Edit Profile (opens in new tab) Shiryaev, Al’bert Nikolaevich Compute Distance To: Compute Author ID: shiryaev.albert-n Published as: Shiryaev, A. N.; Shiryaev, Albert N.; Shiryaev, Albert; Sirjaev, A. N.; Shiryayev, A. N.; Shiryaev, Al’bert Nikolaevich; Shiryaev, A.; Shirayaev, Albert N.; Shiryayev, Albert N.; Širjaev, A. N. more...less Further Spellings: Ширяев Альберт Николаевич Homepage: http://new.math.msu.su/department/probab/staff/shiryaev.html External Links: MGP · Wikidata · Math-Net.Ru · dblp · GND · IdRef Documents Indexed: 254 Publications since 1959, including 35 Books 43 Contributions as Editor · 2 Further Contributions Biographic References: 6 Publications Co-Authors: 184 Co-Authors with 208 Joint Publications 5,094 Co-Co-Authors all top 5 Co-Authors 82 single-authored 54 Liptser, Robert 23 Kabanov, Yuriĭ Mikhaĭlovich 15 Prokhorov, Yuriĭ Vasil’evich 11 Kolmogorov, Andreĭ Nikolaevich 9 Novikov, Aleksandr Aleksandrovich 8 Peskir, Goran 8 Shepp, Lawrence Alan 8 Zhitlukhin, Mikhail V. 6 Feinberg, Eugene Aleksandrovich 6 Melnikov, Aleksander Viktorovich 5 Cherny, Alexander S. 5 Ibragimov, Il’dar Abdullovich 5 Jacod, Jean 4 Chibisov, Dmitriĭ Mikhaĭlovich 4 Kramkov, Dmitriĭ Olegovich 4 Skorokhod, Anatoliĭ Volodymyrovych 4 Spokoiny, Vladimir G. 4 Yor, Marc 3 Bukhshtaber, Viktor Matveevich 3 do Rosário Grossinho, Maria 3 Graversen, Svend Erik 3 Grigelionis, Bronius I. 3 Khimchenko, N. G. 3 Korolyuk, Volodymyr Semenovych 3 Krylov, Nicolaĭ Vladimirovich 3 Mandava, Manasa 3 Sinaĭ, Yakov Grigor’evich 3 Viskov, Oleg Viktorovich 2 Afanaseva, Larisa G. 2 Anulova, Svetlana 2 Barndorff-Nielsen, Ole Eiler 2 Borovkov, Aleksandr Alekseevich 2 Bühlmann, Hans 2 Bulinskiĭ, Aleksandr Vadimovich 2 Delbaen, Freddy 2 Dobrushin, Roland L’vovich 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 Kashin, Boris Sergeevich 2 Korolev, Viktor Yur’evich 2 Kozlov, Valeriĭ Vasil’evich 2 Leonov, V. P. 2 Lyulko, Ya. A. 2 Maslov, Viktor Pavlovich 2 Medvedev, Yuriĭ Ivanovich 2 Mémin, Jean 2 Niemi, Hannu 2 Papapantoleon, Antonis 2 Pavlov, Igor V. 2 Pergamenshchikov, Sergeĭ Markovich 2 Pukelsheim, Friedrich 2 Rozovskii, Boris L. 2 Sachkov, Vladimir Nikolaevich 2 Sergiyenko, Ivan Vasyl’ovych 2 Sevast’yanov, Boris Aleksandrovich 2 Shervashidze, Tengiz 2 Tikhomirov, Vladimir Mikhaĭlovich 2 Treshchev, Dmitriĭ Valer’evich 2 Veretennikov, Alexander Yu. 2 Watanabe, Shinzo 2 Xu, Zuoquan 1 Afanas’ev, Valeriĭ Ivanovich 1 Aĭvazyan, Sergeĭ Artem’evich 1 Aleksandrov, Pavel Sergeevich 1 Amosov, Grigoriĭ Gennad’evich 1 Aptekarev, Alexander Ivanovich 1 Arjas, Elja 1 Arkin, Vadim I. 1 Bakhvalov, Nikolai Sergeevich 1 Barra, Jean-René 1 Basdhtova, E. 1 Blagoveshchenskiĭ, Yuriĭ Nikolaevich 1 Borisov, Igor S. 1 Borodin, Petr A. 1 Buckdahn, Rainer 1 Bulinskaya, Ekaterina Vadimova 1 Bulinskiĭ, Andreĭ Vadimovich 1 Burnaev, E. V. 1 Butkovskiĭ, Oleg Yaroslavovich 1 Chebotarev, Alexandr M. 1 Chirka, Evgeni M. 1 Chistyakov, Vladimir Pavlovich 1 Dalang, Robert C. 1 Demichev, V. P. 1 Di Tella, Paolo 1 Dorogovtsev, Andriĭ Anatoliĭovych 1 du Toit, Jacques 1 Dubins, Lester E. 1 D’yakonova, Elena Evgen’evna 1 Esquível, Manuel Leote 1 Föllmer, Hans 1 Fuchs, Dmitry Borisovich 1 Grinvud, P. E. ...and 93 more Co-Authors all top 5 Serials 57 Theory of Probability and its Applications 21 Teoriya Veroyatnosteĭ i eë Primeneniya 15 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 5 Advanced Series on Statistical Science & Applied Probability 4 Soviet Mathematics. Doklady 4 Sequential Analysis 4 Graduate Texts in Mathematics 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 3 Springer Proceedings in Mathematics & Statistics 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 2 Mathematics and Its Applications. Soviet Series 2 Probability Theory and Stochastic Modelling 2 Springer Collected Works in Mathematics 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 Mathematics of Operations Research 1 Statistics & Probability Letters 1 Probability Theory and Related Fields 1 Statistical Science 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 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 Problem Books in Mathematics 1 Hochschulbücher für Mathematik all top 5 Fields 210 Probability theory and stochastic processes (60-XX) 77 Statistics (62-XX) 54 History and biography (01-XX) 39 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 30 General and overarching topics; collections (00-XX) 14 Systems theory; control (93-XX) 8 Information and communication theory, circuits (94-XX) 5 Measure and integration (28-XX) 3 Partial differential equations (35-XX) 3 Operations research, mathematical programming (90-XX) 2 Mathematical logic and foundations (03-XX) 2 Integral equations (45-XX) 2 Mathematics education (97-XX) 1 Topological groups, Lie groups (22-XX) 1 Sequences, series, summability (40-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Functional analysis (46-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Computer science (68-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 196 Publications have been cited 5,948 times in 4,797 Documents Cited by ▼ Year ▼ Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002Jacod, Jean; Shiryaev, Albert N. 1,009 2003 Limit theorems for stochastic processes. Zbl 0635.60021Jacod, Jean; Shiryaev, Albert N. 570 1987 Optimal stopping and free-boundary problems. Zbl 1115.60001Peskir, Goran; Shiryaev, Albert 384 2006 Statistics of random processes. I. General theory. Translated by A. B. Aries. Zbl 0364.60004Liptser, R. S.; Shiryayev, A. N. 370 1977 Probability theory and B. V. Gnedenko. Zbl 0909.01009Shiryaev, A. N. 207 1996 Optimal stopping rules. Translated by A. B. Aries. 3rd ed. Zbl 0391.60002Shiryaev, A. N. 192 1978 Theory of martingales. Transl. from the Russian by K. Dzjaparidze. Zbl 0728.60048Liptser, R. Sh.; Shiryayev, A. N. 188 1989 Limit theorems for stochastic processes. Vol. 1-2. (Predel’nye teoremy dlya sluchajnykh protsessov. Tom 1-2.) Zbl 0830.60025Jacod, J.; Shiryaev, A. N. 173 1994 On optimum methods in quickest detection problems. Zbl 0213.43804Shiryaev, A. N. 146 1963 Statistics of random processes. II. Applications. Translated by A. B. Aries. Zbl 0369.60001Liptser, R. S.; Shiryayev, A. N. 144 1978 Optimization of the flow of dividends. Zbl 0878.90014Jeanblanc-Picqué, M.; Shiryaev, A. N. 133 1995 Essentials of stochastic finance. Transl. from the Russian by N. Kruzhilin. Zbl 0926.62100Shiryaev, A. N. 107 1999 Probability. Textbook. (Вероятность. Учебное пособие). Zbl 0508.60001Shiryaev, A. N. 92 1980 On a method of calculation of semi-invariants. Zbl 0087.33701Leonov, V. P.; Shiryaev, A. N. 89 1959 The Russian option: Reduced regret. Zbl 0783.90011Shepp, Larry; Shiryaev, A. N. 85 1993 The cumulant process and Esscher’s change of measure. Zbl 1035.60042Kallsen, Jan; Shiryaev, Albert N. 80 2002 Probability. Transl. from the Russian by R. P. Boas. 2nd ed. Zbl 0835.60002Shiryaev, A. N. 71 1995 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. 69 1981 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. 64 2001 Limit theorems for associated fields and related systems. Zbl 1154.60037Bulinski, Alexander; Shashkin, Alexey 58 2007 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. 57 2001 Probability. Transl. from the Russian by R. P. Boas. Zbl 0536.60001Shiryaev, A. N. 54 1984 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036Jacod, J.; Shiryaev, A. N. 54 1998 No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N. 50 1996 Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048Föllmer, Hans; Protter, Philip; Shiryayev, Albert N. 45 1995 Change of time and change of measure. Zbl 1234.60003Barndorff-Nielsen, Ole; Shiryaev, Albert 44 2010 Martingale theory. (Teoriya martingalov). Zbl 0654.60035Liptser, R. Sh.; Shiryaev, A. N. 41 1986 On Stefan’s problem and optimal stopping rules for Markov processes. Zbl 0178.53303Grigelionis, B. I.; Shiryaev, A. N. 41 1966 Sequential testing problems for Poisson processes. Zbl 1081.62546Peskir, G.; Shiryaev, A. N. 41 2000 Probability. Textbook. 2nd ed., rev. and compl. (Вероятностъ. Учебное пособие.) Zbl 0682.60001Shiryaev, A. N. 38 1989 Statistical sequential analysis. Optimal stopping rules. 2nd ed., rev. (Статистический последовательный анализ. Оптимальные правила остановки.) Zbl 0463.62068Shiryaev, A. N. 35 1976 Thou shalt buy and hold. Zbl 1154.91478Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 35 2008 On Esscher transforms in discrete finance models. Zbl 1162.91367Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N. 31 1998 Solving the Poisson disorder problem. Zbl 1009.60033Peskir, Goran; Shiryaev, Albert N. 31 2002 Optimal stopping rules. Reprint of the 1978 3rd ed. Zbl 1138.60008Shiryaev, Albert N. 30 2008 On the question of absolute continuity and singularity of probability measures. Zbl 0398.60044Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 29 1977 Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082Graversen, S. E.; Peskir, G.; Shiryaev, A. N. 28 2000 Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time. Zbl 0882.62076Shiryaev, A. N. 28 1996 Optimal stopping rules and maximal inequalities for Bessel processes. Zbl 0807.60040Dubins, L. E.; Shepp, L. A.; Shiryaev, A. N. 28 1993 The problem of the most rapid detection of a disturbance in a stationary process. Zbl 0109.11201Shiryaev, A. N. 25 1961 Time change representation of stochastic integrals. Zbl 1034.60055Kallsen, J.; Shiryaev, A. N. 24 2001 Quickest detection problems in the technical analysis of the financial data. Zbl 1001.62038Shiryaev, Albert N. 24 2002 On contiguity of probability measures corresponding to semimartingales. Zbl 0591.60039Liptser, R. S.; Shiryaev, A. N. 23 1985 Contiguity and the statistical invariance principle. Zbl 0659.62029Greenwood, P. E.; Shiryayev, A. N. 22 1985 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. 22 1982 Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. 20 2009 Martingales: Recent developments, results and applications. Zbl 0478.60062Shiryaev, A. N. 19 1981 A functional central limit theorem for semimartingales. Zbl 0454.60032Liptser, R. Sh.; Shiryaev, A. N. 18 1980 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. 18 2008 A new look at pricing of the “Russian option”. Zbl 0834.60072Shepp, L. A.; Shiryaev, A. N. 18 1994 Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077Gapeev, Pavel V.; Shiryaev, Albert N. 18 2013 Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024Feinberg, Eugene A.; Shirayaev, Albert N. 17 2006 Statistical sequential analysis. Optimal stopping rules. Translated from the Russian by Lisa and Judah Rosenblatt. Zbl 0267.62039Shiryaev, A. N. 16 1973 On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073Douady, R.; Shiryaev, A. N.; Yor, M. 16 1999 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. 16 2000 Selected works of A. N. Kolmogorov. Volume II: Probability theory and mathematical statistics. Edited by A. N. Shiryayev. Transl. from the Russian by G. Lindquist. Zbl 0743.60005Kolmogorov, A. N. 15 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 1390.60002Shiryaev, Albert N. 15 2016 Absolute continuity and singularity of locally absolutely continuous probability distributions. I. Zbl 0426.60039Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 15 1979 On the sequential testing problem for some diffusion processes. Zbl 1228.62098Gapeev, Pavel V.; Shiryaev, Albert N. 15 2011 On solutions of Kolmogorov’s equations for nonhomogeneous jump Markov processes. Zbl 1328.60192Feinberg, Eugene A.; Mandava, Manasa; Shiryaev, Albert N. 15 2014 On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035Novikov, Alexander; Shiryaev, Albert 14 2007 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. 14 1994 The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018Peškir, Goran; Shiryaev, A. N. 14 1995 Quickest detection problems: fifty years later. Zbl 1203.62137Shiryaev, Albert N. 14 2010 Statistical experiments and decisions. Asymptotic theory. Zbl 0967.62002Shiryaev, A. N.; Spokoiny, V. G. 14 2000 On the variation distance for probability measures defined on a filtered space. Zbl 0554.60006Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 12 1986 Some limit theorems for simple point processes (a martingale approach). Zbl 0441.60045Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 12 1980 Asymptotic minimaxity of a sequential estimator for a first order autoregressive model. Zbl 0753.62049Greenwood, P. E.; Shiryaev, A. N. 11 1992 Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes. Zbl 0416.60062Kabanov, Yu.; Liptser, R.; Shiryaev, A. N. 11 1978 Bayesian sequential estimation of a drift of fractional Brownian motion. Zbl 1294.62175Çetin, U.; Novikov, A.; Shiryaev, A. N. 11 2013 On sequential estimation of an autoregressive parameter. Zbl 0877.62077Shiryaev, A. N.; Spokoiny, V. G. 11 1997 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101Zhitlukhin, Mikhail V.; Shiryaev, Albert 10 2011 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. 10 2002 On an effective solution of the optimal stopping problem for random walks. Zbl 1092.60018Novikov, A. A.; Shiryaev, A. N. 10 2004 On the one-sided tanaka equation with drift. Zbl 1243.60048Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo 10 2011 Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants. Zbl 0569.60038Memin, J.; Shiryayev, A. N. 9 1985 Absolute Stetigkeit und Singularität lokal abolut stetiger Wahrscheinlichkeitsverteilungen. I. Zbl 0402.60039Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 8 1978 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. 8 2009 Minimax weights in a trend detection problem of a random process. Zbl 0237.62060Legostaeva, I. L.; Sirjaev, A. N. 8 1971 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. 8 1974 On the problem of stochastic integral representations of functionals of the Brownian motion. I. Zbl 1057.60057Shiryaev, A. N.; Yor, M. 8 2003 Stochastic calculus. Zbl 0879.60047Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N. 8 1989 A new look at the “Russian option”. Zbl 0829.60055Shepp, L. A.; Shiryaev, A. N. 7 1994 Continuous-time Markov decision processes. Borel space models and general control strategies. With a foreword by Albert Nikolaevich Shiryaev. Zbl 1451.90003Piunovskiy, Alexey; Zhang, Yi 7 2020 Weak and strong convergence of the distributions of counting processes. Zbl 0533.60055Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N. 7 1984 Predicting the last zero of Brownian motion with drift. Zbl 1145.60025du Toit, J.; Peskir, G.; Shiryaev, A. N. 7 2008 On the detection of disorder in a manufacturing process. I. Zbl 0279.90011Sirjaev, A. N. 7 1963 Statistics of conditionally Gaussian random sequences. Zbl 0292.60060Liptser, R. Sh.; Shiryayev, A. N. 7 1972 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. 7 1973 Some problems in the spectral theory of higher-order moments. I. Zbl 0109.36001Shiryaev, A. N. 7 1962 Change of time and change of measure. 2nd edition. Zbl 1316.60004Barndorff-Nielsen, Ole E.; Shiryaev, Albert 7 2015 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 Necessary and sufficient conditions for the functional central limit theorem for semimartingales. Zbl 0458.60017Liptser, R. Sh.; Shiryaev, A. N. 6 1981 On stochastic models and optimal methods in the quickest detection problems. Zbl 1395.62249Shiryaev, A. N. 6 2009 On conditional-extremal problems of the quickest detection of nonpredictable times of the observable Brownian motion. Zbl 1393.60041Shiryaev, A. N. 6 2009 Stochastic disorder problems. Zbl 1426.93002Shiryaev, Albert N. 6 2019 On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075Cherny, Alexander; Shiryaev, Albert 6 2005 Investigations by statistical sequential analysis. Zbl 0169.21202Shiryaev, A. N. 6 1969 Stochastic calculus. Zbl 0714.60037Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N. 6 1989 Recent developments in stochastic methods and applications. ICSM-5. Selected contributions based on the presentations at the 5th international conference, Moscow, Russia, November 23–27, 2020. Zbl 1470.60004 1 2021 Continuous-time Markov decision processes. Borel space models and general control strategies. With a foreword by Albert Nikolaevich Shiryaev. Zbl 1451.90003Piunovskiy, Alexey; Zhang, Yi 7 2020 Stochastic disorder problems. Zbl 1426.93002Shiryaev, Albert N. 6 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 1472.60001Shiryaev, 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 Selected works III. Information theory and the theory of algorithms. Edited by A. N. Shiryayev. Annotated translation from the Russian. Reprint of the 1993 hardback edition published by Kluwer Academic Publishers. Zbl 1425.01118Kolmogorov, Andrei 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. 15 2016 Change of time and change of measure. 2nd edition. Zbl 1316.60004Barndorff-Nielsen, Ole E.; Shiryaev, Albert 7 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 A quickest detection problem with an observation cost. Zbl 1326.60052Dalang, Robert C.; Shiryaev, Albert N. 1 2015 On solutions of Kolmogorov’s equations for nonhomogeneous jump Markov processes. Zbl 1328.60192Feinberg, Eugene A.; Mandava, Manasa; Shiryaev, Albert N. 15 2014 Sharp maximal inequalities for stochastic processes. Zbl 1322.60074Lyulko, Ya. A.; Shiryaev, A. N. 4 2014 Two-sided disorder problem for a Brownian motion in a Bayesian setting. Zbl 1326.60053Muravlev, A. A.; Shiryaev, A. N. 2 2014 On the existence of solutions of unbounded optimal stopping problems. Zbl 1337.60077Zhitlukhin, M. V.; Shiryaev, A. N. 2 2014 Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048Zhitlukhin, M. V.; 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 Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077Gapeev, Pavel V.; Shiryaev, Albert N. 18 2013 Bayesian sequential estimation of a drift of fractional Brownian motion. Zbl 1294.62175Çetin, U.; Novikov, A.; Shiryaev, A. N. 11 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. 2 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. 15 2011 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101Zhitlukhin, Mikhail V.; Shiryaev, Albert 10 2011 On the one-sided tanaka equation with drift. Zbl 1243.60048Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo 10 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 44 2010 Quickest detection problems: fifty years later. Zbl 1203.62137Shiryaev, Albert N. 14 2010 Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. 20 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. 8 2009 On stochastic models and optimal methods in the quickest detection problems. Zbl 1395.62249Shiryaev, A. N. 6 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 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 35 2008 Optimal stopping rules. Reprint of the 1978 3rd ed. Zbl 1138.60008Shiryaev, Albert N. 30 2008 On the duality principle in option pricing: semimartingale setting. Zbl 1150.91016Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. 18 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 Limit theorems for associated fields and related systems. Zbl 1154.60037Bulinski, Alexander; Shashkin, Alexey 58 2007 On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035Novikov, Alexander; Shiryaev, Albert 14 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. (О мартингальных методах в задачах о пересечении границ броуновским движением.) Zbl 1145.60004Shiryaev, A. N. 2 2007 Selected works. Vol. 4. Mathematics and mathematicians. Book 2. On mathematicians. Edited by A. N. Shiryaev. (Избранные труды. Том 4. Математика и математики. Книга 2. О математиках.) Zbl 1294.01073Kolmogorov, A. N. 1 2007 Optimal stopping and free-boundary problems. Zbl 1115.60001Peskir, Goran; Shiryaev, Albert 384 2006 Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024Feinberg, Eugene A.; Shirayaev, Albert N. 17 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 6 2005 Selected works. Vol. 3. Information theory and the theory of algorithms. Edited by A. N. Shiryaev. (Избранные труды. Том 3. Теория информации и теория алгоритмов.) Zbl 1126.01024Kolmogorov, A. N. 2 2005 Selected works. Vol. 2. Probability theory and mathematical statistics. Edited by A. N. Shiryaev. (Избранные труды. Том 2. Теория вероятностей и математическая статистика.) Zbl 1126.01023Kolmogorov, A. N. 1 2005 On an effective solution of the optimal stopping problem for random walks. Zbl 1092.60018Novikov, A. A.; Shiryaev, A. N. 10 2004 A remark on the quickest detection problems. Zbl 1067.62084Shiryaev, Albert N. 4 2004 International conference on Kolmogorov and modern mathematics, Moskva, Russia, June 16–21, 2003. Report and materials. (Mezhdunarodnaya konferentsiya Kolmogorov i sovremennaya matematika. Otchet i materialy.) Zbl 1054.00006Shiryaev, A. N. 1 2004 Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002Jacod, Jean; Shiryaev, Albert N. 1,009 2003 On the problem of stochastic integral representations of functionals of the Brownian motion. I. Zbl 1057.60057Shiryaev, A. N.; Yor, M. 8 2003 The cumulant process and Esscher’s change of measure. Zbl 1035.60042Kallsen, Jan; Shiryaev, Albert N. 80 2002 Solving the Poisson disorder problem. Zbl 1009.60033Peskir, Goran; Shiryaev, Albert N. 31 2002 Quickest detection problems in the technical analysis of the financial data. Zbl 1001.62038Shiryaev, Albert N. 24 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. 10 2002 A barrier version of the Russian option. Zbl 1011.91038Shepp, Larry A.; Shiryaev, Albert N.; Sulem, Agnes 3 2002 Vector stochastic integrals and the fundamental theorems of asset pricing. Zbl 1034.60058Shiryaev, A. N.; Chernyj, A. S. 3 2002 Stochastic financial mathematics. Collected papers. (Stokhasticheskaya finansovaya matematika. Sbornik statej.) Zbl 1007.00021 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. 64 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. 57 2001 Time change representation of stochastic integrals. Zbl 1034.60055Kallsen, J.; Shiryaev, A. N. 24 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. 41 2000 Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082Graversen, S. E.; Peskir, G.; Shiryaev, A. N. 28 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. 16 2000 Statistical experiments and decisions. Asymptotic theory. Zbl 0967.62002Shiryaev, A. N.; Spokoiny, V. G. 14 2000 Essentials of stochastic finance. Transl. from the Russian by N. Kruzhilin. Zbl 0926.62100Shiryaev, A. N. 107 1999 On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073Douady, R.; Shiryaev, A. N.; Yor, M. 16 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. 54 1998 On Esscher transforms in discrete finance models. Zbl 1162.91367Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N. 31 1998 Probability theory III. Stochastic calculus. Transl. from the Russian by P. B. Slater. Zbl 0879.00017 5 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. 207 1996 No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N. 50 1996 Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time. Zbl 0882.62076Shiryaev, A. N. 28 1996 A dual Russian option for selling short. Zbl 0867.90014Shepp, L. A.; Shiryaev, A. N. 5 1996 Hiring and firing optimally in a large corporation. Zbl 0875.90265Shepp, Larry; Shiryaev, Albert 5 1996 Criteria for the absence of arbitrage in the financial market. Zbl 0898.90021Melnikov, A. V.; Shiryaev, A. N. 4 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. (Uspekhi teorii veroyatnostej i ee primenenij II. Trudy chetvertogo rossijsko-finskogo simpoziuma po teorii veroyatnostej i matematicheskoj statistike. Moskva (Rossiya), 3-8 oktyabrya 1993 g.) Zbl 0870.00038 1 1996 Optimization of the flow of dividends. Zbl 0878.90014Jeanblanc-Picqué, M.; Shiryaev, A. N. 133 1995 Probability. Transl. from the Russian by R. P. Boas. 2nd ed. Zbl 0835.60002Shiryaev, A. N. 71 1995 Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048Föllmer, Hans; Protter, Philip; Shiryayev, Albert N. 45 1995 The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018Peškir, Goran; Shiryaev, A. N. 14 1995 Limit theorems for stochastic processes. Vol. 1-2. (Predel’nye teoremy dlya sluchajnykh protsessov. Tom 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. 18 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. 14 1994 A new look at the “Russian option”. Zbl 0829.60055Shepp, L. A.; Shiryaev, A. N. 7 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. 4 1994 ...and 96 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 4,716 Authors 38 Jacod, Jean 35 Gapeev, Pavel V. 32 Pap, Gyula 29 Siu, Tak Kuen 28 Peskir, Goran 28 Shiryaev, Al’bert Nikolaevich 23 Podolskij, Mark 23 Todorov, Viktor 22 Barczy, Mátyás 21 Ekström, Erik 21 Kutoyants, Yury A. 21 Liptser, Robert 20 Mao, Xuerong 20 Rodkina, Alexandra 19 Jeanblanc, Monique 18 Bayraktar, Erhan 18 De Angelis, Tiziano 18 Eberlein, Ernst W. 18 Tartakovsky, Alexander G. 17 Barndorff-Nielsen, Ole Eiler 17 Elliott, Robert James 17 Kallsen, Jan 17 Kyprianou, Andreas E. 17 Mykland, Per Aslak 16 Kabanov, Yuriĭ Mikhaĭlovich 16 Rosenbaum, Mathieu 16 Urusov, Mikhail A. 16 Yan, Litan 15 Choulli, Tahir 15 Fournier, Nicolas G. 15 Karatzas, Ioannis 15 Palmowski, Zbigniew 15 Pistorius, Martijn R. 14 Criens, David 14 Konev, Victor 14 Mishura, Yuliya Stepanivna 14 Polunchenko, Aleksey S. 14 Ruf, Johannes 13 Christensen, Soren 13 Le Breton, Alain 13 Øksendal, Bernt Karsten 13 Puhalskii, Anatolii A. 12 Fontana, Claudio 12 Höpfner, Reinhard 12 Kardaras, Constantinos 12 Madan, Dilip B. 12 Papapantoleon, Antonis 12 Rásonyi, Miklós 12 Reiß, Markus 12 Russo, Francesco 12 Tappe, Stefan 12 Yang, Hailiang 12 Yoshida, Nakahiro 11 Benth, Fred Espen 11 Budhiraja, Amarjit S. 11 Buonaguidi, Bruno 11 Campi, Marco Claudio 11 Irle, Albrecht 11 Ivanov, Roman V. 11 Jeon, Junkee 11 Klebaner, Fima C. 11 Kleptsyna, Marina L. 11 Makasu, Cloud 11 Mikulevicius, Remigijus 11 Muhle-Karbe, Johannes 11 Spreij, Peter 11 Vetter, Mathias 10 Ankirchner, Stefan 10 Dolinsky, Yan 10 Engelbert, Hans-Jürgen 10 Ferrari, Giorgio 10 Frisén, Marianne 10 Fukasawa, Masaaki 10 Kifer, Yuri 10 Korolyuk, Volodymyr Semenovych 10 Kruse, Thomas 10 Novikov, Aleksandr Aleksandrovich 10 Nutz, Marcel 10 Pergamenshchikov, Sergeĭ Markovich 10 Runggaldier, Wolfgang J. 10 Tauchen, George E. 10 Vovk, Vladimir G. 10 Zhitlukhin, Mikhail V. 9 Aït-Sahalia, Yacine 9 Andersson, Eva 9 Avram, Florin 9 Dayanik, Savas 9 Döring, Leif 9 Feinberg, Eugene Aleksandrovich 9 Koike, Yuta 9 Nishiyama, Yoichi 9 Pham, Huyên 9 Salminen, Paavo H. 9 Schmidt, Thorsten 9 Sezer, Semih Onur 9 Stettner, Łukasz 9 Tankov, Peter 9 Teichmann, Josef 9 Thavaneswaran, Aerambamoorthy 9 Touzi, Nizar ...and 4,616 more Authors all top 5 Cited in 455 Serials 389 Stochastic Processes and their Applications 196 The Annals of Applied Probability 141 Statistics & Probability Letters 108 Finance and Stochastics 106 Sequential Analysis 100 The Annals of Probability 95 Journal of Applied Probability 86 Bernoulli 80 Insurance Mathematics & Economics 76 Stochastics 74 Probability Theory and Related Fields 73 Stochastic Analysis and Applications 68 Advances in Applied Probability 68 Journal of Statistical Planning and Inference 66 The Annals of Statistics 66 Journal of Econometrics 62 Journal of Mathematical Analysis and Applications 61 Journal of Theoretical Probability 55 Journal of Mathematical Sciences (New York) 54 Quantitative Finance 51 Lithuanian Mathematical Journal 47 Applied Mathematics and Optimization 45 Cybernetics and Systems Analysis 44 Annales de l’Institut Henri Poincaré. 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