Edit Profile Shiryaev, Al’bert Nikolaevich Compute Distance To: Compute Author ID: shiryaev.albert-n Published as: Shirayaev, Albert N.; Shiryaev, A.; Shiryaev, A. N.; Shiryaev, Al’bert Nikolaevich; Shiryaev, Albert; Shiryaev, Albert N.; Shiryayev, A. N.; Shiryayev, Albert N.; Sirjaev, A. N.; Širjaev, A. N. Homepage: http://new.math.msu.su/department/probab/staff/shiryaev.html External Links: MGP · Math-Net.Ru · Wikidata · dblp · GND Documents Indexed: 274 Publications since 1959, including 58 Books Biographic References: 6 Publications all top 5 Co-Authors 82 single-authored 54 Liptser, Robert 23 Kabanov, Yuriĭ Mikhaĭlovich 15 Prokhorov, Yuriĭ Vasil’evich 9 Novikov, Aleksandr Aleksandrovich 8 Peskir, Goran 8 Shepp, Lawrence Alan 8 Zhitlukhin, Mikhail V. 6 Melnikov, Aleksander Viktorovich 5 Cherny, Alexander S. 5 Jacod, Jean 5 Muravlev, Alexey A. 4 Chibisov, Dmitriĭ Mikhaĭlovich 4 Ibragimov, Il’dar Abdullovich 4 Kramkov, Dmitriĭ Olegovich 4 Spokoiny, Vladimir G. 4 Yor, Marc 3 Bukhshtaber, Viktor Matveevich 3 do Rosário Grossinho, Maria 3 Feinberg, Eugene Aleksandrovich 3 Graversen, Svend Erik 3 Grigelionis, Bronius I. 3 Kolmogorov, Andreĭ Nikolaevich 3 Korolyuk, Volodymyr Semenovych 3 Krylov, Nicolaĭ Vladimirovich 3 Sinaĭ, Yakov Grigor’evich 3 Skorokhod, Anatoliĭ Volodymyrovych 3 Viskov, Oleg Viktorovich 2 Afanaseva, Larisa G. 2 Anulova, Svetlana 2 Barndorff-Nielsen, Ole Eiler 2 Borovkov, Aleksandr Alekseevich 2 Bühlmann, Hans 2 Delbaen, Freddy 2 Dobrushin, Roland Lvovich 2 Eberlein, Ernst W. 2 Embrechts, Paul 2 Engelbert, Hans Jürgen 2 Fukushima, Masatoshi 2 Gamkrelidze, Revaz Valerianovich 2 Gapeev, Pavel V. 2 Greenwood, Priscilla E. 2 Jeanblanc, Monique 2 Kallsen, Jan 2 Korolev, Viktor Yur’evich 2 Leonov, V. P. 2 Lyulko, Ya. A. 2 Maslov, Viktor Pavlovich 2 Medvedev, Yu. I. 2 Mémin, Jean 2 Niemi, Hannu 2 Papapantoleon, Antonis 2 Pergamenshchikov, Sergeĭ Markovich 2 Pukelsheim, Friedrich 2 Rozovskii, Boris L. 2 Sachkov, Vladimir N. 2 Sergienko, Ivan Vasylyovych 2 Sevast’yanov, Boris Aleksandrovich 2 Shervashidze, Tengiz 2 Veretennikov, Alexander Yu. 2 Watanabe, Shinzo 2 Xu, Zuoquan 2 Zhou, Xunyu 1 Afanas’ev, Valeriĭ Ivanovich 1 Aĭvazyan, Sergeĭ Artem’evich 1 Aliev, Akbar B. 1 Amosov, Grigori G. 1 Aptekarev, Alexander Ivanovich 1 Arjas, Elja 1 Arkin, Vadim I. 1 Bakhvalov, Nikolai Sergeevich 1 Basdhtova, E. 1 Blagoveshchenskiĭ, Yuriĭ Nikolaevich 1 Borisov, Igor S. 1 Bulinskaya, Ekaterina Vadimova 1 Bulinskiĭ, Aleksandr Vadimovich 1 Bulinskiĭ, Andreĭ Vadimovich 1 Burnaev, E. V. 1 Butkovskiĭ, Oleg Yaroslavovich 1 Çetin, Umut 1 Chebotarev, Alexandr M. 1 Chirka, Evgeni M. 1 Chistyakov, Vladimir Pavlovich 1 Dalang, Robert C. 1 Demichev, V. P. 1 Douady, Raphaël 1 du Toit, Jacques 1 Dubins, Lester E. 1 D’yakonova, Elena Evgen’evna 1 Ehrhardt, Matthias 1 Esquível, Manuel Leote 1 Föllmer, Hans 1 Fuchs, Dmitry Borisovich 1 Grinvud, P. E. 1 Gromov, Andrey 1 Gromov, Mikhael Leonidovich 1 Guerra, Manuel 1 Gurevich, B. M. 1 Helemskii, Alexander Ya. 1 Hognas, Goran 1 Kholevo, Aleksandr Semënovich ...and 78 more Co-Authors all top 5 Serials 52 Theory of Probability and its Applications 21 Teoriya Veroyatnosteĭ i eë Primeneniya 14 Russian Mathematical Surveys 6 Matematicheskiĭ Sbornik. Novaya Seriya 6 Mathematics of the USSR, Sbornik 6 Proceedings of the Steklov Institute of Mathematics 6 Applications of Mathematics 4 Soviet Mathematics. Doklady 4 Sequential Analysis 4 Graduate Texts in Mathematics 4 Advanced Series on Statistical Science & Applied Probability 3 Statistics & Decisions 3 The Annals of Applied Probability 3 Problemy Peredachi Informatsii 3 Finance and Stochastics 3 Quantitative Finance 3 Stochastics 3 Trudy Matematicheskogo Instituta Imeni V. A. Steklova 2 Stochastics 2 Uspekhi Matematicheskikh Nauk [N. S.] 2 Kibernetika 2 Mathematics of the USSR. Izvestiya 2 Selected Translations in Mathematical Statistics and Probability 2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 2 CWI Quarterly 2 Stochastics and Stochastics Reports 2 Obozrenie Prikladnoĭ i Promyshlennoĭ Matematiki 2 Bernoulli 2 Fundamental’naya i Prikladnaya Matematika 2 Proceedings of A. Razmadze Mathematical Institute 2 Grundlehren der Mathematischen Wissenschaften 2 Itogi Nauki i Tekhniki. Seriya Sovremennye Problemy Matematiki. Fundamental’nye Napravleniya 1 Advances in Applied Probability 1 Analysis Mathematica 1 Journal of Mathematical Analysis and Applications 1 Lithuanian Mathematical Journal 1 Mathematical Notes 1 Matematicheskie Zametki 1 Moscow University Mathematics Bulletin 1 Annales Academiae Scientiarum Fennicae. Series A I. Mathematica 1 The Annals of Probability 1 The Annals of Statistics 1 Functional Analysis and its Applications 1 International Statistical Review 1 Statistics & Probability Letters 1 Probability Theory and Related Fields 1 Statistical Science 1 Journal of Economic Dynamics & Control 1 International Journal of Computer Mathematics 1 Izvestiya Akademii Nauk SSSR. Seriya Matematicheskaya 1 Litovskiĭ Matematicheskiĭ Sbornik 1 Vestnik Moskovskogo Universiteta. Seriya I. Matematika, Mekhanika 1 Cybernetics and Systems Analysis 1 Random Operators and Stochastic Equations 1 Electronic Communications in Probability 1 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka 1 ASTIN Bulletin 1 Bulletin de l’Institut International de Statistique 1 Encyclopaedia of Mathematical Sciences 1 Translations of Mathematical Monographs 1 Optimizatsiya i Issledovanie Operatsiĭ 1 Statistics & Risk Modeling 1 Springer Proceedings in Mathematics & Statistics 1 Probability Theory and Stochastic Modelling 1 Problem Books in Mathematics all top 5 Fields 195 Probability theory and stochastic processes (60-XX) 73 Statistics (62-XX) 40 History and biography (01-XX) 39 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 28 General and overarching topics; collections (00-XX) 13 Systems theory; control (93-XX) 6 Information and communication theory, circuits (94-XX) 5 Measure and integration (28-XX) 3 Partial differential equations (35-XX) 2 Integral equations (45-XX) 2 Mathematics education (97-XX) 1 Mathematical logic and foundations (03-XX) 1 Topological groups, Lie groups (22-XX) 1 Sequences, series, summability (40-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 185 Publications have been cited 5,736 times in 4,467 Documents Cited by ▼ Year ▼ Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002Jacod, Jean; Shiryaev, Albert N. 933 2003 Limit theorems for stochastic processes. Zbl 0635.60021Jacod, Jean; Shiryaev, Albert N. 631 1987 Statistics of random processes. I. General theory. Translated by A. B. Aries. Zbl 0364.60004Liptser, R. S.; Shiryayev, A. N. 379 1977 Optimal stopping and free-boundary problems. Zbl 1115.60001Peskir, Goran; Shiryaev, Albert 322 2006 Probability theory and B. V. Gnedenko. Zbl 0909.01009Shiryaev, A. N. 204 1996 Theory of martingales. Transl. from the Russian by K. Dzjaparidze. Zbl 0728.60048Liptser, R. Sh.; Shiryayev, A. N. 192 1989 Optimal stopping rules. Translated by A. B. Aries. 3rd ed. Zbl 0391.60002Shiryaev, A. N. 178 1978 Limit theorems for stochastic processes. Vol. 1-2. Zbl 0830.60025Jacod, J.; Shiryaev, A. N. 173 1994 Statistics of random processes. II. Applications. Translated by A. B. Aries. Zbl 0369.60001Liptser, R. S.; Shiryayev, A. N. 145 1978 On optimum methods in quickest detection problems. Zbl 0213.43804Shiryaev, A. N. 131 1963 Optimization of the flow of dividends. Zbl 0878.90014Jeanblanc-Picqué, M.; Shiryaev, A. N. 114 1995 Essentials of stochastic finance. Transl. from the Russian by N. Kruzhilin. Zbl 0926.62100Shiryaev, A. N. 99 1999 Statistics of random processes. 1: General theory. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62072Liptser, Robert S.; Shiryaev, Albert N. 95 2001 Probability. Textbook. (Вероятность. Учебное пособие). Zbl 0508.60001Shiryaev, A. N. 94 1980 Statistics of random processes. Nonlinear filtration and related questions. (Statystyka procesów stochastycznych. Filtracja nieliniowa i zagadnienia pokrewne). Transl. from the Russian by Wojciech Herer. Zbl 0556.60003Liptser, R. Sh.; Shiryaev, A. N. 87 1981 On a method of calculation of semi-invariants. Zbl 0087.33701Leonov, V. P.; Shiryaev, A. N. 84 1959 Statistics of random processes. 2: Applications. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62073Liptser, Robert S.; Shiryaev, Albert N. 77 2001 Probability. Transl. from the Russian by R. P. Boas. 2nd ed. Zbl 0835.60002Shiryaev, A. N. 73 1995 The cumulant process and Esscher’s change of measure. Zbl 1035.60042Kallsen, Jan; Shiryaev, Albert N. 72 2002 The Russian option: Reduced regret. Zbl 0783.90011Shepp, Larry; Shiryaev, A. N. 69 1993 Probability. Transl. from the Russian by R. P. Boas. Zbl 0536.60001Shiryaev, A. N. 58 1984 On the question of absolute continuity and singularity of probability measures. Zbl 0398.60044Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 54 1977 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036Jacod, J.; Shiryaev, A. N. 50 1998 No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N. 46 1996 Martingale theory. (Teoriya martingalov). Zbl 0654.60035Liptser, R. Sh.; Shiryaev, A. N. 43 1986 On Stefan’s problem and optimal stopping rules for Markov processes. Zbl 0178.53303Grigelionis, B. I.; Shiryaev, A. N. 43 1966 Change of time and change of measure. Zbl 1234.60003Barndorff-Nielsen, Ole; Shiryaev, Albert 42 2010 Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048Föllmer, Hans; Protter, Philip; Shiryayev, Albert N. 41 1995 Sequential testing problems for Poisson processes. Zbl 1081.62546Peskir, G.; Shiryaev, A. N. 39 2000 Probability. Textbook. 2nd ed., rev. and compl. Zbl 0682.60001Shiryaev, A. N. 39 1989 Thou shalt buy and hold. Zbl 1154.91478Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 33 2008 On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales. Zbl 0482.60030Liptser, R. Sh.; Shiryaev, A. N. 33 1982 Statistical sequential analysis. Optimal stopping rules. 2nd ed., rev. Zbl 0463.62068Shiryaev, A. N. 33 1976 Solving the Poisson disorder problem. Zbl 1009.60033Peskir, Goran; Shiryaev, Albert N. 29 2002 Optimal stopping rules. Reprint of the 1978 3rd ed. Zbl 1138.60008Shiryaev, Albert N. 28 2008 On Esscher transforms in discrete finance models. Zbl 1162.91367Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N. 28 1998 Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082Graversen, S. E.; Peskir, G.; Shiryaev, A. N. 27 2000 Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time. Zbl 0882.62076Shiryaev, A. N. 27 1996 Optimal stopping rules and maximal inequalities for Bessel processes. Zbl 0807.60040Dubins, L. E.; Shepp, L. A.; Shiryaev, A. N. 25 1993 On contiguity of probability measures corresponding to semimartingales. Zbl 0591.60039Liptser, R. S.; Shiryaev, A. N. 23 1985 Quickest detection problems in the technical analysis of the financial data. Zbl 1001.62038Shiryaev, Albert N. 22 2002 Contiguity and the statistical invariance principle. Zbl 0659.62029Greenwood, P. E.; Shiryayev, A. N. 22 1985 Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes. Zbl 0416.60062Kabanov, Yu.; Liptser, R.; Shiryaev, A. N. 22 1978 Time change representation of stochastic integrals. Zbl 1034.60055Kallsen, J.; Shiryaev, A. N. 20 2001 The problem of the most rapid detection of a disturbance in a stationary process. Zbl 0109.11201Shiryaev, A. N. 20 1961 Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. 19 2009 A new look at pricing of the “Russian option”. Zbl 0834.60072Shepp, L. A.; Shiryaev, A. N. 19 1994 Toward the theory of pricing of options of both European and American types. II: Continuous time. Zbl 0833.60065Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V. 19 1994 Martingales: Recent developments, results and applications. Zbl 0478.60062Shiryaev, A. N. 19 1981 A functional central limit theorem for semimartingales. Zbl 0471.60038Liptser, R. Sh.; Shiryaev, A. N. 18 1981 On the duality principle in option pricing: semimartingale setting. Zbl 1150.91016Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. 17 2008 Absolute continuity and singularity of locally absolutely continuous probability distributions. I. Zbl 0426.60039Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 17 1979 Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024Feinberg, Eugene A.; Shirayaev, Albert N. 16 2006 A functional central limit theorem for semimartingales. Zbl 0454.60032Liptser, R. Sh.; Shiryaev, A. N. 16 1980 On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073Douady, R.; Shiryaev, A. N.; Yor, M. 15 1999 Statistical sequential analysis. Optimal stopping rules. Translated from the Russian by Lisa and Judah Rosenblatt. Zbl 0267.62039Shiryaev, A. N. 15 1973 Statistical experiments and decisions. Asymptotic theory. Zbl 0967.62002Shiryaev, A. N.; Spokoiny, V. G. 14 2000 On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035Novikov, Alexander; Shiryaev, Albert 13 2007 An extension of P. Lévy’s distributional properties to the case of a Brownian motion with drift. Zbl 0965.60077Graversen, Svend Erik; Shiryaev, Albert N. 13 2000 The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018Peškir, Goran; Shiryaev, A. N. 13 1995 Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077Gapeev, Pavel V.; Shiryaev, Albert N. 12 2013 On the sequential testing problem for some diffusion processes. Zbl 1228.62098Gapeev, Pavel V.; Shiryaev, Albert N. 12 2011 Quickest detection problems: fifty years later. Zbl 1203.62137Shiryaev, Albert N. 12 2010 Some limit theorems for simple point processes (a martingale approach). Zbl 0441.60045Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 12 1980 On sequential estimation of an autoregressive parameter. Zbl 0877.62077Shiryaev, A. N.; Spokoiny, V. G. 11 1997 Asymptotic minimaxity of a sequential estimator for a first order autoregressive model. Zbl 0753.62049Greenwood, P. E.; Shiryaev, A. N. 11 1992 On the variation distance for probability measures defined on a filtered space. Zbl 0554.60006Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 11 1986 Probability-1. Translated from the fourth Russian edition by R. P. Boas and D. M. Chibisov. 3rd edition of the book previously published as a single-volume edition. Zbl 1390.60002Shiryaev, Albert N. 10 2016 On solutions of Kolmogorov’s equations for nonhomogeneous jump Markov processes. Zbl 1328.60192Feinberg, Eugene A.; Mandava, Manasa; Shiryaev, Albert N. 9 2014 Bayesian sequential estimation of a drift of fractional Brownian motion. Zbl 1294.62175Çetin, U.; Novikov, A.; Shiryaev, A. N. 9 2013 On an effective solution of the optimal stopping problem for random walks. Zbl 1092.60018Novikov, A. A.; Shiryaev, A. N. 9 2004 Absolute Stetigkeit und Singularität lokal abolut stetiger Wahrscheinlichkeitsverteilungen. I. Zbl 0402.60039Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 9 1978 On the absolute continuity of measures corresponding to processes of diffusion type relative to a Wiener measure. Zbl 0267.60079Liptser, R. Sh.; Shiryaev, A. N. 9 1973 Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker-Prokhorov invariance principle. Zbl 1034.60076Cherny, A. S.; Shiryaev, A. N.; Yor, M. 8 2002 Stochastic calculus. Zbl 0879.60047Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N. 8 1989 Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants. Zbl 0569.60038Memin, J.; Shiryayev, A. N. 8 1985 Weak and strong convergence of the distributions of counting processes. Zbl 0533.60055Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 8 1984 Minimax weights in a trend detection problem of a random process. Zbl 0237.62060Legostaeva, I. L.; Sirjaev, A. N. 8 1971 On the one-sided tanaka equation with drift. Zbl 1243.60048Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo 7 2011 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101Zhitlukhin, Mikhail V.; Shiryaev, Albert 7 2011 On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion. Zbl 1395.62253Burnaev, E. V.; Feinberg, E. A.; Shiryaev, A. N. 7 2009 Predicting the last zero of Brownian motion with drift. Zbl 1145.60025du Toit, J.; Peskir, G.; Shiryaev, A. N. 7 2008 On the problem of stochastic integral representations of functionals of the Brownian motion. I. Zbl 1057.60057Shiryaev, A. N.; Yor, M. 7 2003 Statistik von Zufallsprozessen. Nichtlineare Filtration und angrenzende Fragen. (Statistika sluchajnykh processov. Nelinejnaya fil’tratsiya i smezhnye voprosi.). Zbl 0279.60021Liptser, R. Sh.; Shiryaev, A. N. 7 1974 Statistics of conditionally Gaussian random sequences. Zbl 0292.60060Liptser, R. Sh.; Shiryayev, A. N. 7 1972 On the detection of disorder in a manufacturing process. I. Zbl 0279.90011Sirjaev, A. N. 7 1963 Some problems in the spectral theory of higher-order moments. I. Zbl 0109.36001Shiryaev, A. N. 7 1962 On conditional-extremal problems of the quickest detection of nonpredictable times of the observable Brownian motion. Zbl 1393.60041Shiryaev, A. N. 6 2009 A new look at the “Russian option”. Zbl 0829.60055Shepp, L. A.; Shiryaev, A. N. 6 1994 On necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures. Zbl 0509.60038Liptser, R. Sh.; Pukelsheim, F.; Shiryaev, A. N. 6 1982 Investigations by statistical sequential analysis. Zbl 0169.21202Shiryaev, A. N. 6 1969 Change of time and change of measure. 2nd edition. Zbl 1316.60004Barndorff-Nielsen, Ole E.; Shiryaev, Albert 5 2015 On stochastic models and optimal methods in the quickest detection problems. Zbl 1395.62249Shiryaev, A. N. 5 2009 On a stochastic version of the trading rule “buy and hold”. Zbl 1274.62538Shiryaev, Albert; Novikov, Alexander A. 5 2008 From “disorder” to nonlinear filtering and martingale theory. Zbl 1082.01010Shiryaev, A. N. 5 2006 On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075Cherny, Alexander; Shiryaev, Albert 5 2005 Hiring and firing optimally in a large corporation. Zbl 0875.90265Shepp, Larry; Shiryaev, Albert 5 1996 Development of ideas and methods of Chebyshev in probability theory. Zbl 0784.60032Shiryaev, A. N. 5 1991 Stochastic calculus. Zbl 0714.60037Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N. 5 1989 On the problem of ”predictable” criteria of contiguity. Zbl 0544.60044Liptser, R.; Shiryayev, A. N. 5 1983 Stochastic disorder problems. Zbl 1426.93002Shiryaev, Albert N. 3 2019 Probability-2. Translated from the fourth Russian edition by R. P. Boas and D. M. Chibisov. 3rd edition of the book previously published as a single-volume edition. Zbl 05185746Shiryaev, Albert N. 2 2019 Sequential testing of two hypotheses for a stationary Ornstein-Uhlenbeck process. Zbl 1411.62244Lisovskii, D. I.; Shiryaev, A. N. 1 2019 On a transformation of the measure of a Brownian motion with drift and Girsanov’s theorem. Zbl 1429.60064Shiryaev, Albert N. 1 2018 Probability-1. Translated from the fourth Russian edition by R. P. Boas and D. M. Chibisov. 3rd edition of the book previously published as a single-volume edition. Zbl 1390.60002Shiryaev, Albert N. 10 2016 Change of time and change of measure. 2nd edition. Zbl 1316.60004Barndorff-Nielsen, Ole E.; Shiryaev, Albert 5 2015 Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013. Zbl 1398.91720Shiryaev, A. N.; Zhitlukhin, M. V.; Ziemba, W. T. 1 2015 On solutions of Kolmogorov’s equations for nonhomogeneous jump Markov processes. Zbl 1328.60192Feinberg, Eugene A.; Mandava, Manasa; Shiryaev, Albert N. 9 2014 Sharp maximal inequalities for stochastic processes. Zbl 1322.60074Lyulko, Ya. A.; Shiryaev, A. N. 3 2014 Two-sided disorder problem for a Brownian motion in a Bayesian setting. Zbl 1326.60053Muravlev, A. A.; Shiryaev, A. N. 1 2014 Discussion on “Sequential estimation for time series models” by T. N. Sriram and Ross Iaci. Zbl 1291.62151Novikov, A.; Shiryaev, A. N. 1 2014 Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048Zhitlukhin, M. V.; Shiryaev, A. N. 1 2014 Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077Gapeev, Pavel V.; Shiryaev, Albert N. 12 2013 Bayesian sequential estimation of a drift of fractional Brownian motion. Zbl 1294.62175Çetin, U.; Novikov, A.; Shiryaev, A. N. 9 2013 Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035Zhitlukhin, M. V.; Shiryaev, A. N. 3 2013 The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion. Zbl 1284.62136Zhitlukhin, M. V.; Muravlev, A. A.; Shiryaev, A. N. 1 2013 Problems in probability. Translated from Russian by Andrew Lyasoff. Zbl 1268.60004Shiryaev, Albert N. 1 2012 On the sequential testing problem for some diffusion processes. Zbl 1228.62098Gapeev, Pavel V.; Shiryaev, Albert N. 12 2011 On the one-sided tanaka equation with drift. Zbl 1243.60048Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo 7 2011 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101Zhitlukhin, Mikhail V.; Shiryaev, Albert 7 2011 Russian-Japanese symposium on “A stochastic analysis of advanced statistical models”. Zbl 1237.00020Shiryaev, A. N.; Ulyanov, V. V. 1 2011 Change of time and change of measure. Zbl 1234.60003Barndorff-Nielsen, Ole; Shiryaev, Albert 42 2010 Quickest detection problems: fifty years later. Zbl 1203.62137Shiryaev, Albert N. 12 2010 Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. 19 2009 On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion. Zbl 1395.62253Burnaev, E. V.; Feinberg, E. A.; Shiryaev, A. N. 7 2009 On conditional-extremal problems of the quickest detection of nonpredictable times of the observable Brownian motion. Zbl 1393.60041Shiryaev, A. N. 6 2009 On stochastic models and optimal methods in the quickest detection problems. Zbl 1395.62249Shiryaev, A. N. 5 2009 On the linear and nonlinear generalized Bayesian disorder problem (discrete time case). Zbl 1200.62006Shiryaev, Albert N.; Zryumov, Pavel Y. 2 2009 Thou shalt buy and hold. Zbl 1154.91478Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 33 2008 Optimal stopping rules. Reprint of the 1978 3rd ed. Zbl 1138.60008Shiryaev, Albert N. 28 2008 On the duality principle in option pricing: semimartingale setting. Zbl 1150.91016Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. 17 2008 Predicting the last zero of Brownian motion with drift. Zbl 1145.60025du Toit, J.; Peskir, G.; Shiryaev, A. N. 7 2008 On a stochastic version of the trading rule “buy and hold”. Zbl 1274.62538Shiryaev, Albert; Novikov, Alexander A. 5 2008 Generalized Bayesian nonlinear quickest detection problems: on Markov family of sufficient statistics. Zbl 1146.62019Shiryaev, Albert N. 2 2008 Response to comment on ‘Thou shalt buy and hold’. Zbl 1154.91477Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 1 2008 On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035Novikov, Alexander; Shiryaev, Albert 13 2007 On the problem of stochastic integral representations of functionals of the Brownian motion. II. Zbl 1116.60022Graversen, S.; Shiryaev, A. N.; Yor, M. 3 2007 Martingale methods in problems on boundary intersections of Brownian motions. Zbl 1145.60004Shiryaev, A. N. 2 2007 Optimal stopping and free-boundary problems. Zbl 1115.60001Peskir, Goran; Shiryaev, Albert 322 2006 Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024Feinberg, Eugene A.; Shirayaev, Albert N. 16 2006 From “disorder” to nonlinear filtering and martingale theory. Zbl 1082.01010Shiryaev, A. N. 5 2006 Proof of the Poincaré-Chernoff inequality and the logarithmic Sobolev inequality by the methods of stochastic calculus for Brownian motion. Zbl 1121.60304Shiryaev, A. N. 1 2006 On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075Cherny, Alexander; Shiryaev, Albert 5 2005 On an effective solution of the optimal stopping problem for random walks. Zbl 1092.60018Novikov, A. A.; Shiryaev, A. N. 9 2004 A remark on the quickest detection problems. Zbl 1067.62084Shiryaev, Albert N. 3 2004 International conference on Kolmogorov and modern mathematics, Moskva, Russia, June 16–21, 2003. Report and materials. Zbl 1054.00006Shiryaev, A. N. 1 2004 Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002Jacod, Jean; Shiryaev, Albert N. 933 2003 On the problem of stochastic integral representations of functionals of the Brownian motion. I. Zbl 1057.60057Shiryaev, A. N.; Yor, M. 7 2003 The cumulant process and Esscher’s change of measure. Zbl 1035.60042Kallsen, Jan; Shiryaev, Albert N. 72 2002 Solving the Poisson disorder problem. Zbl 1009.60033Peskir, Goran; Shiryaev, Albert N. 29 2002 Quickest detection problems in the technical analysis of the financial data. Zbl 1001.62038Shiryaev, Albert N. 22 2002 Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker-Prokhorov invariance principle. Zbl 1034.60076Cherny, A. S.; Shiryaev, A. N.; Yor, M. 8 2002 Vector stochastic integrals and the fundamental theorems of asset pricing. Zbl 1034.60058Shiryaev, A. N.; Chernyj, A. S. 4 2002 Stochastic financial mathematics. Collected papers. Zbl 1007.00021Shiryaev, A. N. (ed.) 2 2002 A barrier version of the Russian option. Zbl 1011.91038Shepp, Larry A.; Shiryaev, Albert N.; Sulem, Agnes 2 2002 On lower and upper functions for square integrable martingales. Zbl 1032.60040Shiryaev, A. N.; Valkeila, E.; Vostrikova, L. 1 2002 Statistics of random processes. 1: General theory. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62072Liptser, Robert S.; Shiryaev, Albert N. 95 2001 Statistics of random processes. 2: Applications. Transl. from the Russian by A. B. Aries. Transl. Ed. : Stephen S. Wilson. 2nd rev. and exp. ed. Zbl 1008.62073Liptser, Robert S.; Shiryaev, Albert N. 77 2001 Time change representation of stochastic integrals. Zbl 1034.60055Kallsen, J.; Shiryaev, A. N. 20 2001 On criteria for the uniform integrability of Brownian stochastic exponentials. Zbl 1054.60502Cherny, A. S.; Shiryaev, A. N. 3 2001 A note on the call-put parity and a call-put duality. Zbl 1003.91028Peskir, G.; Shiryaev, A. N. 2 2001 The Russian option under conditions of a possible ‘freezing’ of prices. Zbl 1004.91043Shepp, L. A.; Shiryaev, A. N. 1 2001 Sequential testing problems for Poisson processes. Zbl 1081.62546Peskir, G.; Shiryaev, A. N. 39 2000 Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082Graversen, S. E.; Peskir, G.; Shiryaev, A. N. 27 2000 Statistical experiments and decisions. Asymptotic theory. Zbl 0967.62002Shiryaev, A. N.; Spokoiny, V. G. 14 2000 An extension of P. Lévy’s distributional properties to the case of a Brownian motion with drift. Zbl 0965.60077Graversen, Svend Erik; Shiryaev, Albert N. 13 2000 Essentials of stochastic finance. Transl. from the Russian by N. Kruzhilin. Zbl 0926.62100Shiryaev, A. N. 99 1999 On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073Douady, R.; Shiryaev, A. N.; Yor, M. 15 1999 Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy’s theorem. Zbl 0974.60058Chernyj, A. S.; Shiryaev, A. N. 2 1999 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036Jacod, J.; Shiryaev, A. N. 50 1998 On Esscher transforms in discrete finance models. Zbl 1162.91367Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N. 28 1998 Probability theory III. Stochastic calculus. Transl. from the Russian by P. B. Slater. Zbl 0879.00017Prokhorov, Yu. V. (ed.); Shiryaev, A. N. (ed.); Gamkrelidze, R. V. (ed.) 4 1998 Sufficient conditions of the uniform integrability of exponential martingales. Zbl 0907.60048Kramkov, D. O.; Shiryaev, A. N. 3 1998 On sequential estimation of an autoregressive parameter. Zbl 0877.62077Shiryaev, A. N.; Spokoiny, V. G. 11 1997 On the Brownian first-passage time over a one-sided stochastic boundary. Zbl 0924.60069Peškir, G.; Shiryaev, A. N. 1 1997 Probability theory and B. V. Gnedenko. Zbl 0909.01009Shiryaev, A. N. 204 1996 No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N. 46 1996 Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time. Zbl 0882.62076Shiryaev, A. N. 27 1996 Hiring and firing optimally in a large corporation. Zbl 0875.90265Shepp, Larry; Shiryaev, Albert 5 1996 A dual Russian option for selling short. Zbl 0867.90014Shepp, L. A.; Shiryaev, A. N. 4 1996 Criteria for the absence of arbitrage in the financial market. Zbl 0898.90021Melnikov, A. V.; Shiryaev, A. N. 3 1996 Frontiers in pure and applied probability II. Proceedings of the fourth Russian-Finnish symposium on probability theory and mathematical statistics. Moscow (Russia), October 3-8, 1993. Zbl 0870.00038Shiryaev, A. N. (ed.); Mel’nikov, A. V. (ed.); Niemi, Kh. (ed.); Valkejla, Eh. (ed.) 1 1996 Optimization of the flow of dividends. Zbl 0878.90014Jeanblanc-Picqué, M.; Shiryaev, A. N. 114 1995 Probability. Transl. from the Russian by R. P. Boas. 2nd ed. Zbl 0835.60002Shiryaev, A. N. 73 1995 Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048Föllmer, Hans; Protter, Philip; Shiryayev, Albert N. 41 1995 The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018Peškir, Goran; Shiryaev, A. N. 13 1995 Limit theorems for stochastic processes. Vol. 1-2. Zbl 0830.60025Jacod, J.; Shiryaev, A. N. 173 1994 A new look at pricing of the “Russian option”. Zbl 0834.60072Shepp, L. A.; Shiryaev, A. N. 19 1994 Toward the theory of pricing of options of both European and American types. II: Continuous time. Zbl 0833.60065Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V. 19 1994 A new look at the “Russian option”. Zbl 0829.60055Shepp, L. A.; Shiryaev, A. N. 6 1994 Toward the theory of pricing of options of both European and American types. I: Discrete time. Zbl 0833.60064Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V. 3 1994 On the rational pricing of the “Russian option” for the symmetrical binomial model of a \((B,S)\)-market. Zbl 0836.90013Kramkov, D. O.; Shiryaev, A. N. 1 1994 The Russian option: Reduced regret. Zbl 0783.90011Shepp, Larry; Shiryaev, A. N. 69 1993 Optimal stopping rules and maximal inequalities for Bessel processes. Zbl 0807.60040Dubins, L. E.; Shepp, L. A.; Shiryaev, A. N. 25 1993 Reminiscences about Kolmogorov. Zbl 1066.01514Shiryaev, A. N. (ed.) 3 1993 Asymptotic properties of the maximum likelihood estimators under random normalization for a first order autoregressive model. Zbl 0809.62072Shiryaev, A. N.; Spokoiny, V. G. 2 1993 Asymptotic minimaxity of a sequential estimator for a first order autoregressive model. Zbl 0753.62049Greenwood, P. E.; Shiryaev, A. N. 11 1992 Sequential estimation of the parameter of a stochastic difference equation with random coefficients. Zbl 0806.62064Pergamenshchikov, S. M.; Shiryaev, A. N. 4 1992 Development of ideas and methods of Chebyshev in probability theory. Zbl 0784.60032Shiryaev, A. N. 5 1991 Probabilistic-statistical methods of detecting spontaneously occurring effects. Zbl 0706.62076Kolmogorov, A. N.; Prokhorov, Yu. V.; Shiryaev, A. N. 4 1990 ...and 85 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 4,529 Authors 37 Jacod, Jean 31 Pap, Gyula 26 Peskir, Goran 25 Gapeev, Pavel V. 25 Shiryaev, Al’bert Nikolaevich 25 Siu, Tak Kuen 21 Barczy, Mátyás 21 Mao, Xuerong 21 Podolskij, Mark 21 Todorov, Viktor 20 Kutoyants, Yury A. 20 Liptser, Robert 18 Bayraktar, Erhan 18 Mykland, Per Aslak 18 Rodkina, Alexandra 18 Tartakovsky, Alexander G. 17 Barndorff-Nielsen, Ole Eiler 17 Kallsen, Jan 16 Eberlein, Ernst W. 16 Ekström, Erik 16 Elliott, Robert James 16 Fournier, Nicolas G. 16 Jeanblanc, Monique 15 Christensen, Soren 15 Kabanov, Yuriĭ Mikhaĭlovich 15 Karatzas, Ioannis 15 Kyprianou, Andreas E. 15 Pergamenshchikov, Sergeĭ Markovich 15 Pistorius, Martijn R. 15 Puhalskii, Anatolii A. 15 Yan, Litan 14 De Angelis, Tiziano 14 Mishura, Yuliya Stepanivna 14 Rosenbaum, Mathieu 13 Choulli, Tahir 13 Kleptsyna, Marina L. 13 Le Breton, Alain 13 Palmowski, Zbigniew 13 Polunchenko, Aleksey S. 13 Tappe, Stefan 13 Urusov, Mikhail A. 13 Vetter, Mathias 13 Yoshida, Nakahiro 12 Budhiraja, Amarjit S. 12 Criens, David 12 Fontana, Claudio 12 Kardaras, Constantinos 12 Øksendal, Bernt Karsten 12 Papapantoleon, Antonis 12 Rásonyi, Miklós 12 Reiß, Markus 12 Yang, Hailiang 11 Höpfner, Reinhard 11 Ivanov, Roman V. 11 Madan, Dilip B. 11 Makasu, Cloud 11 Runggaldier, Wolfgang J. 11 Russo, Francesco 11 Spreij, Peter 10 Benth, Fred Espen 10 Dayanik, Savas 10 Dolinsky, Yan 10 Frisén, Marianne 10 Irle, Albrecht 10 Korolyuk, Volodymyr Semenovych 10 Muhle-Karbe, Johannes 10 Novikov, Aleksandr Aleksandrovich 10 Nutz, Marcel 10 Pham, Huyên 10 Ruf, Johannes 10 Tauchen, George E. 10 Teichmann, Josef 10 Touzi, Nizar 10 Yasinskij, V. K. 9 Andersson, Eva 9 Ankirchner, Stefan 9 Buonaguidi, Bruno 9 Döring, Leif 9 Ferrari, Giorgio 9 Fukasawa, Masaaki 9 Galtchouk, Leonid I. 9 Konev, Victor 9 Kortchemski, Igor 9 Mikulevicius, Remigijus 9 Nishiyama, Yoichi 9 Protter, Philip Elliott 9 Sezer, Semih Onur 9 Tankov, Peter 9 Thavaneswaran, Aerambamoorthy 9 van Zanten, Harry 9 Wu, Zhen 9 Zhou, Xiaowen 8 Aït-Sahalia, Yacine 8 Anh, Vo V. 8 Avram, Florin 8 Borkar, Vivek Shripad 8 Campi, Marco Claudio 8 Cuchiero, Christa 8 Darkhovsky, Boris S. 8 Egami, Masahiko ...and 4,429 more Authors all top 5 Cited in 424 Serials 435 Stochastic Processes and their Applications 185 The Annals of Applied Probability 147 Statistics & Probability Letters 99 Finance and Stochastics 97 The Annals of Probability 97 Sequential Analysis 82 Journal of Applied Probability 78 Insurance Mathematics & Economics 72 Bernoulli 71 Journal of Statistical Planning and Inference 70 Stochastic Analysis and Applications 70 Probability Theory and Related Fields 66 The Annals of Statistics 63 Journal of Econometrics 61 Journal of Mathematical Analysis and Applications 55 Advances in Applied Probability 55 Journal of Theoretical Probability 55 Stochastics 51 Journal of Mathematical Sciences (New York) 50 Automatica 49 Lithuanian Mathematical Journal 45 Cybernetics and Systems Analysis 45 Quantitative Finance 42 Stochastics 42 Journal of Multivariate Analysis 40 Applied Mathematics and Optimization 39 Systems & Control Letters 39 Mathematics and Financial Economics 38 Mathematical Finance 37 Theory of Probability and its Applications 37 SIAM Journal on Control and Optimization 36 Annales de l’Institut Henri Poincaré. 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