R
Robert Liptser
Researcher at Tel Aviv University
Publications - 55
Citations - 1519
Robert Liptser is an academic researcher from Tel Aviv University. The author has contributed to research in topics: Wiener process & Stochastic process. The author has an hindex of 10, co-authored 55 publications receiving 1443 citations.
Papers
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Journal ArticleDOI
Asymptotic stability of the wonham filter: ergodic and nonergodic signals
TL;DR: The stability problem of the Wonham filter with respect to initial conditions is addressed, and new bounds for the exponential stability rates, which do not depend on the observations are given.
Journal ArticleDOI
When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method
Fima C. Klebaner,Robert Liptser +1 more
TL;DR: In this article, Girsanov and Kazamaki gave a natural and easily verifiable condition for the martingale property, which is based on the so-called linear growth conditions involved in the definition of parameters of local martingales.
Posted Content
Asymptotic stability of the Wonham filter for ergodic and nonergodic signals
TL;DR: In this article, the stability of the Wonham filter with respect to initial conditions is studied in terms of the transition intensities matrix and the observation structure, and new bounds for the exponential stability rates do not depend on the observations.