Robert Sh. Liptser

Robert Sh. Liptser


Friday, March 20, 1936

Passed away: 

Tuesday, January 1, 2019

Robert Liptser, in full Robert Shevilevich Liptser, was born in Kirovograd on March 20, 1936. He spent his youth in Odessa. An interesting fact: in the early 1960s, three years after his graduation from Moscow Aviation Institute, Liptser appeared at the Institute of Automation and Remote Control (IARC), Feldbaum’s Laboratory, and was immediately recognized by Evgeny P. Maslov, a native inhabitant of Odessa!

Liptser did not forget Odessa and joking but vigorously studied new things. In 1965, he graduated from the Department of Mechanics and Mathematics, Moscow State University (MSU). From the very beginning, Liptser was interested in stochastics and related control problems. Therefore, while studying at MSU, he quickly became life friends with Albert N. Shiryaev, his teacher and scientific supervisor. In subsequent years, they coauthored 10 books!

In 1968, Liptser joined the newly organized A.M. Petrovskii’s Laboratory with a group of former employees of Feldbaum’s Laboratory. (The latter was disbanded due to the Head’s death.) In the same year, Liptser defended his candidate’s dissertation in physics and mathematics. In 1978, Liptser defended his doctoral dissertation in engineering. (It was the decision of Director V.A. Trapeznikov: at that time, the Institute had no council with the right to confer the degrees of Dr. Sci. (Phys.—Math.).)

In addition to his phenomenal ability to describe all events of life by stochastic differential equations, Liptser has always been distinguished by a rare gift of talking about it. That is why he had many students: doctors, candidates, and just good mathematicians. He began teaching at the Moscow Institute of Physics and Technology (MIPT) in 1965 and later became Professor there.

In 1990, Liptser moved from Trapeznikov Institute of Control Sciences to the Institute for Information Transmission Problems, where he headed the Laboratory of Stochastic Dynamic Systems.

With the beginning of perestroika, Liptser accepted numerous offers from different countries to give lectures on stochastic systems theory. From 1988 to 1993, he visited the USA (twice), Italy (twice), Sweden, and Israel with his lectures. In 1993, Liptser was offered a full professorship at Tel Aviv University.

In the last years of his life, Liptser worked in Israel, although he visited (as a guest professor) different universities in Australia, Germany, Italy, Russia, the USA, and other countries. For a long time, Liptser annually came to Moscow and gave lectures at the Data Analysis School (Yandex). Note that B.T. Polyak, A.Ya. Chervonenkis, and A.N. Shiryaev were among the lecturers of this school.

Numerous Liptser’s students and colleagues work in Russia, the USA, Italy, France, Sweden, Israel, and Australia.

His research areas were as follows: linear and nonlinear filtering, dynamics of stochastic systems, martingales (as an apparatus for the approximate description of probabilistic processes), diffusion approximations of queuing systems, and the theory of large deviations for semi-martingales.

As mentioned above, Liptser published 10 monographs and over 100 scientific papers in leading peer-reviewed journals.

In common life, Liptser was a cheerful and friendly man. He liked to relax by kayaking, bicycling, and alpine skiing. He wore no ties, and there is no available photo in smart appearance.

Liptser’s main books and brochures are as follows:

  1. Statistics of Random Processes II: Applications, 2nd ed., vol. 6, Springer Science & Business Media, 2013. — X, 341 p. (coauthor A.N. Shiryaev);
  2. Statistics of Random Processes I: General Theory, 2nd ed., vol. 5, Springer Science & Business Media, 2013. — XV, 427 p. (coauthor A.N. Shiryaev);
  3. Theory of Martingales, vol. 49, Springer Science & Business Media, 2012. — XIV, 792 p. (coauthor A.N. Shiryaev);
  4. Statistika sluchainykh protsessov (Statistics of Random Processes), Moscow: Nauka, 1974. — 696 p. (coauthor A.N. Shiryaev);
  5. Rekurrentnoe otsenivanie sluchainykh posledovatel’nostei (Recurrent Estimation of Random Sequences), Moscow: Institute of Control Sciences, the USSR Academy of Sciences, 1974. — 70 p.

Some of these books are presented in the Institute’s database:Липцер

The list of journal papers by Liptser is available at:

The list of his papers in Avtomatika i Telemekhanika can be found at:

For their English versions, see the microfilm collection of Automation and Remote Control (1956—1994):

and the journal page at SpringerLink (2001—2022):

Articles about R.Sh. Liptser

1. V. M. Abramov, B. M. Miller, E. Ya. Rubinovich, P. Yu. Chiganskii, Further Development of Stochastic Control and Filtering in Works of R. LiptserAvtomat. i Telemekh., 2020, no. 3, 3—13.
2. In Memory of R. Sh. Liptser (20.03.1936 — 02.01.2019)Teor. Veroyatnost. i Primenen.64:2 (2019), 412; Theory Probab. Appl.64:2 (2019), 334.

Also, see the Wikipedia page devoted to Liptser:

Scopus Author ID: 56064245600, 7004548924