998, 3, , pp. 289-300.
  11. Klebaner, F. C. and Liptser, R. Moderate Deviations for Randomly Perturbed Dynamical Systems, Stochastic Processes and their Applications,, v.80, 1999, pp. 157-176.
  12. P, Gulinskii, O.V. and Liptser, R.S. Example of large deviations for stationary process, Theory of Probability and Applications, , v. 44, 1999, pp. 211-225.
  13. Liptser, R.S. and Spokoiny, V. Moderate deviations type evaluation for integral functionals of diffusion processes, , http://www.math.washington.edu/~ejpecp, v. 9, 1999.
  14. Liptser, R. Sh., Runggaldier, W.J. and Taksar, M. Asymptotic Optimality for Stochastic Control Problems via Diffusion Approximation, Theory of Probability and Applications, v.44, no 4, 1999, pp.705-737.
  15. Liptser, R. Sh. and Spokoiny, V. Deviation probability bound for martingales with applications to statistical estimation, Stat. and Probab. Letters, v.46, 2000, pp. 347-357.
  16. R. Liptser. Moderate deviation for dynamic model governed by stationary process, in book: Skorokhod's ideas in Probability Theory, National Academy of Science of Ukraine Institute of Mathematics, Kyiv 2000, pp. 256-270.
  17. Chigansky, P., Liptser, R. Sh. and Bobrovsky, B.Z., V. A Simple asymptotically optimal filter over an infinite horizon J.A.M.S.A, v.14, 1, 2001, pp. 93-112.
  18. R. Liptser and V. Spokoiny On estimating a dynamic function of a stochastic system with averaging Statistical Inference for Stochastic Processes. 3:, 2000, pp. 225-349.
  19. P.-L. Chow, R. Khasminskii, R. Liptser On estimation of time dependent spatial signal in Gaussian white noise Stochastic Processes and their Applications. 96:, 2001, pp. 161-175.
  20. F.C. Klebaner, R. Liptser Asymptotic analysis and extinction in a stochastic Lotka-Volterra model Annals of Applied Probability, 2001, Vol. 11, No. 4, 1963-1291
  21. F. Carravetta, A. Germani, R. Liptser, C. Manes Filtering of nonlinear stochastic feedback systems SIAM J. Control Optim. 2002, Vol. 40, No. 5, 1576–1584
  22.  N. Krylov, R. Liptser Diffusion approximation with discontinuous coefficients  Stochastic Processes and their Applications. 2002, Vol. 102, No. 2, 235–264
  23. P. I. Kitsul, R. S. Liptser and A. P. Serebrovski Markovianity of a subset of components of a Markov process Systems  Systems & Control Letters. 2002, Vol. 46, No. 4, 237–242
  24. R. Liptser and R. Khasminskii  On-line estimation of a smooth regression function Theory of Probability and its Application Vol.3, 2002
  25. R. Liptser, V, Spokoiny, V. and A.Yu. Veretennikov  Freidlin-Wentzell type large deviations for smooth processes Markov Process and Relat. Fields Vol.8, 2002, 611-636.
  26. P, Chigansky and R, Liptser  Stability of nonlinear filters in non-mixing case; Annals of Applied Probability, 2004, Vol. 14, No 4,  2038-2056.
  27. V, Abramov and R, Liptser  On existence of limiting distribution for time-nonhomogeneous countable Markov process  Queueing Systems Vol. 46, 2004, 353 - 361.
  28.  P. Baxendale,  P. Chigansky, R. Liptser  Asymptotic tability of the Wonham filter: ergodic and nonergodic signals.    SIAM Journal on Control and Optimization, Vol. 43, 2004, No 2, 643-659.

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Last modified on 12.02.2003