Robert S. Liptser

Articles in Scholarly Journals [Incomplete List]

  1. FCLT and MDP for Stochastic Lotka–Volterra Model
    Acta Applicandae Mathematicae, vol. 97, no. 1-3, pp. 53–68, 2007
  2. On-line Tracking of a Smooth Regression Function
    Statistical Inference for Stochastic Processes, vol. 9, no. 1, pp. 17–30, 2006
  3. On Estimation of Volatility Surface and Prediction of Future Spot Volatility
    Applied Mathematical Finance, vol. 13, no. 3, pp. 245–263, 2006
  4. A filtering approach to tracking volatility from prices observed at random times
    The Annals of Applied Probability, vol. 16, no. 3, pp. 1633–1652, 2006
  5. MDP for integral functionals of fast and slow processes with averaging
    Stochastic Processes and their Applications, vol. 115, no. 7, pp. 1187–1207, 2005
  6. Tracking Volatility
    Problems of Information Transmission, vol. 41, no. 3, pp. 212–229, 2005
  7. Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
    SIAM Journal on Control and Optimization, vol. 43, no. 2, p. 643, 2004
  8. On Existence of Limiting Distribution for Time-Nonhomogeneous Countable Markov Process
    Queueing Systems, vol. 46, no. 3/4, pp. 353–361, 2004
  9. Stability of nonlinear filters in nonmixing case
    The Annals of Applied Probability, vol. 14, no. 4, pp. 2038–2056, 2004
  10. Acta Applicandae Mathematicae, vol. 78, no. 1/3, pp. 201–206, 2003
  11. Online Estimation of a Smooth Regression Function
    Theory of Probability and Its Applications, vol. 47, no. 3, p. 541, 2003
  12. Filtering of Nonlinear Stochastic Feedback Systems
    SIAM Journal on Control and Optimization, vol. 40, no. 5, p. 1576, 2002
  13. Markovianity of a subset of components of a Markov process
    Systems & Control Letters, vol. 46, no. 4, pp. 237–242, 2002
  14. On diffusion approximation with discontinuous coefficients
    Stochastic Processes and their Applications, vol. 102, no. 2, pp. 235–264, 2002
  15. On estimation of time dependent spatial signal in Gaussian white noise
    Stochastic Processes and their Applications, vol. 96, no. 1, pp. 161–175, 2001
  16. Asymptotic Analysis and Extinction in a Stochastic Lotka-Volterra Model
    The Annals of Applied Probability, vol. 11, no. 4, pp. 1263–1291, 2001
  17. Statistical Inference for Stochastic Processes, vol. 3, no. 3, pp. 225–249, 2000
  18. An Example of Large Deviations for a Stationary Process
    Theory of Probability and Its Applications, vol. 44, no. 1, p. 201, 2000
  19. Diffusion Approximation and Optimal Stochastic Control
    Theory of Probability and Its Applications, vol. 44, no. 4, p. 669, 2000
  20. Deviation probability bound for martingales with applications to statistical estimation
    Statistics & Probability Letters, vol. 46, no. 4, pp. 347–357, 2000
  21. Moderate deviations for randomly perturbed dynamical systems
    Stochastic Processes and their Applications, vol. 80, no. 2, pp. 157–176, 1999
  22. Nonlinear filtering problem with contamination
    The Annals of Applied Probability, vol. 7, no. 4, pp. 917–934, 1997
  23. Tracking of signal and its derivatives in Gaussian white noise
    Stochastic Processes and their Applications, vol. 69, no. 2, pp. 259–273, 1997
  24. Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation
    Stochastic Processes and their Applications, vol. 64, no. 2, pp. 237–255, 1996
  25. Large deviations for two scaled diffusions
    Probability Theory and Related Fields, vol. 106, no. 1, pp. 71–104, 1996
  26. SIAM Journal on Control and Optimization, vol. 34, no. 1, Article ID 0334007, 1996
  27. Nonlinear filters for linear models (a robust approach)
    IEEE Transactions on Information Theory, vol. 41, no. 4, pp. 1001–1009, 1995
  28. Limit non-stationary behavior of large closed queueing networks with bottlenecks
    Queueing Systems, vol. 14, no. 1-2, pp. 33–55, 1993
  29. On diffusion approximations for filtering
    Stochastic Processes and their Applications, vol. 38, no. 2, pp. 205–238, 1991
  30. On the variation distance for probability measures defined on a filtered space
    Probability Theory and Related Fields, vol. 71, no. 1, pp. 19–35, 1986
  31. On contiguity of probability measures corresponding to semimartingales
    Analysis Mathematica, vol. 11, no. 2, pp. 93–124, 1985
  32. On convergence in variation of the distributions of multivariate point processes
    Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete, vol. 63, no. 4, pp. 475–485, 1983
  33. On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales
    Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete, vol. 59, no. 3, pp. 311–318, 1982