Ruslan Stratonovich


Ruslan Leont'evich Stratonovich was a Russian physicist, engineer, and probabilist and one of the founders of the theory of stochastic differential equations.

Biography

Ruslan Stratonovich was born May 31, 1930 in Moscow. He studied from 1947 at the Moscow State University, specializing in there under P. I. Kuznetsov on radio physics. In 1953 he graduated and came into contact with the mathematician Andrey Kolmogorov. In 1956 he received his doctorate. In 1969 he became professor of physics at the Moscow State University.

Research

Stratonovich invented a stochastic calculus which serves as an alternative to the Itō calculus; the Stratonovich calculus is most natural when physical laws are being considered. The Stratonovich integral appears in his stochastic calculus. Here, the Stratonovich integral is named after him. He also solved the problem of optimal non-linear filtering based on his theory of conditional Markov processes, which was published in his papers in 1959 and 1960. The Kalman-Bucy filter is a special case of Stratonovich's filter.
The Hubbard-Stratonovich transformation in the theory of path integrals was introduced by him.
In 1965, he developed the theory of pricing information, which describes decision-making situations in which it comes to the question of how much someone is going to pay for information.

Awards