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 on 31 May 1930 in Moscow. He studied from 1947 at the Moscow State University, specializing in there under Pyotr Kuznetsov on radio physics. In 1953 he graduated and came into contact with the mathematician Andrey Kolmogorov. In 1956 he received his doctorate on the application of the theory of correlated random points to the calculation of electronic noise. In 1969 he became professor of physics at the Moscow State University.

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 (linear) 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.

with Pyotr Kuznetsov: The propagation of electromagnetic waves in multiconductor transmission lines, Pergamon Press 1964
Topics in the theory of random noise, 2 Volumes, Gordon and Breach, 1963, 1967
with Pyotr Kuznetsov, V. I. Tikhonov: Nonlinear transformation of stochastic processes, Pergamon Press 1965
Conditional Markov processes and their application to the theory of optimal control, Elsevier 1968
Nonlinear Nonequilibrium Thermodynamics, 2 Volumes, Springer Series in Synergetics, 1992, 1994
Theory of Information and its Value, Springer, 2020.