Research output per year
Research output per year
- 1 - 50 out of 57 results
Search results
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2014
When a stochastic exponential is a true martingale. extension of the Beneš method
Klebaner, F. & Liptser, R., 2014, In: Theory of Probability and its Applications. 58, 1, p. 38-62 25 p.Research output: Contribution to journal › Article › peer-review
22 Scopus citations -
2013
Beneš condition for a discontinuous exponential martingale
Liptser, R., Feb 2013, In: Journal of Mathematical Sciences. 188, 6, p. 717-723 7 p.Research output: Contribution to journal › Article › peer-review
Open Access -
2011
Asymptotic analysis of ruin in the constant elasticity of variance model
Klebaner, F. & Liptser, R., 2011, In: Theory of Probability and its Applications. 55, 2, p. 291-297 7 p.Research output: Contribution to journal › Article › peer-review
2 Scopus citations -
The Euler-Maruyama approximations for the CEV model
Abramov, V. M., Klebaner, F. C. & Liptser, R. S., Jul 2011, In: Discrete and Continuous Dynamical Systems - Series B. 16, 1, p. 1-14 14 p.Research output: Contribution to journal › Article › peer-review
Open Access5 Scopus citations -
2010
From disorder detection to optimal stopping and mathematical finance
Liptser, R. & Tartakovsky, A. G., Apr 2010, In: Sequential Analysis. 29, 2, p. 112-124 13 p.Research output: Contribution to journal › Article › peer-review
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Large deviations application to Billingsley's example
Liptser, R., 2010, In: Sequential Analysis. 29, 3, p. 263-274 12 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Moderate deviations for a diffusion-type process in a random environment
Chigansky, P. & Liptser, R., 2010, In: Theory of Probability and its Applications. 54, 1, p. 29-50 22 p.Research output: Contribution to journal › Article › peer-review
Open Access6 Scopus citations -
2008
Large deviations analysis of extinction in branching models
Klebaner, F. C. & Liptser, R., Jan 2008, In: Mathematical Population Studies. 15, 1, p. 55-69 15 p.Research output: Contribution to journal › Article › peer-review
1 Scopus citations -
2007
FCLT and MDP for stochastic Lotka-Volterra model
Klebaner, F. C., Lim, A. & Liptser, R., Jul 2007, In: Acta Applicandae Mathematicae. 97, 1-3, p. 53-68 16 p.Research output: Contribution to journal › Article › peer-review
2 Scopus citations -
2006
A filtering approach to tracking volatility from prices observed at random times
Cvitanić, J., Liptser, R. & Rozovskii, B., Aug 2006, In: Annals of Applied Probability. 16, 3, p. 1633-1652 20 p.Research output: Contribution to journal › Article › peer-review
Open Access37 Scopus citations -
Examples of moderate deviation principle for diffusion processes
Guillin, A. & Liptser, R., Jul 2006, In: Discrete and Continuous Dynamical Systems - Series B. 6, 4, p. 803-828 26 p.Research output: Contribution to journal › Article › peer-review
38 Scopus citations -
Likely path to extinction in simple branching models with large initial population
Klebaner, F. C. & Liptser, R., 2006, In: Journal of Applied Mathematics and Stochastic Analysis. 2006, 60376.Research output: Contribution to journal › Article › peer-review
Open Access3 Scopus citations -
On a role of predictor in the filtering stability
Chigansky, P. & Liptser, R., 1 Jan 2006, In: Electronic Communications in Probability. 11, p. 129-140 12 p.Research output: Contribution to journal › Article › peer-review
Open Access10 Scopus citations -
On estimation of volatility surface and prediction of future spot volatility
Klebaner, F., Le, T. & Liptser, R., 1 Sep 2006, In: Applied Mathematical Finance. 13, 3, p. 245-263 19 p.Research output: Contribution to journal › Article › peer-review
2 Scopus citations -
On-line tracking of a smooth regression function
Goldentayer, L. & Liptser, R., May 2006, In: Statistical Inference for Stochastic Processes. 9, 1, p. 17-30 14 p.Research output: Contribution to journal › Article › peer-review
Open Access1 Scopus citations -
2005
Asymptotic stability of the Wonham filter: Ergodic and nonergodic signals
Baxendale, P., Chigansky, P. & Liptser, R., 2005, In: SIAM Journal on Control and Optimization. 43, 2, p. 643-669 27 p.Research output: Contribution to journal › Article › peer-review
Open Access38 Scopus citations -
MDP for integral functionals of fast and slow processes with averaging
Guillin, A. & Liptser, R., Jul 2005, In: Stochastic Processes and their Applications. 115, 7, p. 1187-1207 21 p.Research output: Contribution to journal › Article › peer-review
Open Access7 Scopus citations -
Tracking volatility
Goldentayer, L., Klebaner, F. & Liptser, R. S., Jul 2005, In: Problems of Information Transmission. 41, 3, p. 212-229 18 p.Research output: Contribution to journal › Article › peer-review
6 Scopus citations -
2004
On existence of limiting distribution for time-nonhomogeneous countable Markov process
Abramov, V. & Liptser, R., 2004, In: Queueing Systems. 46, 3-4, p. 353-361 9 p.Research output: Contribution to journal › Article › peer-review
4 Scopus citations -
Stability of nonlinear filters in nonmixing case
Chigansky, P. & Liptser, R., Nov 2004, In: Annals of Applied Probability. 14, 4, p. 2038-2056 19 p.Research output: Contribution to journal › Article › peer-review
Open Access28 Scopus citations -
2003
Online estimation of a smooth regression function
Khasminskii, R. & Liptser, R., 2003, In: Theory of Probability and its Applications. 47, 3, p. 541-550 10 p.Research output: Contribution to journal › Article › peer-review
1 Scopus citations -
Some Results on the Lotka-Volterra Model and its Small Random Perturbations
Khaminskii, R. Z., Klebaner, F. C. & Liptser, R., Aug 2003, In: Acta Applicandae Mathematicae. 78, 1-3, p. 201-206 6 p.Research output: Contribution to journal › Article › peer-review
5 Scopus citations -
2002
Filtering of nonlinear stochastic feedback systems
Carravetta, F., Germani, A., Liptser, R. & Manes, C., 2002, In: SIAM Journal on Control and Optimization. 40, 5, p. 1576-1584 9 p.Research output: Contribution to journal › Article › peer-review
7 Scopus citations -
Markovianity of a subset of components of a Markov process
Kitsul, P. I., Liptser, R. S. & Serebrovski, A. P., 23 Jul 2002, In: Systems and Control Letters. 46, 4, p. 237-242 6 p.Research output: Contribution to journal › Article › peer-review
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On diffusion approximation with discontinuous coefficients
Krylov, N. V. & Liptser, R., Dec 2002, In: Stochastic Processes and their Applications. 102, 2, p. 235-264 30 p.Research output: Contribution to journal › Article › peer-review
Open Access14 Scopus citations -
2001
A simple asymptotically optimal filter over an infinite horizon
Chigansky, P., Liptser, R. & Bobrovsky, B. Z., 2001, In: Journal of Applied Mathematics and Stochastic Analysis. 14, 1, p. 93-112 20 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Asymptotic analysis and extinction in a stochastic Lotka-Volterra model
Klebaner, F. C. & Liptser, R., Nov 2001, In: Annals of Applied Probability. 11, 4, p. 1263-1291 29 p.Research output: Contribution to journal › Article › peer-review
Open Access16 Scopus citations -
On estimation of time dependent spatial signal in Gaussian white noise
Chow, P. L., Khasminskii, R. & Liptser, R., Nov 2001, In: Stochastic Processes and their Applications. 96, 1, p. 161-175 15 p.Research output: Contribution to journal › Article › peer-review
3 Scopus citations -
2000
Deviation probability bound for martingales with applications to statistical estimation
Liptser, R. & Spokoiny, V., 15 Feb 2000, In: Statistics and Probability Letters. 46, 4, p. 347-357 11 p.Research output: Contribution to journal › Article › peer-review
Open Access22 Scopus citations -
Filtering of nonlinear stochastic feedback systems
Carravetta, F., Germani, A., Liptser, R. S. & Manes, C., 2000, In: Proceedings of the IEEE Conference on Decision and Control. 5, p. 4270-4273 4 p.Research output: Contribution to journal › Article › peer-review
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1999
An example of large deviations for a stationary process
Gulinsky, O. V. & Liptser, R. S., Mar 1999, In: Theory of Probability and its Applications. 44, 1, p. 201-217 17 p.Research output: Contribution to journal › Article › peer-review
2 Scopus citations -
Diffusion approximation and optimal stochastic control
Liptser, R., Runggaldier, W. J. & Taksar, M., Dec 1999, In: Theory of Probability and its Applications. 44, 4, p. 669-696 28 p.Research output: Contribution to journal › Article › peer-review
8 Scopus citations -
Moderate deviations for randomly perturbed dynamical systems
Klebaner, F. C. & Liptser, R., 1 Apr 1999, In: Stochastic Processes and their Applications. 80, 2, p. 157-176 20 p.Research output: Contribution to journal › Article › peer-review
Open Access18 Scopus citations -
Moderate deviations type evaluation for integral functionals of diffusion processes
Liptser, R. & Spokoiny, V., 1 Jan 1999, In: Electronic Journal of Probability. 4, p. 1-25 25 p.Research output: Contribution to journal › Article › peer-review
Open Access2 Scopus citations -
Moderate deviations type evaluation for integral functionals of diffusion processes
Liptser, R. & Spokoiny, V., 15 Sep 1999, In: Electronic Journal of Probability. 4Research output: Contribution to journal › Article › peer-review
11 Scopus citations -
1998
Filtering with a limiter (improved performance)
Liptser, R. & Muzhikanov, P., 1998, In: Journal of Applied Mathematics and Stochastic Analysis. 11, 3, p. 289-300 12 p.Research output: Contribution to journal › Article › peer-review
Open Access1 Scopus citations -
Robust diffusion approximation for nonlinear filtering
Liptser, R. & Zeitouni, O., 1998, In: Journal of Mathematical Systems, Estimation, and Control. 8, 1, p. 139-142 4 p.Research output: Contribution to journal › Article › peer-review
3 Scopus citations -
1997
Nonlinear filtering problem with contamination
Kleptsina, M. L., Liptser, R. S. & Serebrovski, A. P., Nov 1997, In: Annals of Applied Probability. 7, 4, p. 917-934 18 p.Research output: Contribution to journal › Article › peer-review
Open Access6 Scopus citations -
Tracking of signal and its derivatives in Gaussian white noise
Chow, P. L., Khasminskii, R. & Liptser, R., 1 Sep 1997, In: Stochastic Processes and their Applications. 69, 2, p. 259-273 15 p.Research output: Contribution to journal › Article › peer-review
Open Access9 Scopus citations -
1996
Deterministic approximation for stochastic control problems
Liptser, R. S., Runggaldier, W. J. & Taksar, M., Jan 1996, In: SIAM Journal on Control and Optimization. 34, 1, p. 161-178 18 p.Research output: Contribution to journal › Article › peer-review
9 Scopus citations -
Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation
Liptser, R. S., Steinberg, Y., Bobrovsky, B. Z. & Schuss, Z., 29 Nov 1996, In: Stochastic Processes and their Applications. 64, 2, p. 237-255 19 p.Research output: Contribution to journal › Article › peer-review
Open Access3 Scopus citations -
Large deviations for occupation measures of Markov processes: Discrete time, noncompact case
Liptser, R., Mar 1996, In: Theory of Probability and its Applications. 41, 1, p. 35-54 20 p.Research output: Contribution to journal › Article › peer-review
4 Scopus citations -
Large deviations for two scaled diffusions
Liptser, R., Sep 1996, In: Probability Theory and Related Fields. 106, 1, p. 71-104 34 p.Research output: Contribution to journal › Article › peer-review
Open Access51 Scopus citations -
1995
Nonlinear Filters for Linear Models (A Robust Approach)
Liptser, R. S., Runggaldier, W. J. & Runggaldier, W. J., Jul 1995, In: IEEE Transactions on Information Theory. 41, 4, p. 1001-1009 9 p.Research output: Contribution to journal › Article › peer-review
1 Scopus citations -
1993
Large deviations for a simple closed queueing model
Liptser, R. S., Mar 1993, In: Queueing Systems. 14, 1-2, p. 1-31 31 p.Research output: Contribution to journal › Article › peer-review
3 Scopus citations -
Limit non-stationary behavior of large closed queueing networks with bottlenecks
Kogan, Y. & Liptser, R. S., Mar 1993, In: Queueing Systems. 14, 1-2, p. 33-55 23 p.Research output: Contribution to journal › Article › peer-review
17 Scopus citations -
1991
On diffusion approximations for filtering
Liptser, R. S. & Runggaldier, W. J., Aug 1991, In: Stochastic Processes and their Applications. 38, 2, p. 205-238 34 p.Research output: Contribution to journal › Article › peer-review
Open Access7 Scopus citations -
1986
On the variation distance for probability measures defined on a filtered space
Kabanov, Y. M., Liptser, R. S. & Shiryaev, A. N., Jan 1986, In: Probability Theory and Related Fields. 71, 1, p. 19-35 17 p.Research output: Contribution to journal › Article › peer-review
Open Access24 Scopus citations -
1983
On convergence in variation of the distributions of multivariate point processes
Kabanov, Y. M. & Liptser, R. S., Dec 1983, In: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete. 63, 4, p. 475-485 11 p.Research output: Contribution to journal › Article › peer-review
Open Access10 Scopus citations -
1982
Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures
Liptser, R. S., Pukelsheim, F. & Shiryaev, A. N., 31 Dec 1982, In: Russian Mathematical Surveys. 37, 6, p. 107-136 30 p.Research output: Contribution to journal › Article › peer-review
Open Access5 Scopus citations