Moshe Zakai

In addition to the Ito calculus, Paul Malliavin developed in the 1970s a "stochastic calculus of variations", now known as the Malliavin calculus. It turned out that in this setup it is possible to define a stochastic integral which will include the Ito integral. The papers of Zakai with David Nualart, Ali Süleyman Üstünel and Zeitouni promoted the understanding and applicability of the Malliavin calculus.

The solution to the problem of the optimal filtering of a wide class of linear dynamical system is known as the Kalman filter. This led to the same problem for nonlinear dynamical systems. The results for this case were highly complicated and were initially studied by Stratonovich in 1959 - 1960 and later by Kushner 1967. Around 1967, Zakai derived a considerably simpler solution for the optimal filter. It is known as the Zakai equation, and has been the starting point for further research work in this field.

From the results of Ito it became clear, back in the 1950s, that if a sequence of smooth functions which present the input to a physical system converge to something like a Brownian motion, then the sequence of outputs of the system do not converge in the classical sense. Several papers written by Eugene Wong and Zakai clarified the relation between the two approaches. This opened up the way to the application of the Ito calculus to problems in physics and engineering. These results are often referred to as Wong-Zakai corrections or theorems.

Zakai's main research concentrated on the study of the theory of stochastic processes and its application to information and control problems; namely, problems of noise in communication radar and control systems. The basic class of random processes which represent the noise in such systems are known as "white noise" or the "Wiener process" where the white noise is "something like a derivative" of the Wiener process. Since these processes vary quickly with time, the classical differential and integral calculus is not applicable to such processes. In the 1940s Kiyoshi Itō developed a stochastic calculus (the Ito calculus) for such random processes.

Moshe Zakai was born in Sokółka, Poland, to his parents Rachel and Eliezer Zakheim with whom he immigrated to Israel in 1936. He got the BSc degree in Electrical Engineering from the Technion – Israel Institute of Technology in 1951. 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. He then returned to the Scientific Department as head of the communication research group. In 1965 he joined the faculty of the Technion as an associate professor. In 1969 he was promoted to the rank of Professor and in 1970 he was appointed the holder of the Fondiller Chair in Telecommunication. He was appointed Distinguished Professor in 1985. From 1970 until 1973 he served as the Dean of the faculty of Electrical Engineering and from 1976 to 1978 he served as Vice President of Academic Affairs. He retired in 1998 as Distinguished Professor Emeritus.

Moshe Zakai (December 22, 1926 – November 27, 2015) was a Distinguished Professor at the Technion, Israel in electrical engineering, member of the Israel Academy of Sciences and Humanities and Rothschild Prize winner.