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## Shiryaev, Al’bert Nikolaevich

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 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
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#### Co-Authors

 82 single-authored 54 Liptser, Robert 23 Kabanov, Yuriĭ Mikhaĭlovich 15 Prokhorov, Yuriĭ Vasil’evich 9 Novikov, Aleksandr Aleksandrovich 9 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 Alyev, A. S. 1 Amosov, Grigori G. 1 Aptekarev, Alexander Ivanovich 1 Arjas, Elja 1 Arkin, Vadim I. 1 Bakhvalov, Nikolai Sergeevich 1 Basdhtova, E. 1 Blagoveshchenskij, Yu. N. 1 Borisov, Igor S. 1 Bulinskaya, Ekaterina Vadimova 1 Bulinskiĭ, Aleksandr Vadimovich 1 Bulinskiĭ, Andreĭ Vadimovich 1 Burnaev, E. V. 1 Butkovsky, O. A. 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, A. L. 1 Gromov, Mikhael Leonidovich 1 Guerra, Manuel 1 Gurevich, B. M. 1 Helemskii, Alexander Ya. 1 Hognas, Goran 1 Kholevo, Aleksandr Semënovich ...and 77 more Co-Authors
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#### 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
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#### 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)

#### Citations contained in zbMATH

183 Publications have been cited 5,653 times in 4,396 Documents Cited by Year
Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002
Jacod, Jean; Shiryaev, Albert N.
2003
Limit theorems for stochastic processes. Zbl 0635.60021
Jacod, Jean; Shiryaev, Albert N.
1987
Statistics of random processes. I. General theory. Translated by A. B. Aries. Zbl 0364.60004
Liptser, R. S.; Shiryayev, A. N.
1977
Optimal stopping and free-boundary problems. Zbl 1115.60001
Peskir, Goran; Shiryaev, Albert
2006
Probability theory and B. V. Gnedenko. Zbl 0909.01009
Shiryaev, A. N.
1996
Theory of martingales. Transl. from the Russian by K. Dzjaparidze. Zbl 0728.60048
Liptser, R. Sh.; Shiryayev, A. N.
1989
Optimal stopping rules. Translated by A. B. Aries. 3rd ed. Zbl 0391.60002
Shiryaev, A. N.
1978
Limit theorems for stochastic processes. Vol. 1-2. Zbl 0830.60025
Jacod, J.; Shiryaev, A. N.
1994
Statistics of random processes. II. Applications. Translated by A. B. Aries. Zbl 0369.60001
Liptser, R. S.; Shiryayev, A. N.
1978
On optimum methods in quickest detection problems. Zbl 0213.43804
Shiryaev, A. N.
1963
Optimization of the flow of dividends. Zbl 0878.90014
Jeanblanc-Picqué, M.; Shiryaev, A. N.
1995
Essentials of stochastic finance. Transl. from the Russian by N. Kruzhilin. Zbl 0926.62100
Shiryaev, A. N.
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 1008.62072
Liptser, Robert S.; Shiryaev, Albert N.
2001
Probability. Textbook. (Вероятность. Учебное пособие). Zbl 0508.60001
Shiryaev, A. N.
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 0556.60003
Liptser, R. Sh.; Shiryaev, A. N.
1981
On a method of calculation of semi-invariants. Zbl 0087.33701
Leonov, V. P.; Shiryaev, A. N.
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 1008.62073
Liptser, Robert S.; Shiryaev, Albert N.
2001
Probability. Transl. from the Russian by R. P. Boas. 2nd ed. Zbl 0835.60002
Shiryaev, A. N.
1995
The cumulant process and Esscher’s change of measure. Zbl 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
2002
The Russian option: Reduced regret. Zbl 0783.90011
Shepp, Larry; Shiryaev, A. N.
1993
Probability. Transl. from the Russian by R. P. Boas. Zbl 0536.60001
Shiryaev, A. N.
1984
On the question of absolute continuity and singularity of probability measures. Zbl 0398.60044
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
1977
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
1998
No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037
Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N.
1996
Martingale theory. (Teoriya martingalov). Zbl 0654.60035
Liptser, R. Sh.; Shiryaev, A. N.
1986
On Stefan’s problem and optimal stopping rules for Markov processes. Zbl 0178.53303
Grigelionis, B. I.; Shiryaev, A. N.
1966
Change of time and change of measure. Zbl 1234.60003
Barndorff-Nielsen, Ole; Shiryaev, Albert
2010
Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048
Föllmer, Hans; Protter, Philip; Shiryayev, Albert N.
1995
Sequential testing problems for Poisson processes. Zbl 1081.62546
Peskir, G.; Shiryaev, A. N.
2000
Probability. Textbook. (Veroyatnost’. Uchebnoe posobie). 2nd ed., rev. and compl. Zbl 0682.60001
Shiryaev, A. N.
1989
Thou shalt buy and hold. Zbl 1154.91478
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
2008
On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales. Zbl 0482.60030
Liptser, R. Sh.; Shiryaev, A. N.
1982
Statistical sequential analysis. Optimal stopping rules. 2nd ed., rev. Zbl 0463.62068
Shiryaev, A. N.
1976
Solving the Poisson disorder problem. Zbl 1009.60033
Peskir, Goran; Shiryaev, Albert N.
2002
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N.
1998
Optimal stopping rules. Reprint of the 1978 3rd ed. Zbl 1138.60008
Shiryaev, Albert N.
2008
Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082
Graversen, S. E.; Peskir, G.; Shiryaev, A. N.
2000
Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time. Zbl 0882.62076
Shiryaev, A. N.
1996
Optimal stopping rules and maximal inequalities for Bessel processes. Zbl 0807.60040
Dubins, L. E.; Shepp, L. A.; Shiryaev, A. N.
1993
On contiguity of probability measures corresponding to semimartingales. Zbl 0591.60039
Liptser, R. S.; Shiryaev, A. N.
1985
Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes. Zbl 0416.60062
Kabanov, Yu.; Liptser, R.; Shiryaev, A. N.
1978
Quickest detection problems in the technical analysis of the financial data. Zbl 1001.62038
Shiryaev, Albert N.
2002
Contiguity and the statistical invariance principle. Zbl 0659.62029
Greenwood, P. E.; Shiryayev, A. N.
1985
Time change representation of stochastic integrals. Zbl 1034.60055
Kallsen, J.; Shiryaev, A. N.
2001
Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
2009
Toward the theory of pricing of options of both European and American types. II: Continuous time. Zbl 0833.60065
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
1994
Martingales: Recent developments, results and applications. Zbl 0478.60062
Shiryaev, A. N.
1981
A new look at pricing of the “Russian option”. Zbl 0834.60072
Shepp, L. A.; Shiryaev, A. N.
1994
A functional central limit theorem for semimartingales. Zbl 0471.60038
Liptser, R. Sh.; Shiryaev, A. N.
1981
The problem of the most rapid detection of a disturbance in a stationary process. Zbl 0109.11201
Shiryaev, A. N.
1961
On the duality principle in option pricing: semimartingale setting. Zbl 1150.91016
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
2008
A functional central limit theorem for semimartingales. Zbl 0454.60032
Liptser, R. Sh.; Shiryaev, A. N.
1980
Absolute continuity and singularity of locally absolutely continuous probability distributions. I. Zbl 0426.60039
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
1979
Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024
Feinberg, Eugene A.; Shirayaev, Albert N.
2006
On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073
Douady, R.; Shiryaev, A. N.; Yor, M.
1999
Statistical sequential analysis. Optimal stopping rules. Translated from the Russian by Lisa and Judah Rosenblatt. Zbl 0267.62039
Shiryaev, A. N.
1973
Statistical experiments and decisions. Asymptotic theory. Zbl 0967.62002
Shiryaev, A. N.; Spokoiny, V. G.
2000
An extension of P. Lévy’s distributional properties to the case of a Brownian motion with drift. Zbl 0965.60077
Graversen, Svend Erik; Shiryaev, Albert N.
2000
The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018
Peškir, Goran; Shiryaev, A. N.
1995
On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035
Novikov, Alexander; Shiryaev, Albert
2007
Some limit theorems for simple point processes (a martingale approach). Zbl 0441.60045
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
1980
Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077
Gapeev, Pavel V.; Shiryaev, Albert N.
2013
On the sequential testing problem for some diffusion processes. Zbl 1228.62098
Gapeev, Pavel V.; Shiryaev, Albert N.
2011
On sequential estimation of an autoregressive parameter. Zbl 0877.62077
Shiryaev, A. N.; Spokoiny, V. G.
1997
Asymptotic minimaxity of a sequential estimator for a first order autoregressive model. Zbl 0753.62049
Greenwood, P. E.; Shiryaev, A. N.
1992
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 1390.60002
Shiryaev, Albert N.
2016
Quickest detection problems: fifty years later. Zbl 1203.62137
Shiryaev, Albert N.
2010
On the variation distance for probability measures defined on a filtered space. Zbl 0554.60006
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
1986
On solutions of Kolmogorov’s equations for nonhomogeneous jump Markov processes. Zbl 1328.60192
Feinberg, Eugene A.; Mandava, Manasa; Shiryaev, Albert N.
2014
Bayesian sequential estimation of a drift of fractional Brownian motion. Zbl 1294.62175
Çetin, U.; Novikov, A.; Shiryaev, A. N.
2013
On an effective solution of the optimal stopping problem for random walks. Zbl 1092.60018
Novikov, A. A.; Shiryaev, A. N.
2004
Absolute Stetigkeit und Singularität lokal abolut stetiger Wahrscheinlichkeitsverteilungen. I. Zbl 0402.60039
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
1978
On the absolute continuity of measures corresponding to processes of diffusion type relative to a Wiener measure. Zbl 0267.60079
Liptser, R. Sh.; Shiryaev, A. N.
1973
Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker-Prokhorov invariance principle. Zbl 1034.60076
Cherny, A. S.; Shiryaev, A. N.; Yor, M.
2002
Stochastic calculus. Zbl 0879.60047
Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N.
1989
Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants. Zbl 0569.60038
Memin, J.; Shiryayev, A. N.
1985
Weak and strong convergence of the distributions of counting processes. Zbl 0533.60055
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
1984
Minimax weights in a trend detection problem of a random process. Zbl 0237.62060
Legostaeva, I. L.; Sirjaev, A. N.
1971
Predicting the last zero of Brownian motion with drift. Zbl 1145.60025
du Toit, J.; Peskir, G.; Shiryaev, A. N.
2008
Statistik von Zufallsprozessen. Nichtlineare Filtration und angrenzende Fragen. (Statistika sluchajnykh processov. Nelinejnaya fil’tratsiya i smezhnye voprosi.). Zbl 0279.60021
Liptser, R. Sh.; Shiryaev, A. N.
1974
Statistics of conditionally Gaussian random sequences. Zbl 0292.60060
Liptser, R. Sh.; Shiryayev, A. N.
1972
On the detection of disorder in a manufacturing process. I. Zbl 0279.90011
Sirjaev, A. N.
1963
Some problems in the spectral theory of higher-order moments. I. Zbl 0109.36001
Shiryaev, A. N.
1962
On the one-sided tanaka equation with drift. Zbl 1243.60048
Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo
2011
A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101
Zhitlukhin, Mikhail V.; Shiryaev, Albert
2011
On conditional-extremal problems of the quickest detection of nonpredictable times of the observable Brownian motion. Zbl 1393.60041
Shiryaev, A. N.
2009
On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion. Zbl 1395.62253
Burnaev, E. V.; Feinberg, E. A.; Shiryaev, A. N.
2009
On the problem of stochastic integral representations of functionals of the Brownian motion. I. Zbl 1057.60057
Shiryaev, A. N.; Yor, M.
2003
A new look at the “Russian option”. Zbl 0829.60055
Shepp, L. A.; Shiryaev, A. N.
1994
On necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures. Zbl 0509.60038
Liptser, R. Sh.; Pukelsheim, F.; Shiryaev, A. N.
1982
Investigations by statistical sequential analysis. Zbl 0169.21202
Shiryaev, A. N.
1969
On stochastic models and optimal methods in the quickest detection problems. Zbl 1395.62249
Shiryaev, A. N.
2009
On a stochastic version of the trading rule “buy and hold”. Zbl 1274.62538
Shiryaev, Albert; Novikov, Alexander A.
2008
From “disorder” to nonlinear filtering and martingale theory. Zbl 1082.01010
Shiryaev, A. N.
2006
On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075
Cherny, Alexander; Shiryaev, Albert
2005
Hiring and firing optimally in a large corporation. Zbl 0875.90265
Shepp, Larry; Shiryaev, Albert
1996
Development of ideas and methods of Chebyshev in probability theory. Zbl 0784.60032
Shiryaev, A. N.
1991
Stochastic calculus. Zbl 0714.60037
Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N.
1989
On the problem of ”predictable” criteria of contiguity. Zbl 0544.60044
Liptser, R.; Shiryayev, A. N.
1983
Necessary and sufficient conditions for the functional central limit theorem for semimartingales. Zbl 0458.60017
Liptser, R. Sh.; Shiryaev, A. N.
1981
Stochastic disorder problems. Zbl 1426.93002
Shiryaev, Albert N.
2019
Sequential testing of two hypotheses for a stationary Ornstein-Uhlenbeck process. Zbl 1411.62244
Lisovskii, D. I.; Shiryaev, A. N.
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 05185746
Shiryaev, Albert N.
2019
On a transformation of the measure of a Brownian motion with drift and Girsanov’s theorem. Zbl 1429.60064
Shiryaev, Albert N.
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 1390.60002
Shiryaev, Albert N.
2016
Change of time and change of measure. 2nd ed. Zbl 1316.60004
Barndorff-Nielsen, Ole E.; Shiryaev, Albert
2015
Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013. Zbl 1398.91720
Shiryaev, A. N.; Zhitlukhin, M. V.; Ziemba, W. T.
2015
On solutions of Kolmogorov’s equations for nonhomogeneous jump Markov processes. Zbl 1328.60192
Feinberg, Eugene A.; Mandava, Manasa; Shiryaev, Albert N.
2014
Sharp maximal inequalities for stochastic processes. Zbl 1322.60074
Lyulko, Ya. A.; Shiryaev, A. N.
2014
Two-sided disorder problem for a Brownian motion in a Bayesian setting. Zbl 1326.60053
Muravlev, A. A.; Shiryaev, A. N.
2014
Discussion on “Sequential estimation for time series models” by T. N. Sriram and Ross Iaci. Zbl 1291.62151
Novikov, A.; Shiryaev, A. N.
2014
Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048
Zhitlukhin, M. V.; Shiryaev, A. N.
2014
Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077
Gapeev, Pavel V.; Shiryaev, Albert N.
2013
Bayesian sequential estimation of a drift of fractional Brownian motion. Zbl 1294.62175
Çetin, U.; Novikov, A.; Shiryaev, A. N.
2013
Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035
Zhitlukhin, M. V.; Shiryaev, A. N.
2013
The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion. Zbl 1284.62136
Zhitlukhin, M. V.; Muravlev, A. A.; Shiryaev, A. N.
2013
Problems in probability. Translated from Russian by Andrew Lyasoff. Zbl 1268.60004
Shiryaev, Albert N.
2012
On the sequential testing problem for some diffusion processes. Zbl 1228.62098
Gapeev, Pavel V.; Shiryaev, Albert N.
2011
On the one-sided tanaka equation with drift. Zbl 1243.60048
Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo
2011
A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101
Zhitlukhin, Mikhail V.; Shiryaev, Albert
2011
Russian-Japanese symposium on “A stochastic analysis of advanced statistical models”. Zbl 1237.00020
Shiryaev, A. N.; Ulyanov, V. V.
2011
Change of time and change of measure. Zbl 1234.60003
Barndorff-Nielsen, Ole; Shiryaev, Albert
2010
Quickest detection problems: fifty years later. Zbl 1203.62137
Shiryaev, Albert N.
2010
Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
2009
On conditional-extremal problems of the quickest detection of nonpredictable times of the observable Brownian motion. Zbl 1393.60041
Shiryaev, A. N.
2009
On asymptotic optimality of the second order in the minimax quickest detection problem of drift change for Brownian motion. Zbl 1395.62253
Burnaev, E. V.; Feinberg, E. A.; Shiryaev, A. N.
2009
On stochastic models and optimal methods in the quickest detection problems. Zbl 1395.62249
Shiryaev, A. N.
2009
On the linear and nonlinear generalized Bayesian disorder problem (discrete time case). Zbl 1200.62006
Shiryaev, Albert N.; Zryumov, Pavel Y.
2009
Thou shalt buy and hold. Zbl 1154.91478
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
2008
Optimal stopping rules. Reprint of the 1978 3rd ed. Zbl 1138.60008
Shiryaev, Albert N.
2008
On the duality principle in option pricing: semimartingale setting. Zbl 1150.91016
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
2008
Predicting the last zero of Brownian motion with drift. Zbl 1145.60025
du Toit, J.; Peskir, G.; Shiryaev, A. N.
2008
On a stochastic version of the trading rule “buy and hold”. Zbl 1274.62538
Shiryaev, Albert; Novikov, Alexander A.
2008
Generalized Bayesian nonlinear quickest detection problems: on Markov family of sufficient statistics. Zbl 1146.62019
Shiryaev, Albert N.
2008
Response to comment on ‘Thou shalt buy and hold’. Zbl 1154.91477
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
2008
On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035
Novikov, Alexander; Shiryaev, Albert
2007
On the problem of stochastic integral representations of functionals of the Brownian motion. II. Zbl 1116.60022
Graversen, S.; Shiryaev, A. N.; Yor, M.
2007
Martingale methods in problems on boundary intersections of Brownian motions. Zbl 1145.60004
Shiryaev, A. N.
2007
Optimal stopping and free-boundary problems. Zbl 1115.60001
Peskir, Goran; Shiryaev, Albert
2006
Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024
Feinberg, Eugene A.; Shirayaev, Albert N.
2006
From “disorder” to nonlinear filtering and martingale theory. Zbl 1082.01010
Shiryaev, A. N.
2006
Proof of the Poincaré-Chernoff inequality and the logarithmic Sobolev inequality by the methods of stochastic calculus for Brownian motion. Zbl 1121.60304
Shiryaev, A. N.
2006
On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075
Cherny, Alexander; Shiryaev, Albert
2005
On an effective solution of the optimal stopping problem for random walks. Zbl 1092.60018
Novikov, A. A.; Shiryaev, A. N.
2004
A remark on the quickest detection problems. Zbl 1067.62084
Shiryaev, Albert N.
2004
Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002
Jacod, Jean; Shiryaev, Albert N.
2003
On the problem of stochastic integral representations of functionals of the Brownian motion. I. Zbl 1057.60057
Shiryaev, A. N.; Yor, M.
2003
The cumulant process and Esscher’s change of measure. Zbl 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
2002
Solving the Poisson disorder problem. Zbl 1009.60033
Peskir, Goran; Shiryaev, Albert N.
2002
Quickest detection problems in the technical analysis of the financial data. Zbl 1001.62038
Shiryaev, Albert N.
2002
Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker-Prokhorov invariance principle. Zbl 1034.60076
Cherny, A. S.; Shiryaev, A. N.; Yor, M.
2002
Vector stochastic integrals and the fundamental theorems of asset pricing. Zbl 1034.60058
Shiryaev, A. N.; Chernyj, A. S.
2002
Stochastic financial mathematics. Collected papers. Zbl 1007.00021
Shiryaev, A. N. (ed.)
2002
A barrier version of the Russian option. Zbl 1011.91038
Shepp, Larry A.; Shiryaev, Albert N.; Sulem, Agnes
2002
On lower and upper functions for square integrable martingales. Zbl 1032.60040
Shiryaev, A. N.; Valkeila, E.; Vostrikova, L.
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 1008.62072
Liptser, Robert S.; Shiryaev, Albert N.
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 1008.62073
Liptser, Robert S.; Shiryaev, Albert N.
2001
Time change representation of stochastic integrals. Zbl 1034.60055
Kallsen, J.; Shiryaev, A. N.
2001
On criteria for the uniform integrability of Brownian stochastic exponentials. Zbl 1054.60502
Cherny, A. S.; Shiryaev, A. N.
2001
A note on the call-put parity and a call-put duality. Zbl 1003.91028
Peskir, G.; Shiryaev, A. N.
2001
The Russian option under conditions of a possible ‘freezing’ of prices. Zbl 1004.91043
Shepp, L. A.; Shiryaev, A. N.
2001
Sequential testing problems for Poisson processes. Zbl 1081.62546
Peskir, G.; Shiryaev, A. N.
2000
Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082
Graversen, S. E.; Peskir, G.; Shiryaev, A. N.
2000
Statistical experiments and decisions. Asymptotic theory. Zbl 0967.62002
Shiryaev, A. N.; Spokoiny, V. G.
2000
An extension of P. Lévy’s distributional properties to the case of a Brownian motion with drift. Zbl 0965.60077
Graversen, Svend Erik; Shiryaev, Albert N.
2000
Essentials of stochastic finance. Transl. from the Russian by N. Kruzhilin. Zbl 0926.62100
Shiryaev, A. N.
1999
On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073
Douady, R.; Shiryaev, A. N.; Yor, M.
1999
Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy’s theorem. Zbl 0974.60058
Chernyj, A. S.; Shiryaev, A. N.
1999
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
1998
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N.
1998
Probability theory III. Stochastic calculus. Transl. from the Russian by P. B. Slater. Zbl 0879.00017
Prokhorov, Yu. V. (ed.); Shiryaev, A. N. (ed.); Gamkrelidze, R. V. (ed.)
1998
Sufficient conditions of the uniform integrability of exponential martingales. Zbl 0907.60048
Kramkov, D. O.; Shiryaev, A. N.
1998
On sequential estimation of an autoregressive parameter. Zbl 0877.62077
Shiryaev, A. N.; Spokoiny, V. G.
1997
On the Brownian first-passage time over a one-sided stochastic boundary. Zbl 0924.60069
Peškir, G.; Shiryaev, A. N.
1997
Probability theory and B. V. Gnedenko. Zbl 0909.01009
Shiryaev, A. N.
1996
No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037
Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N.
1996
Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time. Zbl 0882.62076
Shiryaev, A. N.
1996
Hiring and firing optimally in a large corporation. Zbl 0875.90265
Shepp, Larry; Shiryaev, Albert
1996
A dual Russian option for selling short. Zbl 0867.90014
Shepp, L. A.; Shiryaev, A. N.
1996
Criteria for the absence of arbitrage in the financial market. Zbl 0898.90021
Melnikov, A. V.; Shiryaev, A. N.
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 0870.00038
Shiryaev, A. N. (ed.); Mel’nikov, A. V. (ed.); Niemi, Kh. (ed.); Valkejla, Eh. (ed.)
1996
Optimization of the flow of dividends. Zbl 0878.90014
Jeanblanc-Picqué, M.; Shiryaev, A. N.
1995
Probability. Transl. from the Russian by R. P. Boas. 2nd ed. Zbl 0835.60002
Shiryaev, A. N.
1995
Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048
Föllmer, Hans; Protter, Philip; Shiryayev, Albert N.
1995
The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018
Peškir, Goran; Shiryaev, A. N.
1995
Limit theorems for stochastic processes. Vol. 1-2. Zbl 0830.60025
Jacod, J.; Shiryaev, A. N.
1994
Toward the theory of pricing of options of both European and American types. II: Continuous time. Zbl 0833.60065
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
1994
A new look at pricing of the “Russian option”. Zbl 0834.60072
Shepp, L. A.; Shiryaev, A. N.
1994
A new look at the “Russian option”. Zbl 0829.60055
Shepp, L. A.; Shiryaev, A. N.
1994
Toward the theory of pricing of options of both European and American types. I: Discrete time. Zbl 0833.60064
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
1994
On the rational pricing of the “Russian option” for the symmetrical binomial model of a $$(B,S)$$-market. Zbl 0836.90013
Kramkov, D. O.; Shiryaev, A. N.
1994
The Russian option: Reduced regret. Zbl 0783.90011
Shepp, Larry; Shiryaev, A. N.
1993
Optimal stopping rules and maximal inequalities for Bessel processes. Zbl 0807.60040
Dubins, L. E.; Shepp, L. A.; Shiryaev, A. N.
1993
Shiryaev, A. N. (ed.)
1993
Asymptotic properties of the maximum likelihood estimators under random normalization for a first order autoregressive model. Zbl 0809.62072
Shiryaev, A. N.; Spokoiny, V. G.
1993
Asymptotic minimaxity of a sequential estimator for a first order autoregressive model. Zbl 0753.62049
Greenwood, P. E.; Shiryaev, A. N.
1992
Sequential estimation of the parameter of a stochastic difference equation with random coefficients. Zbl 0806.62064
Pergamenshchikov, S. M.; Shiryaev, A. N.
1992
Development of ideas and methods of Chebyshev in probability theory. Zbl 0784.60032
Shiryaev, A. N.
1991
Probabilistic-statistical methods of detecting spontaneously occurring effects. Zbl 0706.62076
Kolmogorov, A. N.; Prokhorov, Yu. V.; Shiryaev, A. N.
1990
Large deviation for martingales with independent and homogeneous increments. Zbl 0733.60044
Liptser, R. S.; Shiryaev, A. N.
1990
...and 83 more Documents
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#### Cited by 4,461 Authors

 37 Jacod, Jean 31 Pap, Gyula 25 Gapeev, Pavel V. 25 Shiryaev, Al’bert Nikolaevich 25 Siu, Tak Kuen 24 Peskir, Goran 21 Barczy, Mátyás 21 Mao, Xuerong 21 Todorov, Viktor 20 Liptser, Robert 20 Podolskij, Mark 19 Kutoyants, Yury A. 18 Bayraktar, Erhan 18 Rodkina, Alexandra 18 Tartakovsky, Alexander G. 17 Barndorff-Nielsen, Ole Eiler 17 Kallsen, Jan 17 Mykland, Per Aslak 16 Eberlein, Ernst W. 16 Ekström, Erik 16 Elliott, Robert James 16 Fournier, Nicolas G. 16 Jeanblanc, Monique 15 Christensen, Soren 15 Karatzas, Ioannis 15 Kyprianou, Andreas E. 15 Pistorius, Martijn R. 15 Puhalskii, Anatolii A. 15 Yan, Litan 15 Yasinskij, V. K. 14 Mishura, Yuliya Stepanivna 14 Pergamenshchikov, Sergeĭ Markovich 14 Rosenbaum, Mathieu 13 Choulli, Tahir 13 De Angelis, Tiziano 13 Kabanov, Yuriĭ Mikhaĭlovich 13 Kleptsyna, Marina L. 13 Le Breton, Alain 13 Palmowski, Zbigniew 13 Vetter, Mathias 12 Budhiraja, Amarjit S. 12 Criens, David 12 Fontana, Claudio 12 Kardaras, Constantinos 12 Øksendal, Bernt Karsten 12 Papapantoleon, Antonis 12 Polunchenko, Aleksey S. 12 Rásonyi, Miklós 12 Reiß, Markus 12 Tappe, Stefan 12 Urusov, Mikhail A. 12 Yang, Hailiang 12 Yoshida, Nakahiro 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 9 Andersson, Eva 9 Ankirchner, Stefan 9 Buonaguidi, Bruno 9 Döring, Leif 9 Ferrari, Giorgio 9 Fukasawa, Masaaki 9 Galtchouk, Leonid I. 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 8 Aït-Sahalia, Yacine 8 Anh, Vo V. 8 Avram, Florin 8 Borkar, Vivek Shripad 8 Campi, Marco Claudio 8 Darkhovsky, Boris S. 8 Egami, Masahiko 8 Engelbert, Hans Jürgen 8 Filipović, Damir 8 Glau, Kathrin ...and 4,361 more Authors
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#### Cited in 419 Serials

 428 Stochastic Processes and their Applications 179 The Annals of Applied Probability 147 Statistics & Probability Letters 97 The Annals of Probability 97 Finance and Stochastics 92 Sequential Analysis 81 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 65 The Annals of Statistics 60 Journal of Mathematical Analysis and Applications 60 Journal of Econometrics 55 Advances in Applied Probability 55 Stochastics 54 Journal of Theoretical Probability 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 39 Systems & Control Letters 39 Mathematics and Financial Economics 38 Applied Mathematics and Optimization 38 Mathematical Finance 36 SIAM Journal on Control and Optimization 35 Theory of Probability and its Applications 34 Journal of Economic Dynamics & Control 34 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 34 Statistical Inference for Stochastic Processes 31 Annals of the Institute of Statistical Mathematics 31 Journal of Computational and Applied Mathematics 30 Mathematical Notes 30 Applied Mathematics and Computation 30 International Journal of Theoretical and Applied Finance 29 Journal of Economic Theory 26 Applied Mathematical Finance 26 SIAM Journal on Financial Mathematics 25 Journal of Statistical Physics 25 Journal of Functional Analysis 25 Automation and Remote Control 25 European Journal of Operational Research 24 Communications in Statistics. Theory and Methods 23 Acta Applicandae Mathematicae 22 Computers & Mathematics with Applications 21 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 21 Mathematical Methods of Operations Research 20 Ukrainian Mathematical Journal 20 Journal of Mathematical Economics 20 Journal of Soviet Mathematics 20 Theory of Probability and Mathematical Statistics 20 Proceedings of the Steklov Institute of Mathematics 20 Electronic Journal of Statistics 19 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 18 Electronic Journal of Probability 18 Stochastics and Dynamics 18 Annals of Finance 17 Queueing Systems 17 Methodology and Computing in Applied Probability 17 Stochastic Models 16 Modern Stochastics. Theory and Applications 15 Communications in Mathematical Physics 15 Journal of Optimization Theory and Applications 15 Potential Analysis 15 Doklady Mathematics 14 Proceedings of the American Mathematical Society 14 Transactions of the American Mathematical Society 14 Mathematical and Computer Modelling 14 Asia-Pacific Financial Markets 13 Mathematics of Operations Research 13 Statistics 13 Stochastics and Stochastics Reports 13 Journal of Computer and Systems Sciences International 13 Econometric Theory 12 Operations Research Letters 12 Journal of Time Series Analysis 12 Acta Mathematicae Applicatae Sinica. English Series 12 Mathematical Methods of Statistics 12 Scandinavian Actuarial Journal 12 Decisions in Economics and Finance 11 Metrika 11 Journal of Applied Mathematics and Stochastic Analysis 10 International Journal of Systems Science 10 Journal of Mathematical Biology 10 Kybernetika 10 Siberian Mathematical Journal 10 Cybernetics 10 Games and Economic Behavior 9 Moscow University Mathematics Bulletin 9 Scandinavian Journal of Statistics 9 Journal of Differential Equations 9 Annals of Operations Research 9 Journal of Nonparametric Statistics 9 Mathematical Problems in Engineering 9 Acta Mathematica Sinica. English Series 9 Probability in the Engineering and Informational Sciences ...and 319 more Serials
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 3,142 Probability theory and stochastic processes (60-XX) 1,310 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,245 Statistics (62-XX) 653 Systems theory; control (93-XX) 231 Numerical analysis (65-XX) 202 Partial differential equations (35-XX) 198 Operations research, mathematical programming (90-XX) 194 Calculus of variations and optimal control; optimization (49-XX) 134 Ordinary differential equations (34-XX) 92 Statistical mechanics, structure of matter (82-XX) 92 Biology and other natural sciences (92-XX) 60 Computer science (68-XX) 52 Dynamical systems and ergodic theory (37-XX) 50 Combinatorics (05-XX) 50 Measure and integration (28-XX) 50 Functional analysis (46-XX) 44 Information and communication theory, circuits (94-XX) 42 Operator theory (47-XX) 32 Integral equations (45-XX) 29 Difference and functional equations (39-XX) 29 Quantum theory (81-XX) 24 Fluid mechanics (76-XX) 21 Linear and multilinear algebra; matrix theory (15-XX) 21 Global analysis, analysis on manifolds (58-XX) 20 Number theory (11-XX) 15 Real functions (26-XX) 14 Harmonic analysis on Euclidean spaces (42-XX) 13 Geophysics (86-XX) 11 Approximations and expansions (41-XX) 9 Potential theory (31-XX) 9 Abstract harmonic analysis (43-XX) 8 History and biography (01-XX) 8 Integral transforms, operational calculus (44-XX) 8 Convex and discrete geometry (52-XX) 7 Group theory and generalizations (20-XX) 7 Topological groups, Lie groups (22-XX) 7 Special functions (33-XX) 6 Mathematical logic and foundations (03-XX) 6 Sequences, series, summability (40-XX) 6 Differential geometry (53-XX) 6 Classical thermodynamics, heat transfer (80-XX) 5 Mechanics of particles and systems (70-XX) 4 General topology (54-XX) 3 Nonassociative rings and algebras (17-XX) 3 Functions of a complex variable (30-XX) 2 Field theory and polynomials (12-XX) 2 Algebraic geometry (14-XX) 2 Mechanics of deformable solids (74-XX) 2 Optics, electromagnetic theory (78-XX) 1 General and overarching topics; collections (00-XX) 1 General algebraic systems (08-XX) 1 Commutative algebra (13-XX) 1 Associative rings and algebras (16-XX) 1 Category theory; homological algebra (18-XX) 1 1 Relativity and gravitational theory (83-XX)