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Shiryaev, Al’bert Nikolaevich

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Author ID: shiryaev.albert-n Recent zbMATH articles by "Shiryaev, Al’bert Nikolaevich"
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.
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
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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
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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

Publications by Year

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 1018.60002
Jacod, Jean; Shiryaev, Albert N.
2003
Limit theorems for stochastic processes. Zbl 0635.60021
Jacod, Jean; Shiryaev, Albert N.
570
1987
Optimal stopping and free-boundary problems. Zbl 1115.60001
Peskir, Goran; Shiryaev, Albert
384
2006
Statistics of random processes. I. General theory. Translated by A. B. Aries. Zbl 0364.60004
Liptser, R. S.; Shiryayev, A. N.
370
1977
Probability theory and B. V. Gnedenko. Zbl 0909.01009
Shiryaev, A. N.
207
1996
Optimal stopping rules. Translated by A. B. Aries. 3rd ed. Zbl 0391.60002
Shiryaev, A. N.
192
1978
Theory of martingales. Transl. from the Russian by K. Dzjaparidze. Zbl 0728.60048
Liptser, 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 0830.60025
Jacod, J.; Shiryaev, A. N.
173
1994
On optimum methods in quickest detection problems. Zbl 0213.43804
Shiryaev, A. N.
146
1963
Statistics of random processes. II. Applications. Translated by A. B. Aries. Zbl 0369.60001
Liptser, R. S.; Shiryayev, A. N.
144
1978
Optimization of the flow of dividends. Zbl 0878.90014
Jeanblanc-Picqué, M.; Shiryaev, A. N.
133
1995
Essentials of stochastic finance. Transl. from the Russian by N. Kruzhilin. Zbl 0926.62100
Shiryaev, A. N.
107
1999
Probability. Textbook. (Вероятность. Учебное пособие). Zbl 0508.60001
Shiryaev, A. N.
92
1980
On a method of calculation of semi-invariants. Zbl 0087.33701
Leonov, V. P.; Shiryaev, A. N.
89
1959
The Russian option: Reduced regret. Zbl 0783.90011
Shepp, Larry; Shiryaev, A. N.
85
1993
The cumulant process and Esscher’s change of measure. Zbl 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
80
2002
Probability. Transl. from the Russian by R. P. Boas. 2nd ed. Zbl 0835.60002
Shiryaev, 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 0556.60003
Liptser, 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 1008.62072
Liptser, Robert S.; Shiryaev, Albert N.
64
2001
Limit theorems for associated fields and related systems. Zbl 1154.60037
Bulinski, 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 1008.62073
Liptser, Robert S.; Shiryaev, Albert N.
57
2001
Probability. Transl. from the Russian by R. P. Boas. Zbl 0536.60001
Shiryaev, A. N.
54
1984
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
54
1998
No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037
Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N.
50
1996
Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048
Föllmer, Hans; Protter, Philip; Shiryayev, Albert N.
45
1995
Change of time and change of measure. Zbl 1234.60003
Barndorff-Nielsen, Ole; Shiryaev, Albert
44
2010
Martingale theory. (Teoriya martingalov). Zbl 0654.60035
Liptser, R. Sh.; Shiryaev, A. N.
41
1986
On Stefan’s problem and optimal stopping rules for Markov processes. Zbl 0178.53303
Grigelionis, B. I.; Shiryaev, A. N.
41
1966
Sequential testing problems for Poisson processes. Zbl 1081.62546
Peskir, G.; Shiryaev, A. N.
41
2000
Probability. Textbook. 2nd ed., rev. and compl. (Вероятностъ. Учебное пособие.) Zbl 0682.60001
Shiryaev, A. N.
38
1989
Statistical sequential analysis. Optimal stopping rules. 2nd ed., rev. (Статистический последовательный анализ. Оптимальные правила остановки.) Zbl 0463.62068
Shiryaev, A. N.
35
1976
Thou shalt buy and hold. Zbl 1154.91478
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
35
2008
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N.
31
1998
Solving the Poisson disorder problem. Zbl 1009.60033
Peskir, Goran; Shiryaev, Albert N.
31
2002
Optimal stopping rules. Reprint of the 1978 3rd ed. Zbl 1138.60008
Shiryaev, Albert N.
30
2008
On the question of absolute continuity and singularity of probability measures. Zbl 0398.60044
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
29
1977
Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Zbl 0982.60082
Graversen, 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 0882.62076
Shiryaev, A. N.
28
1996
Optimal stopping rules and maximal inequalities for Bessel processes. Zbl 0807.60040
Dubins, 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 0109.11201
Shiryaev, A. N.
25
1961
Time change representation of stochastic integrals. Zbl 1034.60055
Kallsen, J.; Shiryaev, A. N.
24
2001
Quickest detection problems in the technical analysis of the financial data. Zbl 1001.62038
Shiryaev, Albert N.
24
2002
On contiguity of probability measures corresponding to semimartingales. Zbl 0591.60039
Liptser, R. S.; Shiryaev, A. N.
23
1985
Contiguity and the statistical invariance principle. Zbl 0659.62029
Greenwood, 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 0482.60030
Liptser, R. Sh.; Shiryaev, A. N.
22
1982
Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
20
2009
Martingales: Recent developments, results and applications. Zbl 0478.60062
Shiryaev, A. N.
19
1981
A functional central limit theorem for semimartingales. Zbl 0454.60032
Liptser, R. Sh.; Shiryaev, A. N.
18
1980
A functional central limit theorem for semimartingales. Zbl 0471.60038
Liptser, R. Sh.; Shiryaev, A. N.
18
1981
On the duality principle in option pricing: semimartingale setting. Zbl 1150.91016
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
18
2008
A new look at pricing of the “Russian option”. Zbl 0834.60072
Shepp, L. A.; Shiryaev, A. N.
18
1994
Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077
Gapeev, Pavel V.; Shiryaev, Albert N.
18
2013
Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024
Feinberg, Eugene A.; Shirayaev, Albert N.
17
2006
Statistical sequential analysis. Optimal stopping rules. Translated from the Russian by Lisa and Judah Rosenblatt. Zbl 0267.62039
Shiryaev, A. N.
16
1973
On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073
Douady, 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 0965.60077
Graversen, 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 0743.60005
Kolmogorov, 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 1390.60002
Shiryaev, Albert N.
15
2016
Absolute continuity and singularity of locally absolutely continuous probability distributions. I. Zbl 0426.60039
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
15
1979
On the sequential testing problem for some diffusion processes. Zbl 1228.62098
Gapeev, Pavel V.; Shiryaev, Albert N.
15
2011
On solutions of Kolmogorov’s equations for nonhomogeneous jump Markov processes. Zbl 1328.60192
Feinberg, Eugene A.; Mandava, Manasa; Shiryaev, Albert N.
15
2014
On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035
Novikov, Alexander; Shiryaev, Albert
14
2007
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.
14
1994
The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018
Peškir, Goran; Shiryaev, A. N.
14
1995
Quickest detection problems: fifty years later. Zbl 1203.62137
Shiryaev, Albert N.
14
2010
Statistical experiments and decisions. Asymptotic theory. Zbl 0967.62002
Shiryaev, A. N.; Spokoiny, V. G.
14
2000
On the variation distance for probability measures defined on a filtered space. Zbl 0554.60006
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
12
1986
Some limit theorems for simple point processes (a martingale approach). Zbl 0441.60045
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
12
1980
Asymptotic minimaxity of a sequential estimator for a first order autoregressive model. Zbl 0753.62049
Greenwood, P. E.; Shiryaev, A. N.
11
1992
Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes. Zbl 0416.60062
Kabanov, Yu.; Liptser, R.; Shiryaev, A. N.
11
1978
Bayesian sequential estimation of a drift of fractional Brownian motion. Zbl 1294.62175
Çetin, U.; Novikov, A.; Shiryaev, A. N.
11
2013
On sequential estimation of an autoregressive parameter. Zbl 0877.62077
Shiryaev, A. N.; Spokoiny, V. G.
11
1997
A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101
Zhitlukhin, Mikhail V.; Shiryaev, Albert
10
2011
Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker-Prokhorov invariance principle. Zbl 1034.60076
Cherny, A. S.; Shiryaev, A. N.; Yor, M.
10
2002
On an effective solution of the optimal stopping problem for random walks. Zbl 1092.60018
Novikov, A. A.; Shiryaev, A. N.
10
2004
On the one-sided tanaka equation with drift. Zbl 1243.60048
Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo
10
2011
Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants. Zbl 0569.60038
Memin, J.; Shiryayev, A. N.
9
1985
Absolute Stetigkeit und Singularität lokal abolut stetiger Wahrscheinlichkeitsverteilungen. I. Zbl 0402.60039
Kabanov, 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 1395.62253
Burnaev, E. V.; Feinberg, E. A.; Shiryaev, A. N.
8
2009
Minimax weights in a trend detection problem of a random process. Zbl 0237.62060
Legostaeva, 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 0279.60021
Liptser, R. Sh.; Shiryaev, A. N.
8
1974
On the problem of stochastic integral representations of functionals of the Brownian motion. I. Zbl 1057.60057
Shiryaev, A. N.; Yor, M.
8
2003
Stochastic calculus. Zbl 0879.60047
Anulova, S. V.; Veretennikov, A. Yu.; Krylov, N. V.; Liptser, R. Sh.; Shiryaev, A. N.
8
1989
A new look at the “Russian option”. Zbl 0829.60055
Shepp, 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 1451.90003
Piunovskiy, Alexey; Zhang, Yi
7
2020
Weak and strong convergence of the distributions of counting processes. Zbl 0533.60055
Kabanov, Yu. M.; Liptser, R. Sh.; Shiryaev, A. N.
7
1984
Predicting the last zero of Brownian motion with drift. Zbl 1145.60025
du Toit, J.; Peskir, G.; Shiryaev, A. N.
7
2008
On the detection of disorder in a manufacturing process. I. Zbl 0279.90011
Sirjaev, A. N.
7
1963
Statistics of conditionally Gaussian random sequences. Zbl 0292.60060
Liptser, 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 0267.60079
Liptser, R. Sh.; Shiryaev, A. N.
7
1973
Some problems in the spectral theory of higher-order moments. I. Zbl 0109.36001
Shiryaev, A. N.
7
1962
Change of time and change of measure. 2nd edition. Zbl 1316.60004
Barndorff-Nielsen, Ole E.; Shiryaev, Albert
7
2015
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.
6
1982
Necessary and sufficient conditions for the functional central limit theorem for semimartingales. Zbl 0458.60017
Liptser, R. Sh.; Shiryaev, A. N.
6
1981
On stochastic models and optimal methods in the quickest detection problems. Zbl 1395.62249
Shiryaev, A. N.
6
2009
On conditional-extremal problems of the quickest detection of nonpredictable times of the observable Brownian motion. Zbl 1393.60041
Shiryaev, A. N.
6
2009
Stochastic disorder problems. Zbl 1426.93002
Shiryaev, Albert N.
6
2019
On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075
Cherny, Alexander; Shiryaev, Albert
6
2005
Investigations by statistical sequential analysis. Zbl 0169.21202
Shiryaev, A. N.
6
1969
Stochastic calculus. Zbl 0714.60037
Anulova, 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 1451.90003
Piunovskiy, Alexey; Zhang, Yi
7
2020
Stochastic disorder problems. Zbl 1426.93002
Shiryaev, 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 1472.60001
Shiryaev, Albert N.
2
2019
Sequential testing of two hypotheses for a stationary Ornstein-Uhlenbeck process. Zbl 1411.62244
Lisovskii, 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 1425.01118
Kolmogorov, Andrei N.
1
2019
On a transformation of the measure of a Brownian motion with drift and Girsanov’s theorem. Zbl 1429.60064
Shiryaev, 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 1390.60002
Shiryaev, Albert N.
15
2016
Change of time and change of measure. 2nd edition. Zbl 1316.60004
Barndorff-Nielsen, Ole E.; Shiryaev, Albert
7
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.
1
2015
A quickest detection problem with an observation cost. Zbl 1326.60052
Dalang, Robert C.; Shiryaev, Albert N.
1
2015
On solutions of Kolmogorov’s equations for nonhomogeneous jump Markov processes. Zbl 1328.60192
Feinberg, Eugene A.; Mandava, Manasa; Shiryaev, Albert N.
15
2014
Sharp maximal inequalities for stochastic processes. Zbl 1322.60074
Lyulko, Ya. A.; Shiryaev, A. N.
4
2014
Two-sided disorder problem for a Brownian motion in a Bayesian setting. Zbl 1326.60053
Muravlev, A. A.; Shiryaev, A. N.
2
2014
On the existence of solutions of unbounded optimal stopping problems. Zbl 1337.60077
Zhitlukhin, M. V.; Shiryaev, A. N.
2
2014
Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048
Zhitlukhin, M. V.; Shiryaev, A. N.
1
2014
Discussion on “Sequential estimation for time series models” by T. N. Sriram and Ross Iaci. Zbl 1291.62151
Novikov, A.; Shiryaev, A. N.
1
2014
Bayesian quickest detection problems for some diffusion processes. Zbl 1261.62077
Gapeev, Pavel V.; Shiryaev, Albert N.
18
2013
Bayesian sequential estimation of a drift of fractional Brownian motion. Zbl 1294.62175
Çetin, U.; Novikov, A.; Shiryaev, A. N.
11
2013
Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035
Zhitlukhin, M. V.; Shiryaev, A. N.
3
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.
2
2013
Problems in probability. Translated from Russian by Andrew Lyasoff. Zbl 1268.60004
Shiryaev, Albert N.
1
2012
On the sequential testing problem for some diffusion processes. Zbl 1228.62098
Gapeev, Pavel V.; Shiryaev, Albert N.
15
2011
A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101
Zhitlukhin, Mikhail V.; Shiryaev, Albert
10
2011
On the one-sided tanaka equation with drift. Zbl 1243.60048
Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo
10
2011
Russian-Japanese symposium on “A stochastic analysis of advanced statistical models”. Zbl 1237.00020
Shiryaev, A. N.; Ulyanov, V. V.
1
2011
Change of time and change of measure. Zbl 1234.60003
Barndorff-Nielsen, Ole; Shiryaev, Albert
44
2010
Quickest detection problems: fifty years later. Zbl 1203.62137
Shiryaev, Albert N.
14
2010
Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268
Eberlein, 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 1395.62253
Burnaev, E. V.; Feinberg, E. A.; Shiryaev, A. N.
8
2009
On stochastic models and optimal methods in the quickest detection problems. Zbl 1395.62249
Shiryaev, A. N.
6
2009
On conditional-extremal problems of the quickest detection of nonpredictable times of the observable Brownian motion. Zbl 1393.60041
Shiryaev, A. N.
6
2009
On the linear and nonlinear generalized Bayesian disorder problem (discrete time case). Zbl 1200.62006
Shiryaev, Albert N.; Zryumov, Pavel Y.
2
2009
Thou shalt buy and hold. Zbl 1154.91478
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
35
2008
Optimal stopping rules. Reprint of the 1978 3rd ed. Zbl 1138.60008
Shiryaev, Albert N.
30
2008
On the duality principle in option pricing: semimartingale setting. Zbl 1150.91016
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
18
2008
Predicting the last zero of Brownian motion with drift. Zbl 1145.60025
du Toit, J.; Peskir, G.; Shiryaev, A. N.
7
2008
On a stochastic version of the trading rule “buy and hold”. Zbl 1274.62538
Shiryaev, Albert; Novikov, Alexander A.
5
2008
Generalized Bayesian nonlinear quickest detection problems: on Markov family of sufficient statistics. Zbl 1146.62019
Shiryaev, Albert N.
2
2008
Response to comment on ‘Thou shalt buy and hold’. Zbl 1154.91477
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
1
2008
Limit theorems for associated fields and related systems. Zbl 1154.60037
Bulinski, Alexander; Shashkin, Alexey
58
2007
On a solution of the optimal stopping problem for processes with independent increments. Zbl 1114.60035
Novikov, Alexander; Shiryaev, Albert
14
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.
3
2007
Martingale methods in problems on boundary intersections of Brownian motions. (О мартингальных методах в задачах о пересечении границ броуновским движением.) Zbl 1145.60004
Shiryaev, 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 1294.01073
Kolmogorov, A. N.
1
2007
Optimal stopping and free-boundary problems. Zbl 1115.60001
Peskir, Goran; Shiryaev, Albert
384
2006
Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024
Feinberg, Eugene A.; Shirayaev, Albert N.
17
2006
From “disorder” to nonlinear filtering and martingale theory. Zbl 1082.01010
Shiryaev, 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 1121.60304
Shiryaev, A. N.
1
2006
On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075
Cherny, 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 1126.01024
Kolmogorov, 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 1126.01023
Kolmogorov, A. N.
1
2005
On an effective solution of the optimal stopping problem for random walks. Zbl 1092.60018
Novikov, A. A.; Shiryaev, A. N.
10
2004
A remark on the quickest detection problems. Zbl 1067.62084
Shiryaev, 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 1054.00006
Shiryaev, A. N.
1
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.
8
2003
The cumulant process and Esscher’s change of measure. Zbl 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
80
2002
Solving the Poisson disorder problem. Zbl 1009.60033
Peskir, Goran; Shiryaev, Albert N.
31
2002
Quickest detection problems in the technical analysis of the financial data. Zbl 1001.62038
Shiryaev, Albert N.
24
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.
10
2002
A barrier version of the Russian option. Zbl 1011.91038
Shepp, Larry A.; Shiryaev, Albert N.; Sulem, Agnes
3
2002
Vector stochastic integrals and the fundamental theorems of asset pricing. Zbl 1034.60058
Shiryaev, 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 1032.60040
Shiryaev, 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 1008.62072
Liptser, 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 1008.62073
Liptser, Robert S.; Shiryaev, Albert N.
57
2001
Time change representation of stochastic integrals. Zbl 1034.60055
Kallsen, J.; Shiryaev, A. N.
24
2001
On criteria for the uniform integrability of Brownian stochastic exponentials. Zbl 1054.60502
Cherny, A. S.; Shiryaev, A. N.
3
2001
A note on the call-put parity and a call-put duality. Zbl 1003.91028
Peskir, G.; Shiryaev, A. N.
2
2001
The Russian option under conditions of a possible ‘freezing’ of prices. Zbl 1004.91043
Shepp, L. A.; Shiryaev, A. N.
1
2001
Sequential testing problems for Poisson processes. Zbl 1081.62546
Peskir, G.; Shiryaev, A. N.
41
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.
28
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.
16
2000
Statistical experiments and decisions. Asymptotic theory. Zbl 0967.62002
Shiryaev, A. N.; Spokoiny, V. G.
14
2000
Essentials of stochastic finance. Transl. from the Russian by N. Kruzhilin. Zbl 0926.62100
Shiryaev, A. N.
107
1999
On probability characteristics of “downfalls” in a standard Brownian motion. Zbl 0959.60073
Douady, 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 0974.60058
Chernyj, A. S.; Shiryaev, A. N.
2
1999
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
54
1998
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, 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 0907.60048
Kramkov, D. O.; Shiryaev, A. N.
3
1998
On sequential estimation of an autoregressive parameter. Zbl 0877.62077
Shiryaev, A. N.; Spokoiny, V. G.
11
1997
On the Brownian first-passage time over a one-sided stochastic boundary. Zbl 0924.60069
Peškir, G.; Shiryaev, A. N.
1
1997
Probability theory and B. V. Gnedenko. Zbl 0909.01009
Shiryaev, A. N.
207
1996
No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037
Bühlmann, 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 0882.62076
Shiryaev, A. N.
28
1996
A dual Russian option for selling short. Zbl 0867.90014
Shepp, L. A.; Shiryaev, A. N.
5
1996
Hiring and firing optimally in a large corporation. Zbl 0875.90265
Shepp, Larry; Shiryaev, Albert
5
1996
Criteria for the absence of arbitrage in the financial market. Zbl 0898.90021
Melnikov, 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 0878.90014
Jeanblanc-Picqué, M.; Shiryaev, A. N.
133
1995
Probability. Transl. from the Russian by R. P. Boas. 2nd ed. Zbl 0835.60002
Shiryaev, A. N.
71
1995
Quadratic covariation and an extension of Itô’s formula. Zbl 0851.60048
Föllmer, Hans; Protter, Philip; Shiryayev, Albert N.
45
1995
The Khintchine inequalities and martingale expanding sphere of their action. Zbl 0860.60018
Peškir, Goran; Shiryaev, A. N.
14
1995
Limit theorems for stochastic processes. Vol. 1-2. (Predel’nye teoremy dlya sluchajnykh protsessov. Tom 1-2.) Zbl 0830.60025
Jacod, J.; Shiryaev, A. N.
173
1994
A new look at pricing of the “Russian option”. Zbl 0834.60072
Shepp, L. A.; Shiryaev, A. N.
18
1994
Toward the theory of pricing of options of both European and American types. II: Continuous time. Zbl 0833.60065
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
14
1994
A new look at the “Russian option”. Zbl 0829.60055
Shepp, L. A.; Shiryaev, A. N.
7
1994
Toward the theory of pricing of options of both European and American types. I: Discrete time. Zbl 0833.60064
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
4
1994
...and 96 more Documents
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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
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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. Probabilités et Statistiques
43 Theory of Probability and its Applications
43 SIAM Journal on Control and Optimization
42 Stochastics
42 Mathematics and Financial Economics
41 Statistical Inference for Stochastic Processes
40 Automatica
39 International Journal of Theoretical and Applied Finance
38 Mathematical Finance
36 Systems & Control Letters
36 Communications in Statistics. Theory and Methods
36 Electronic Journal of Probability
36 SIAM Journal on Financial Mathematics
34 Applied Mathematics and Computation
34 Journal of Multivariate Analysis
33 Mathematical Notes
33 Annals of the Institute of Statistical Mathematics
30 Journal of Economic Theory
30 European Journal of Operational Research
29 Journal of Statistical Physics
29 Journal of Computational and Applied Mathematics
29 Journal of Economic Dynamics & Control
28 Applied Mathematical Finance
27 Automation and Remote Control
27 Electronic Journal of Statistics
24 Acta Applicandae Mathematicae
24 Mathematical Methods of Operations Research
23 Theory of Probability and Mathematical Statistics
23 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
22 Ukrainian Mathematical Journal
21 Methodology and Computing in Applied Probability
21 Stochastics and Dynamics
21 Proceedings of the Steklov Institute of Mathematics
20 Computers & Mathematics with Applications
20 Journal of Functional Analysis
20 Journal of Optimization Theory and Applications
20 Journal of Soviet Mathematics
19 Journal of Mathematical Economics
19 Annals of Finance
18 Queueing Systems
18 Scandinavian Actuarial Journal
18 Stochastic Models
17 Mathematics of Operations Research
17 Modern Stochastics. Theory and Applications
16 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
16 Potential Analysis
15 Communications in Mathematical Physics
15 Doklady Mathematics
15 Econometric Theory
15 North American Actuarial Journal
14 Proceedings of the American Mathematical Society
14 Transactions of the American Mathematical Society
14 Statistics
14 Journal of Computer and Systems Sciences International
14 Decisions in Economics and Finance
14 Asia-Pacific Financial Markets
14 ALEA. Latin American Journal of Probability and Mathematical Statistics
13 Annals of Operations Research
13 Stochastics and Stochastics Reports
13 Mathematical Methods of Statistics
13 Electronic Communications in Probability
12 Journal of Differential Equations
12 Journal of Time Series Analysis
12 Acta Mathematicae Applicatae Sinica. English Series
12 Mathematical and Computer Modelling
11 Metrika
11 Operations Research Letters
11 Journal of Applied Mathematics and Stochastic Analysis
11 Journal of Applied Statistics
10 International Journal of Control
10 International Journal of Systems Science
10 Journal of Mathematical Biology
10 Kybernetika
10 Siberian Mathematical Journal
10 Cybernetics
10 Random Operators and Stochastic Equations
10 Probability in the Engineering and Informational Sciences
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Cited in 56 Fields

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64 Dynamical systems and ergodic theory (37-XX)
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55 Combinatorics (05-XX)
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