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8 Gubkina St. Moscow,
119991, Russia
Tel.: +7(495) 984 81 41
Fax: +7(495) 984 81 39
Web site: www.mi-ras.ru
E-mail: steklov@mi-ras.ru

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Department of Probability Theory and Mathematical Statistics

| Seminars | History of the Department | Research Fields | Publications |
Staff
Holevo Alexander Semenovich

Doctor Phys.-Math. Sci., Professor, Academician of RAS, Head of Department, Chief Scientific Researcher
office: 407; tel.: +7 (499) 941 01 92, +7 (495) 984 81 41 * 36 32; e-mail: holevo@mi-ras.ru
Personal page: https://homepage.mi-ras.ru/~holevo
Principal fields of research: Noncommutative probabilty theory. Quantum information theory. Mathematical foundations of quantum theory. Communication and computing. Quantum and classical stochastic processes. Quantum Markov property and dynamical semigroups. Statistical structure of quantum theory. Quantum measurements.
Holevo Alexander Semenovich
Amosov Grigori Gennadievich

Doctor Phys.-Math. Sci., Professor, Leading Scientific Researcher
office: 417; tel.: +7 (495) 984 81 41 * 37 82, +7 (495) 984 81 41 * 36 57; e-mail: gramos@mi-ras.ru
Amosov Grigori Gennadievich
Gushchin Aleksandr Aleksnadrovich

Doctor Phys.-Math. Sci., Leading Scientific Researcher
office: 405; tel.: +7 (495) 984 81 41 * 37 73; e-mail: gushchin@mi-ras.ru
Gushchin Aleksandr Aleksnadrovich
Muravlev Alexey Anatol'evich

Candidate Phys.-Math. Sci., Scientific Researcher
office: 415; tel.: +7 (495) 984 81 41 * 37 82; e-mail: almurav@mi-ras.ru
Principal fields of research: Stochastic analysis. Optimal stopping problems. Fractional Brownian motion.
Muravlev Alexey Anatol'evich
Shirokov Maksim Evgenievich

Doctor Phys.-Math. Sci., Leading Scientific Researcher
office: 407; tel.: +7 (499) 135 04 80, +7 (495) 984 81 41 * 36 32; e-mail: msh@mi-ras.ru
Personal page: https://homepage.mi-ras.ru/~msh
Principal fields of research: Quantum information theory.
Shirokov Maksim Evgenievich
Shiryaev Albert Nikolaevich

Doctor Phys.-Math. Sci., Professor, Academician of RAS, Chief Scientific Researcher
office: 413; tel.: +7 (495) 984 81 41 * 37 37; e-mail: albertsh@mi-ras.ru
Shiryaev Albert Nikolaevich
Yakymiv Arsen Ljubomirovich

Doctor Phys.-Math. Sci., Leading Scientific Researcher
office: 415; tel.: +7 (495) 984 81 41 * 37 82, +7 (495) 984 81 41 * 36 57; e-mail: arsen@mi-ras.ru
Principal fields of research: Stochastic applications of Tauberian theorems.
Yakymiv Arsen Ljubomirovich
Yaskov Pavel Andreevich

Candidate Phys.-Math. Sci., Senior Scientific Researcher
office: 415; tel.: +7 (495) 984 81 41 * 37 82; e-mail: yaskov@mi-ras.ru
Yaskov Pavel Andreevich
Zhitlukhin Mikhail Valentinovich

Candidate Phys.-Math. Sci., Senior Scientific Researcher
office: 415; tel.: +7 (495) 984 81 41 * 37 82 ; e-mail: mikhailzh@mi-ras.ru
Principal fields of research: Probability theory. Stochastic calculus. Stochastic control. Applications in financial mathematics.
Zhitlukhin Mikhail Valentinovich

Novikov Aleksandr Aleksandrovich

Doctor Phys.-Math. Sci., Out-Of-Staff Member
e-mail: alex.novikov@uts.edu.au
Novikov Aleksandr Aleksandrovich

Chibisov Dmitrii Mikhailovich (25.12.1936 – 20.11.2019)

Doctor Phys.-Math. Sci., Professor, Leading Scientific Researcher
Chibisov Dmitrii Mikhailovich (25.12.1936 – 20.11.2019)
Prokhorov Yurii Vasil'evich (15.12.1929 – 16.07.2013)

Doctor Phys.-Math. Sci., Academician of RAS
Viskov Oleg Viktorovich (02.02.1937 – 21.06.2018)

Candidate Phys.-Math. Sci., Senior Scientific Researcher
Top
Seminars
Principle Seminar of the Department of Probability Theory, Moscow State University
Seminar organizer: A. N. Shiryaev; Seminar Coordinator: E. B. Yarovaya; Scientific Secretary: V.A. Kutsenko
MSU, auditorium 12-24
Seminar of the Department of Probability Theory "Stochastic Analysis: Theory and Applications", Steklov Mathematical Institute of RAS
Steklov Mathematical Institute of RAS, Room 415 (8 Gubkina)
Seminar on Quantum Probability, Statistics, Information
Seminar organizer: A. S. Holevo
Steklov Mathematical Institute, Room 415 (8 Gubkina)
Top
History of the Department

From the time when the Department was organized in 1938 and until 1960, the Head of Department was A.†N.†Kolmogorov (excluding 1946Ė1948 when A.†Ya.†Khinchin occupied this position). From 1960 to 2013 the Department was headed by academician Yu.†V.†Prokhorov. During some period a part of the Department existed independently under the name Department of Mathematical Statistics successively headed by N.†V.†Smirnov, L.†N.†Bol'shev, D.†M.†Chibisov, and from 1983 to 1987 by A.†N.† Kolmogorov.

In the 1940-s research in Probability Theory and in Statistics also was done outside the Department (S.†N.†Bernstein, O.†V.†Sarmanov). In the Department itself investigations in these fields were carried out by A.†N.†Kolmogorov, A.†Ya.†Khinchin, E.†E.†Slutsky, N.†V.†Smirnov. At the end of 40-s the Department was joined by B.†A.†Sevast'yanov and Yu.†V.†Prokhorov, and at the beginning of 50-s by L.†N.†Bol'shev. At that time a close assistant of A.†N.†Kolmogorov was A.†A.†Petrov. Special preparation to the degree of Doctor of Sciences had Yu.†V.†Prokhorov, V.†S.†Semenov, S.†Kh.†Sirazhdinov. Among graduate students at the Department were A.†A.†Borovkov, N.†N.†Chentsov, G.†M.†Maniya, and E.†A.†Nadaraya.

Along with theoretical research, great attention was paid to applications. Among them were

  • theory of shell scattering (A.†N.†Kolmogorov);
  • statistical quality control (A.†N.†Kolmogorov, S.†A.†Aivazyan, A.†N.† Bol'shev, S.†Kh.†Sirazhdinov, I.†A.†Borodachev);
  • composition of statistical tables (E.†E.†Slutskii, N.†V.†Smirnov, L.†N.†Bol'shev and their assistants E.†S.†Kedrova, V.†F.†Kotelnikova, M.†A.†Rybinskaya);
  • queuing theory (A.†Ya.†Khinchin, Yu.†V.†Prokhorov, B.†A.†Sevast'yanov).

The main directions of theoretical research in the Department were:

  • foundations of the probability theory (measure theoretic approach ó A.†N.†Kolmogorov, V.†V.†Sazonov, Yu.†V.†Prokhorov, algorithmic complexity approach ó A.†N.†Kolmogorov);
  • asymptotic methods of probability and statistics (A.†Ya.†Khinchin, A.†N.†Kolmogorov, N.†V.†Smirnov, Yu.†V.†Prokhorov, V.†M.†Zolotarev, V.†V.†Sazonov, D.†M.†Chibisov);
  • theory of random processes and fields (A.†Ya.†Khinchin, A.†N.†Kolmogorov, Yu.†A.†Rozanov), purely jump and branching processes (A.†Ya.†Khinchin, B.†A.†Sevast'yanov, V.†F.†Kolchin); statistical sequential analysis, stochastic calculus, martingales (A.†N.†Shiryaev, A.†A.†Novikov);
  • foundations of statistical mechanics and quantum statistics, information theory (A.†Ya.†Khinchin, A.†S.†Holevo);
  • nonparametric methods of mathematical statistics, properties of order statistics, asymptotic theory of different tests (N.†V.†Smirnov, A.†N.†Kolmogorov, L.†N.†Bol'shev, N.†N.†Chentsov, D.†M.†Chibisov).

Besides the mentioned above, at different times at the Department worked: K.†A.†Borovkov, B.†I.†Devyatov, M.†P.†Ershov, A.†V.†Kolchin, V.†F.†Kolchin, D.†O.†Kramkov, B.†N.†Leonov, V.†K.†Malinovsky, A.†C.†Miller, M.†L.†Nechaev, B.†S.†Stechkin, Yu.†O.†Usenko.

Top
Research Fields

The goal of theory of probability and mathematical statistics is the study of the universal mathematical laws underlying the random phenomena, the development of methods for construction of mathematical models that reflect essential features of random data, application to the analysis of specific complex multicomponent systems in physics, engineering, computer science, economics, biology, social sciences. The modern trend in probability theory is also characterized by wide application of probabilistic methods in mathematical structures of diverse nature varying from geometry, algebra, representation theory and complex analysis to the theory of numbers, combinatorics and theory of algorithms. Currently the main directions of research in the Department of Probability Theory and Mathematical Statistics are:

  • stochastic optimization and its application, including financial mathematics (A.†N.†Shiryaev, A.†A.†Gushchin, P.†A.†Yaskov, M.†V.†Zhitlukhin, A.†A.†Muravlev);
  • non-commutative probability theory and its applications in quantum theory of information and statistical decisions (A.†S.†Holevo, M.†E.†Shirokov, G.†G.†Amosov);
  • asymptotic methods in probability theory and statistics (O.†V.†Viskov, V.†I.†Khokhlov, D.†M.†Chibisov, A.†L.†Yakymiv).
Research of leading members of the Department in these directions is at the world level and has earned international recognition in the form of awards, participation in the organizing committees and as invited speakers at major international conferences, in the editorial boards of leading world scientific magazines, as confirmed by the high citations of their work. In these areas it is planned the development of stochastic analysis and optimization; asymptotic methods, including methods of random matrices; construction and investigation of mathematical models of classical and quantum information-processing systems and methods of computing their entropy characteristics, the development of the mathematical theory of quantum correlations (entanglement) in the composite infinite dimensional quantum systems (the so-called continuous variables systems) with applications to the modeling of complex systems, development of effective algorithms of information processing and communication protocols.

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