Moshe Zakai

[1] Moshe Zakai was born in Sokółka, Poland, to his parents Rachel and Eliezer Zakheim with whom he immigrated to Israel in 1936.He joined the scientific department of the Defense Minister of Israel, where he was assigned to research and development of radar systems.From 1956 to 1958, he did graduate work at the University of Illinois on an Israeli Government Fellowship, and was awarded the PhD in electrical engineering.Around 1967, Zakai derived a considerably simpler SPDE for an unnormalized version of the optimal filter density.The papers of Zakai with David Nualart, Ali Süleyman Üstünel and Zeitouni promoted the understanding and applicability of the Malliavin calculus.
SokółkaPolandUniversity of Illinois at Urbana–ChampaignElectrical engineeringTechnionDistinguished ProfessorIsrael Academy of Sciences and HumanitiesRothschild PrizeDefense Minister of IsraelUniversity of Illinoisprofessorprofessor emeritusInstitute of Mathematical StatisticsNational Academy of EngineeringIEEE Control Systems Awardtheory of stochastic processeswhite noiseWiener processKiyoshi Itōstochastic calculusIto calculusBrownian motionEugene WongfilteringKalman filterStratonovichKushnerKushner-Stratonovich equationstochastic partial differential equationZakai equationBrownian sheetsIto integralPaul MalliavinMalliavin calculusstochastic integralDavid NualartmonographIEEE Control Systems SocietyMerzbach, Ely