Robert Sh. Liptser (; ; 20 March 1936 – 2 January 2019) was a Russian-Israeli

mathematician A mathematician is someone who uses an extensive knowledge of mathematics in their work, typically to solve mathematical problems. Mathematicians are concerned with numbers, data, quantity, mathematical structure, structure, space, Mathematica ...

who made contributions to the theory and applications of

stochastic processes In probability theory and related fields, a stochastic () or random process is a mathematical object usually defined as a family of random variables in a probability space, where the index of the family often has the interpretation of time. Stoc ...

, in particular to martingales,

stochastic control Stochastic control or stochastic optimal control is a sub field of control theory that deals with the existence of uncertainty either in observations or in the noise that drives the evolution of the system. The system designer assumes, in a Bayesi ...

and

nonlinear filtering In mathematics and science, a nonlinear system (or a non-linear system) is a system in which the change of the output is not proportional to the change of the input. Nonlinear problems are of interest to engineers, biologists, physicists, mathem ...

Biography

Liptser was born in Kirovograd,

Ukraine Ukraine is a country in Eastern Europe. It is the List of European countries by area, second-largest country in Europe after Russia, which Russia–Ukraine border, borders it to the east and northeast. Ukraine also borders Belarus to the nor ...

and spent his youth in

Odesa Odesa, also spelled Odessa, is the third most populous List of cities in Ukraine, city and List of hromadas of Ukraine, municipality in Ukraine and a major seaport and transport hub located in the south-west of the country, on the northwestern ...

, Ukraine. In 1959 he graduated with the M.Sc. degree in electrical engineering from

Moscow Aviation Institute Moscow Aviation Institute () is an engineering research university in Moscow, Russia. It is designated a National Research University. Since its inception the institute has been spearheading advances in aerospace technology both within Russia a ...

and in 1965 he graduated with the second M.Sc in mathematics from Faculty of Mechanics and Mathematics of

Moscow State University Moscow State University (MSU), officially M. V. Lomonosov Moscow State University,. is a public university, public research university in Moscow, Russia. The university includes 15 research institutes, 43 faculties, more than 300 departments, a ...

. In 1968 he obtained his Ph.D. degree from

Moscow Institute of Physics and Technology Moscow Institute of Physics and Technology (MIPT; , also known as PhysTech), is a public university, public research university located in Moscow Oblast, Russia. It prepares specialists in theoretical physics, theoretical and applied physics, ...

(MIPT). He held a Professor position at MIPT and worked in the Institute of Control Sciences until 1990, when he joined the Institute for Information Transmission Problems as the head of the Stochastic Dynamic Systems Laboratory. In 1993 emigrated to

Israel Israel, officially the State of Israel, is a country in West Asia. It Borders of Israel, shares borders with Lebanon to the north, Syria to the north-east, Jordan to the east, Egypt to the south-west, and the Mediterranean Sea to the west. Isr ...

and lived in

Kfar Saba Kfar Saba ( ), officially Kfar Sava , is a List of Israeli cities, city in the Sharon plain, Sharon region, of the Central District (Israel), Central District of State of Israel, Israel. In 2019 it had a population of 110,456, making it the 16th-l ...

. In Israel he held a Professor position at the School of Electrical Engineering in

Tel Aviv University Tel Aviv University (TAU) is a Public university, public research university in Tel Aviv, Israel. With over 30,000 students, it is the largest university in the country. Located in northwest Tel Aviv, the university is the center of teaching and ...

, until his retirement in 2005.

Research

Liptser made several important contributions to the theory of martingales and to their applications in engineering and statistics. This includes his study of the conditionally Gaussian processes, which play an important role in the

separation principle in stochastic control The separation principle is one of the fundamental principles of stochastic control theory, which states that the problems of optimal control and state estimation can be decoupled under certain conditions. In its most basic formulation it deals wit ...

. He coauthored a number of influential books. His monograph "Statistics of Random processes: General Theory and Applications",Liptser, Robert S., and Shiryaev, Albert N. Statistics of random processes II: Applications. 2nd ed. Vol. 6. Springer Science & Business Media, 2013. written together with

Albert Shiryaev Albert Nikolayevich Shiryaev (; born October 12, 1934) is a Soviet and Russian mathematician. He is known for his work in probability theory, statistics and financial mathematics. Career He graduated from Moscow State University in 1957. From ...

in 1974, has become internationally renowned reference textbook among scholars, working in stochastic analysis and related fields.

References

External links

*
Monash Probability Conference in Honor of Robert Liptser's 80th Birthday
26–29 April 2016 *
Robert Shevilevich Liptser, biographical sketch in Russian

Institute of Control Sciences of Russian Academy of Sciences

Robert Shevilevich Liptser, obituary in ''Theory of Probability and its Applications''
* Abramov, V. M., Miller, B. M., Rubinovich, E. Ya. and Chigansky, P. Yu
''Development of the theory of stochastic control and filtering in the works of R. Sh. Liptser''
Automatika i Telemekhanika, issue 3 (2020), 1--13. (In Russian.) {{DEFAULTSORT:Liptser, Robert Russian mathematicians Israeli mathematicians Probability theorists 1936 births 2019 deaths Moscow Institute of Physics and Technology alumni