R. Liptser

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All published works

Action	Title	Year	Authors
+	When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method	2014	Fima C. Klebaner R. Liptser
+ PDF Chat	Beneš condition for a discontinuous exponential martingale	2013	R. Liptser
+	Threshold estimation in autoregressive models driven by colored noise	2011	P. Chigansky Yury A. Kutoyants R. Liptser
+	When a Stochastic Exponential is a True Martingale. Extension of a Method of Bene^s	2011	Fima C. Klebaner R. Liptser
+	Asymptotic Analysis of Ruin in the Constant Elasticity of Variance Model	2011	Fima C. Klebaner R. Liptser
+ PDF Chat	Large Deviations Application to Billingsley's Example	2010	R. Liptser
+	The Euler-Maruyama approximations for the CEV model	2010	Vyacheslav M. Abramov Fima C. Klebaner R. Liptser
+ PDF Chat	Moderate Deviations for a Diffusion-Type Process in a Random Environment	2010	P. Chigansky R. Liptser
+	The Euler-Maruyama approximations for the CEV model	2010	Vyacheslav M. Abramov Fima C. Klebaner R. Liptser
+	The Girsanov exponential martingale	2009	R. Liptser
+	LDP application for Billingsley's example	2009	R. Liptser
+	Bene$\check{\bf S}$ condition for discontinuous exponential martingale	2009	R. Liptser
+	Large Deviations Application to Billingsley's Example	2009	R. Liptser
+	Large Deviations Analysis of Extinction in Branching Models	2008	Fima C. Klebaner R. Liptser
+ PDF Chat	Cramer’s Theorem for Nonnegative Multivariate Point Processes with Independent Increments	2008	Fima C. Klebaner R. Liptser
+	FCLT and MDP for Stochastic Lotka–Volterra Model	2007	Fima C. Klebaner Angelina Lim R. Liptser
+ PDF Chat	A filtering approach to tracking volatility from prices observed at random times	2006	Jakša Cvitanić R. Liptser B. L. Rozovskiĭ
+ PDF Chat	On-line Tracking of a Smooth Regression Function	2006	L. Goldentayer R. Liptser
+	Large deviations for a scalar diffusion in random environment	2006	P. Chigansky R. Liptser
+	Large Deviations for Past-Dependent Recursions	2006	Fima C. Klebaner R. Liptser
+	The Freidlin-Wentzell LDP with rapidly growing coefficients	2006	P. Chigansky R. Liptser
+	Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands	2006	Bernard Delyon Anatoly Juditsky R. Liptser
+	Tail Distributions of Supremum and Quadratic Variation of Local Martingales	2006	R. Liptser Alexander Novikov
+ PDF Chat	On a role of predictor in the filtering stability	2006	P. Chigansky R. Liptser
+	Examples of moderate deviation principle for diffusion processes	2006	Arnaud Guillin R. Liptser
+ PDF Chat	Likely path to extinction in simple branching models with large initial population	2006	Fima C. Klebaner R. Liptser
+	Ruin Analysis in Constant Elasticity of Variance Model with large initial funds	2005	Fima C. Klebaner R. Liptser
+	Cramer's theorem for nonnegative summands	2005	Fima C. Klebaner R. Liptser
+	What is always stable in nonlinear filtering	2005	P. Chigansky R. Liptser
+	MDP for integral functionals of fast and slow processes with averaging	2005	Arnaud Guillin R. Liptser
+	Likely path to extinction for simple branching model (Large Deviations approach)	2005	Fima C. Klebaner R. Liptser
+	Asymptotic analysis of ruin in CEV model	2005	Fima C. Klebaner R. Liptser
+	Limit theorems on large deviations for semimartingales	2005	R. Liptser A. A. Pukhal’skii
+	Large deviations for two scaled diffusions	2005	R. Liptser
+	Examples of moderate deviation principle for diffusion processes	2005	Arnaud Guillin R. Liptser
+	On tail distributions of supremum and quadratic variation of local martingales	2005	R. Liptser Alexander Novikov
+	On a role of predictor in the filtering stability	2005	P. Chigansky R. Liptser
+	A filtering approach to tracking volatility from prices observed at random times	2005	Jakvsa Cvitani'c R. Liptser B. L. Rozovskiĭ
+	Cramer's theorem for nonnegative multivariate point processes with independent increments	2005	Fima C. Klebaner R. Liptser
+ PDF Chat	Stability of nonlinear filters in nonmixing case	2004	P. Chigansky R. Liptser
+	On Existence of Limiting Distribution for Time-Nonhomogeneous Countable Markov Process	2004	Vyacheslav M. Abramov R. Liptser
+	Tracking of Historical Volatility	2004	L. Goldentayer Fima C. Klebaner R. Liptser
+	Moderate deviation principle for exponentially ergodic Markov chain	2004	Bernard Delyon Anatoli Juditsky R. Liptser
+ PDF Chat	Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals	2004	Peter H. Baxendale P. Chigansky R. Liptser
+	On Tail Distributions of Supremum and Quadratic Variation of Local Martingales	2004	R. Liptser Alexander Novikov
+	Online Estimation of a Smooth Regression Function	2003	R. Z. Khas’minskiĭ R. Liptser
+	MDP for integral functionals of fast and slow processes with averaging	2003	Arnaud Guillin R. Liptser
+	On diffusion approximation with discontinuous coefficients	2002	Н. В. Крылов R. Liptser
+ PDF Chat	Markovianity of a subset of components of a Markov process	2002	P.I. Kitsul R. Liptser A. P. Serebrovski
+	On exponential stability of Wonham filter	2002	P. Chigansky R. Liptser
+	Freidlin-Wentzell type large deviations for smooth processes	2002	R. Liptser Vladimir Spokoiny A. Yu. Veretennikov
+	Asymptotic stability of the Wonham filter for ergodic and nonergodic signals	2002	Peter H. Baxendale P. Chigansky R. Liptser
+	On-line tracking of a smooth regression function	2002	L. Goldentayer R. Liptser
+	On diffusion approximation with discontinuous coefficients	2002	Н. В. Крылов R. Liptser
+ PDF Chat	Asymptotic Analysis and Extinction in a Stochastic Lotka-Volterra Model	2001	Fima C. Klebaner R. Liptser
+	On estimation of time dependent spatial signal in Gaussian white noise	2001	P. L. Chow R. Z. Khas’minskiĭ R. Liptser
+	The Structure of Local Martingales, Absolute Continuity of Measures for Point Processes, and Filtering	2001	R. Liptser Albert N. Shiryaev
+	The Wiener Process, the Stochastic Integral over the Wiener Process, and Stochastic Differential Equations	2001	R. Liptser Albert N. Shiryaev
+	Square Integrable Martingales and Structure of the Functionals on a Wiener Process	2001	R. Liptser Albert N. Shiryaev
+	Martingales and Related Processes: Discrete Time	2001	R. Liptser Albert N. Shiryaev
+	Linear Estimation of Random Processes	2001	R. Liptser Albert N. Shiryaev
+	Optimal Filtering, Interpolation and Extrapolation of Markov Processes with a Countable Number of States	2001	R. Liptser Albert N. Shiryaev
+	Nonnegative Supermartingales and Martingales, and the Girsanov Theorem	2001	R. Liptser Albert N. Shiryaev
+	Absolute Continuity of Measures corresponding to the Itô Processes and Processes of the Diffusion Type	2001	R. Liptser Albert N. Shiryaev
+	Introduction	2001	R. Liptser Albert N. Shiryaev
+	Essentials of Probability Theory and Mathematical Statistics	2001	R. Liptser Albert N. Shiryaev
+	Application of Optimal Nonlinear Filtering Equations to some Problems in Control Theory and Estimation Theory	2001	R. Liptser Albert N. Shiryaev
+	Random Point Processes: Stieltjes Stochastic Integrals	2001	R. Liptser Albert N. Shiryaev
+	Parameter Estimation and Testing of Statistical Hypotheses for Diffusion-Type Processes	2001	R. Liptser Albert N. Shiryaev
+	Statistics of Random Processes	2001	R. Liptser Albert N. Shiryaev
+	Statistics of Random Processes	2001	R. Liptser Albert N. Shiryaev
+ PDF Chat	Deviation probability bound for martingales with applications to statistical estimation	2000	R. Liptser Vladimir Spokoiny
+	MODERATE DEVIATIONS FOR DYNAMIC MODEL GOVERNED BY STATIONARY PROCESS	2000	R. Liptser
+	None	2000	R. Liptser Vladimir Spokoiny
+	An Example of Large Deviations for a Stationary Process	2000	O. V. Gulinsky R. Liptser
+	Moderate deviations for randomly perturbed dynamical systems	1999	Fima C. Klebaner R. Liptser
+ PDF Chat	Moderate Deviations Type Evaluation for Integral Functionals of Diffusion Processes	1999	R. Liptser Vladimir Spokoiny
+	Deviation probability bound for martingales with applications to statistical estimation	1999	R. Liptser Vladimir Spokoiny
+	Stochastic Calculus on Filtered Probability Spaces	1998	R. Liptser Albert N. Shiryaev
+	FILTERING WITH A LIMITER (IMPROVED PERFORMANCE)	1998	R. Liptser P. Muzhikanov
+ PDF Chat	Filtering with a limiter	1998	R. Liptser P. Muzhikanov
+ PDF Chat	Nonlinear filtering problem with contamination	1997	M. L. Kleptsina R. Liptser A. P. Serebrovski
+	Large Deviations for Occupation Measures of Markov Processes: Discrete Time, Noncompact Case	1997	R. Liptser
+	Robust diusion approximation for nonlinear ltering	1997	R. Liptser Ofer Zeitouni
+ PDF Chat	Large deviations for two scaled diffusions	1996	R. Liptser
+ PDF Chat	Deterministic Approximation for Stochastic Control Problems	1996	R. Liptser Wolfgang J. Runggaldier Michael Taksar
+ PDF Chat	Nonlinear filters for linear models (a robust approach)	1995	R. Liptser Wolfgang J. Runggaldier
+ PDF Chat	State-Dependent Benes Buffer Model with Fast Loading and Output Rates	1995	Yaakov Kogan R. Liptser M. Shenfild
+	State-dependent buffer model with large loading and output rates	1994	R. Liptser Y. Rogan M. Shenfild
+	Limit non-stationary behavior of large closed queueing networks with bottlenecks	1993	Yaakov Kogan R. Liptser
+ PDF Chat	Limit theorems on large deviations for semimartingales	1992	R. Liptser A. A. Pukhal’skii
+ PDF Chat	Ergodic Theorem for Semimartingale-Helix	1991	R. Liptser
+	Stochastic version of the averaging principle for diffusion type processes	1990	R. Liptser Jordan Stoyanov
+	Random Measures and their Compensators	1989	R. Liptser A. N. Shiryayev
+	Diffusion Approximation of Systems with Arrival Depending on Queue, and with Arbitrary Servicing	1989	Elena V. Krichagina R. Liptser A. A. Pukhal’skii
+	Weak Convergence of Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments	1989	R. Liptser A. N. Shiryayev
+	Diffusion Approximation for Semimartingales with a Normal Reflection in a Convex Region	1989	R. Liptser A. N. Shiryayev
+	The Space D. Relative Compactness of Probability Distributions of Semimartingales	1989	R. Liptser A. N. Shiryayev
+	Weak Convergence of Finite-Dimensional Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments	1989	R. Liptser A. N. Shiryayev
+ PDF Chat	On the variation distance for probability measures defined on a filtered space	1986	Yu. M. Kabanov R. Liptser Albert N. Shiryaev
+ PDF Chat	WEAK CONVERGENCE OF A SEQUENCE OF SEMIMARTINGALES TO A PROCESS OF DIFFUSION TYPE	1984	R. Liptser Albert N. Shiryaev
+	Weak and Strong Convergence of the Distributions of Counting Processes	1984	Yu. M. Kabanov R. Liptser Albert N. Shiryaev
+ PDF Chat	On convergence in variation of the distributions of multivariate point processes	1983	Yu. M. Kabanov R. Liptser
+	Weak and strong convergence of distributions of counting processes	1983	Yuri Kabanov R. Liptser Albert N. Shiryaev
+	On the problem of "predictable" criteria of contiguity	1983	R. Liptser A. N. Shiryayev
+ PDF Chat	Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures	1982	R. Liptser Friedrich Pukelsheim Albert N. Shiryaev
+	On the Rate of Convergence in the Central Limit Theorem for Semimartingales	1982	R. Liptser Albert N. Shiryaev
+ PDF Chat	On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales	1982	R. Liptser Albert N. Shiryaev
+	Some limit theorems for simple point processes (a martingale approach)	1980	Yu. M. Kabanov R. Liptser Albert N. Shiryaev
+	Application of optimal nonlinear filtering equations to some problems in control theory and information theory	1978	R. Liptser A. N. Shiryayev
+	Parameter estimation and testing of statistical hypotheses for diffusion type processes	1978	R. Liptser A. N. Shiryayev
+	Random point processes: Stieltjes stochastic integrals	1978	R. Liptser A. N. Shiryayev
+	Application of filtering equations to problems of statistics of random sequences	1978	R. Liptser A. N. Shiryayev
+	The structure of local martingales, absolute continuity of measures for point processes, and filtering	1978	R. Liptser A. N. Shiryayev
+	On the Representation of Local Martingales	1977	R. Liptser
+	Absolute continuity of measures corresponding to the Ito processes and processes of the diffusion type	1977	R. Liptser A. N. Shiryayev
+	Nonnegative supermartingales and martingales, and the Girsanov theorem	1977	R. Liptser A. N. Shiryayev
+	Statistics of Random Processes I	1977	R. Liptser A. N. Shiryayev
+	The Wiener process, the stochastic integral over the Wiener process, and stochastic differential equations	1977	R. Liptser A. N. Shiryayev
+	Martingales and semimartingales: continuous time	1977	R. Liptser A. N. Shiryayev
+	Martingales and semimartingales: discrete time	1977	R. Liptser A. N. Shiryayev
+	On a recurrence method for computing normal solutions of linear algebraic equations	1972	E.L. Zhukovskii R. Liptser
+	Extrapolation and filtration of some Markov processes. II	1972	R. Liptser

Common Coauthors

Coauthor	Papers Together
Albert N. Shiryaev	24
Fima C. Klebaner	18
A. N. Shiryayev	17
P. Chigansky	8
Vladimir Spokoiny	5
Yu. M. Kabanov	4
Arnaud Guillin	4
Vyacheslav M. Abramov	3
L. Goldentayer	3
A. A. Pukhal’skii	3
Alexander Novikov	3
P. Chigansky	3
P. Muzhikanov	2
A. P. Serebrovski	2
Peter H. Baxendale	2
Н. В. Крылов	2
Yaakov Kogan	2
R. Z. Khas’minskiĭ	2
Wolfgang J. Runggaldier	2
M. Shenfild	2
B. L. Rozovskiĭ	2
Bernard Delyon	2
Elena V. Krichagina	1
Jakša Cvitanić	1
Angelina Lim	1
Yuri Kabanov	1
O. V. Gulinsky	1
Jakvsa Cvitani'c	1
M. L. Kleptsina	1
Anatoli Juditsky	1
E.L. Zhukovskii	1
Jordan Stoyanov	1
P.I. Kitsul	1
Yury A. Kutoyants	1
Ofer Zeitouni	1
Friedrich Pukelsheim	1
A. Yu. Veretennikov	1
Michael Taksar	1
Y. Rogan	1
Anatoly Juditsky	1
P. L. Chow	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	Random perturbations of dynamical systems	1997	Michael Blank	23
+ PDF Chat	Limit theorems on large deviations for semimartingales	1992	R. Liptser A. A. Pukhal’skii	17
+	Statistics of Random Processes	2021	Michael F. Insana	17
+	Large Deviations and Idempotent Probability	2001	Anatolii A. Puhalskii	15
+ PDF Chat	Convergence of Probability Measures	1999	Patrick Billingsley	14
+	Large Deviations and Applications	2012	S. R. S. Varadhan	14
+ PDF Chat	Random Perturbations of Dynamical Systems	1984	Mark Freidlin Alexander D. Wentzell	11
+	ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. I	1979	J.M. Kabanov R Š Lipcer A N Širjaev	10
+	Convergence of Probability Measures	1969	J. F. C. Kingmán P. Billingsley	9
+	The method of stochastic exponentials for large deviations	1994	Anatolii A. Puhalskii	9
+ PDF Chat	Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales	1975	Jean Jacod	9
+	Moderate Deviations of Dependent Random Variables Related to CLT	1995	Liming Wu	8
+	Large Deviations Of Semimartingales: A Maxingale Problem Approach.II. Uniqueness For The Maxingale Problem. Applications	1999	Anatolii A. Puhalskii	7
+	A Weak Convergence Approach to the Theory of Large Deviations	1998	James Lynch Paul Dupuis Richard S. Ellis	7
+ PDF Chat	Moderate Deviations Type Evaluation for Integral Functionals of Diffusion Processes	1999	R. Liptser Vladimir Spokoiny	7
+ PDF Chat	On the functional central limit theorem and the law of the iterated logarithm for Markov processes	1982	Ritwik Bhattacharya	7
+	Markov Processes: Characterization and Convergence.	1987	Andris Abakuks S. N. Ethier Thomas G. Kurtz	7
+ PDF Chat	On Some Degenerate Large Deviation Problems	2004	Anatolii A. Puhalskii	6
+	Exponential Forgetting and Geometric Ergodicity in Hidden Markov Models	2000	François Le Gland Laurent Mevel	6
+	Martingale approach to some limit theorems	1977	George Papanicolaou	6
+	Freidlin-Wentzell type large deviations for smooth processes	2002	R. Liptser Vladimir Spokoiny A. Yu. Veretennikov	6
+ PDF Chat	Statistical Estimation: Asymptotic Theory	2014	I. A. Ibragimov R. Z. Khasʹminskiĭ	6
+	Large deviations of semimartingales via convergence of the predictable characteristics	1994	Anatolii A. Puhalskii	6
+ PDF Chat	A Limit Theorem for Partially Observed Markov Chains	1975	Thomas Kaijser	6
+ PDF Chat	The Exit Problem for a Class of Density-Dependent Branching Systems	1994	Fima C. Klebaner Ofer Zeitouni	5
+ PDF Chat	A Discrete-Time Version of the Wentzell-Friedlin Theory	1990	Yuri Kifer	5
+	Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems	1990	Harold J. Kushner	5
+ PDF Chat	Large Deviations for Processes with Independent Increments	1987	James Lynch Jayaram Sethuraman	5
+	Limit non-stationary behavior of large closed queueing networks with bottlenecks	1993	Yaakov Kogan R. Liptser	5
+	Lyapunov Exponents for Finite State Nonlinear Filtering	1997	Rami Atar Ofer Zeitouni	5
+ PDF Chat	Optimal Global Rates of Convergence for Nonparametric Regression	1982	Charles J. Stone	5
+	On the stability of interacting processes with applications to filtering and geneticÂ algorithms	2001	Pierre Del Moral Alice Guionnet	5
+	Weak convergence of probability measures and random functions in the function space <i>D</i>[0,∞)	1973	Torgny Lindvall	5
+ PDF Chat	On the Poisson equation and diffusion approximation 3	2005	Étienne Pardoux A. Yu. Veretennikov	5
+ PDF Chat	Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes	2004	Catherine Donati-Martin Alain Rouault Marc Yor Marguerite Zani	4
+ PDF Chat	Stochastic Stability of Differential Equations	2011	R. Z. Khas’minskiĭ	4
+	Probability	1996	Albert N. Shiryaev	4
+	On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures	1960	Igor Vladimirovich Girsanov	4
+	ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES	1977	J.M. Kabanov R Š Lipcer A N Širjaev	4
+	Moderate deviations of inhomogeneous functionals of Markov processes and application to averaging	2001	Arnaud Guillin	4
+	ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. II	1980	J.M. Kabanov R Š Lipcer A N Širjaev	4
+	Asymptotic evaluation of certain markov process expectations for large time, II	1975	M. D. Donsker S. R. S. Varadhan	4
+	Convergence of filters with applications to the Kalman-Bucy case	1992	Eimear M. Goggin	4
+	Exponential stability of discrete-time filters for bounded observation noise	1997	Amarjit Budhiraja Daniel Ocone	4
+ PDF Chat	Remarks on Some Nonparametric Estimates of a Density Function	1956	Murray Rosenblatt	4
+	Random point processes and martingales	1976	B. Grigelionis	4
+ PDF Chat	Conditions for absolute continuity between a certain pair of probability measures	1970	T. Kadota L. A. Shepp	4
+ PDF Chat	Exponential stability for nonlinear filtering	1997	Rami Atar	4
+	Asymptotic behavior of the nonlinear filtering errors of Markov processes	1971	Hiroshi Kunita	4
+	Statistics of Random Processes I	1977	R. Liptser A. N. Shiryayev	4