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Shiryaev, Albert Nikolaevich

Total publications: 254 (197)
in MathSciNet: 217 (186)
in zbMATH: 172 (149)
in Web of Science: 97 (76)
in Scopus: 68 (64)
Cited articles: 156
Citations in Math-Net.Ru: 776
Citations in MathSciNet: 5974
Citations in Web of Science: 1284
Citations in Scopus: 915
Presentations: 40

Number of views:
This page:17953
Abstract pages:58512
Full texts:18671
References:2110
Member of the Russian Academy of Sciences
Professor
Doctor of physico-mathematical sciences (1967)
Speciality: 01.01.05 (Probability theory and mathematical statistics)
Birth date: 12.10.1934
E-mail:

Subject:

Probability theory, mathematical statistics. Main interest: nonlinear spectral theory of stationary processes, quickest detection problems, statistical sequential analysis, nonlinear filtration, stochastic calculus of random processes, theory of martingales, functional limit theorems for semimartingales, mathematical finance.

Biography

1952–1957 - Lomonosov Moscow State University, Faculty of Mechanics and Mathematics, Department of Probability Theory.
1961 - Th.D.Thesis "Optimal methods in quickest detection problems".
1967 - Doctor of Physics and Mathematics. Thesis: "Investigations in statistical sequential analysis".
1971 - Professor of Lomonosov Moscow State University.
1986–1992 - Head of the Laboratory of statistics of random processes of Steklov Mathematical Institute of Russian Academy of Sciences.
Since 1996 - Head of Department of Probability Theory of Faculty of Mathematics and Mechanics of Lomonosov of Moscow State University.
1985 - Honorary member of Royal Statistical Society (Great Britain).
1990 - Member of Academie Europea.
1987–1989 - President-elect of Bernoulli Society on Probability and Mathematical Statistics.
1989–1991 - President of Bernoulli Society on Probability and Mathematical Statistics.
1994–1998 - President of the Russian Society of Actuaries.
1996–1997 - President-elect of Bachelier Society on Mathematical Finance.
1998–1999 - President of Bachelier Society on Mathematical Finance.
Member of International Statistical Institute, Institute of Mathematical Statistics (USA).
Member of Moscow Mathematical Society.
Degree of Honorary researcher of Russian Federation.
Degree of Honorary professor of Lomonosov Moscow State University.
2000 - Doctor Honoris causa of the Albrecht-Ludwig University of Freiburg (Freiburg im Breisgau, Germany).
2002 - Professor Honoris causa of the Amsterdam University.
2015 - Doctor Honoris causa of the Anger University (France).
Head of the Editorial boards of the journal "Probability theory and Its Applications" of the Russian Academy of Sciences, member of editorial boards of the journals: "Bulletin of Moscow State University", "International Journal of Imaging Systems & Technology", "Finance & Stochastics", "Stochastics", "Statistics & Decisions", "Quantitative Finance", "Random Operators and Stochastic equations".
Member of Dissertation Council of Steklov Mathematical Institute and of Dissertation and Administrative Councils of the Faculty of Mechanics and Mathematics of Moscow State University.
1974 - Markov Prize (Academy of Sciences of USSR).
1994 - Kolmogorov Prize of Russian Academy of Sciences,
2011 - International Wald Prize.
1994 - Man of the Year of the American Biographical Institute.
1978 - Plenary speaker on the International Congress of Mathematicians in Helsinki.
Pupils: 68 candidate dissertations, 30 doctors dissertations.
Head of the Seminar of the Department of Probability theory of MSU.
Member of organizing and scientific committees of internnaiton conferences (Russian-Japan simposia), The First Congress of the Bachelier Society in Tashkent (1987), conference "Kolmogorov ans contemporary mathematics" (2003), "Visions in Stochastics" (2010) et al.).
Author of more than 220 scientific papers, including 22 monographies and textbooks.

Since 2011 - Academician of the Russian Academy of Sciences

   
Main publications:
  1. A. N. Shiryaev, “On optimum methods in quickest detection problems”, Theor. Probab. Appl., 8 (1963), 22–46  mathnet  crossref  mathscinet  zmath
  2. A. N. Shiryaev, “Stochastic Equations of Nonlinear Filtering of Markovian Jump Processes”, Problems Inform. Transmission, 2:3 (1966), 1–18  mathnet  mathscinet  zmath
  3. Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “Absolute continuity and singularity of locally absolutely continuous probability distributions. I”, Math. USSR-Sb., 35:5 (1979), 631–680  mathnet  crossref  mathscinet  zmath  isi  scopus
  4. J. Jacod, A. N. Shiryaev, Limit theorems for stochastic processes, Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], 288, Springer-Verlag, Berlin, 1987 , xviii+601 pp.  crossref  mathscinet  zmath
  5. G. Peskir, A. Shiryaev, Optimal stopping and free-boundary problems, Lectures Math. ETH Zürich, Birkhäuser Verlag, Basel, 2006 , xxii+500 pp.  mathscinet  zmath

http://www.mathnet.ru/eng/person9196
https://scholar.google.com/citations?user=zH1qBSoAAAAJ&hl=en
https://zbmath.org/authors/?q=ai:shiryaev.albert-n
https://mathscinet.ams.org/mathscinet/MRAuthorID/189353
https://elibrary.ru/author_items.asp?authorid=3217
http://www.researcherid.com/rid/E-3191-2017
https://www.scopus.com/authid/detail.url?authorId=7006804866
https://www.researchgate.net/profile/Albert_Shiryaev

Full list of publications:
| scientific publications | by years | by types | by times cited in WoS | by times cited in Scopus | common list |



   2018
1. A. N. Shiryaev, “On a transformation of the measure of a Brownian motion with drift and Girsanov's theorem”, Russian Math. Surveys, 73:1 (2018), 169–171  mathnet  crossref  crossref  mathscinet  adsnasa  isi (cited: 1)  elib  scopus (cited: 1)

   2019
2. D. I. Lisovskii, A. N. Shiryaev, “Sequential testing of two hypotheses for a stationary Ornstein–Uhlenbeck process”, Theory Probab. Appl., 63:4 (2019), 580–593  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 1)  elib  scopus (cited: 1)

   2017
3. Eugene Feinberg, Manasa Mandava, Albert N. Shiryaev, “Kolmogorov’s equations for jump Markov processes with unbounded jump rates”, Ann. Oper. Res., 2017, 1–18 (Published online)  mathnet  crossref  scopus (cited: 1)

   2016
4. A. N. Shiryaev, Osnovy stokhasticheskoi finansovoi matematiki, v. 1, Fakty. Modeli, MTsNMO, M., 2016 , 440 pp.
5. A. N. Shiryaev, Osnovy stokhasticheskoi finansovoi matematiki, v. 2, Teoriya, MTsNMO, M., 2016 , 460 pp.
6. M. V. Zhitlukhin, A. A. Muravlev, A. N. Shiryaev, “On confidence intervals for Brownian motion changepoint times”, Russian Math. Surveys, 71:1 (2016), 159–160  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi (cited: 1)  elib  elib  scopus (cited: 1)

   2017
7. A. N. Shiryaev, “On mini-max optimality of CUSUM statistics in change point detection problem for Brownian motion”, Theory Probab. Appl., 61:4 (2017), 719–726  mathnet  crossref  crossref  mathscinet  zmath  isi  elib  scopus

   2016
8. A. N. Shiryaev, Stokhasticheskie zadachi o razladke, MTsNMO, M., 2016 , 392 pp.

   2015
9. A. N. Shiryaev, M. V. Zhitlukhin, W. T. Ziemba, “Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013”, Quant. Finance, 15:9 (2015), 1449–1469  mathnet (cited: 1)  crossref  mathscinet  zmath  isi (cited: 5)  elib (cited: 2)  scopus
10. R. C. Dalang, A. N. Shiryaev, “A quickest detection problem with an observation cost”, Ann. Appl. Probab., 25:3 (2015), 1475–1512  mathnet  crossref  mathscinet  zmath  isi  elib  scopus
11. O. E. Barndorff-Nielsen, A. N. Shiryaev, Change of time and change of measure, Advanced Series on Statistical Science and Applied Probability, 21, 2nd ed., World Scientific, Hackensack, NJ, 2015 , 344 pp.  crossref  mathscinet  zmath

   2016
12. Yu. M. Kabanov, A. N. Shiryaev, “Modern problems of financial mathematics”, Theory Probab. Appl., 60:4 (2016), 531–532  mathnet  crossref  crossref  mathscinet  isi  elib  scopus

   2015
13. A. N. Shiryaev, “Reshenie odnoi optimizatsionnoi zadachi skoreishego obnaruzheniya pri nalichii tseny za nablyudeniya”, Beskonechnomernyi analiz, stokhastika, matematicheskoe modelirovanie: novye zadachi i metody. Problemy matematicheskogo i estestvennonauchnogo obrazovaniya, Sbornik statei Mezhdunarodnoi konferentsii (Moskva, 15–18 dekabrya 2014 g.), eds. A. I. Kirillov, S. A. Rozanova, Rossiiskii universitet druzhby narodov, M., 2015, 77–85  elib

   2014
14. E. A. Feinberg, M. Mandava, A. N. Shiryaev, “On solutions of Kolmogorov's equations for nonhomogeneous jump Markov processes”, Math. Anal. Appl., 411:1 (2014), 261–270  mathnet  crossref  mathscinet  zmath  isi (cited: 13)  scopus (cited: 12)
15. A. N. Shiryaev, M. V. Zhitlukhin, W. T. Ziemba, “When to sell Apple and the NASDAQ? Trading bubbles with a Stochastic Disorder Model”, Journal of Portfolio Management, 40:2 (2014), 54–63  mathnet  crossref  isi (cited: 6)  scopus (cited: 7)
16. A. Novikov, A. N. Shiryaev, “Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci”, Sequential Anal., 33:2 (2014), 182–185  mathnet  crossref  mathscinet  zmath  isi (cited: 1)  scopus (cited: 1)
17. M. V. Zhitlukhin, A. N. Shiryaev, “On the existence of solutions of unbounded optimal stopping problems”, Proc. Steklov Inst. Math., 287:1 (2014), 299–307  mathnet  crossref  crossref  isi (cited: 1)  elib  elib  scopus (cited: 1)
18. A. A. Muravlev, A. N. Shiryaev, “Two-sided disorder problem for a Brownian motion in a Bayesian setting”, Proc. Steklov Inst. Math., 287:1 (2014), 202–224  mathnet  crossref  crossref  isi (cited: 1)  elib  elib  scopus (cited: 1)
19. Ya. A. Lyulko, A. N. Shiryaev, “Sharp maximal inequalities for stochastic processes”, Proc. Steklov Inst. Math., 287:1 (2014), 155–173  mathnet  crossref  crossref  isi (cited: 3)  elib  elib  scopus (cited: 3)

   2013
20. A. N. Shiryaev, I. G. Erlikh, P. A. Yaskov, Veroyatnost v teoremakh i zadachakh (s dokazatelstvami i resheniyami), v. 1, MTsNMO, M., 2013 , 648 pp.
21. M. V. Zhitlukhin, A. A. Muravlev, A. N. Shiryaev, “The optimal decision rule in the Kiefer–Weiss problem for a Brownian motion”, Russian Math. Surveys, 68:2 (2013), 389–391  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi (cited: 1)  elib  elib  scopus (cited: 1)

   2014
22. M. V. Zhitlukhin, A. N. Shiryaev, “Optimal Stopping Problems for a Brownian Motion with Disorder on a Segment”, Theory Probab. Appl., 58:1 (2014), 164–171  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 1)  elib  elib  scopus (cited: 1)

   2013
23. A. Novikov, A. Shiryaev, “Remarks on moment inequalities and identities for martingales”, Statist. Probab. Lett., 83:4 (2013), 1260–1261  mathnet  crossref  mathscinet  zmath  isi  elib  scopus
24. U. Çetin, A. Novikov, A. N. Shiryaev, “Bayesian sequential estimation of a drift of fractional Brownian motion”, Sequential Anal., 32:3 (2013), 288–296  mathnet  crossref  mathscinet  zmath  isi (cited: 9)  elib (cited: 3)  scopus (cited: 11)
25. P. V. Gapeev, A. N. Shiryaev, “Bayesian quickest detection problems for some diffusion processes”, Adv. in Appl. Probab., 45:1 (2013), 164–185  mathnet  crossref  mathscinet  zmath  isi (cited: 13)  scopus (cited: 15)

   2012
26. A. N. Shiryaev, Problems in probability, Problem Books in Math., Springer, New York, 2012 , xii+427 pp.  crossref  mathscinet  zmath

   2013
27. M. V. Zhitlukhin, A. N. Shiryaev, “Baeyes disorder problems on filtered probability spaces”, Theory Probab. Appl., 57:3 (2013), 497–511  mathnet  crossref  crossref  mathscinet  isi (cited: 10)  elib (cited: 4)  elib (cited: 4)  scopus (cited: 12)

   2012
28. R. Dalang, A. N. Shiryaev, A quickest detection problem with an observation cost, Preprint, EPFL, Lausanne, 2012 , 39 pp.
29. R. V. Ivanov, A. N. Shiryaev, “On duality principle for hedging strategies in diffusion models”, Theory Probab. Appl., 56:3 (2012), 376–402  mathnet  crossref  crossref  mathscinet  zmath  isi  elib  elib  scopus

   2011
30. M. V. Zhitlukhin, A. N. Shiryaev, “A Bayesian sequential testing problem of three hypotheses for Brownian motion”, Statistics and Risk Modeling, 28:3 (2011), 227–249  crossref  mathscinet  zmath  scopus (cited: 9)
31. P. V. Gapeev, A. N. Shiryaev, “On the sequential testing problem for some diffusion processes”, Stochastics, 83:4-6 (2011), 519–535  crossref  mathscinet  zmath  isi (cited: 16)  elib (cited: 10)  scopus (cited: 17)
32. I. Karatzas, A. N. Shiryaev, M. Shkolnikov, “On the one-sided Tanaka equation with drift”, Electronic Communications in Probability, 16 (2011), 664–677  crossref  mathscinet  zmath  isi (cited: 10)  scopus (cited: 10)

   2010
33. A. N. Shiryaev, Teor. Veroyatnost. i Primenen., 55:3 (2010), 621  mathnet  crossref  elib
34. A. N. Shiryaev, “Author's response”, Sequential Anal., 29:4 (2010), 434–443  crossref  mathscinet  zmath  elib  scopus
35. A. N. Shiryaev, “Quickest detection problems: fifty years later”, Sequential Anal., 29:4 (2010), 345–385  crossref  mathscinet  zmath  elib (cited: 16)  scopus (cited: 30)
36. O. E. Barndorff-Nielsen, A. Shiryaev, Change of time and change of measure, Adv. Ser. Stat. Sci. Appl. Probab., 13, World Scientific Publishing Co. Pte. Ltd., Hackensack, NJ, 2010 , xvi+305 pp.  crossref  mathscinet  zmath

   2009
37. A. N. Shiryaev, E. Eberlein, A. Papapantoleon, “Essher transform and the duality principle for multidimensional semimartingales”, Ann. Appl. Probab., 19:5 (2009), 1944–1971 , arXiv: 0809.0301  crossref  mathscinet  zmath  adsnasa  isi (cited: 20)  elib (cited: 13)  scopus (cited: 24)
38. A. N. Shiryaev, P. Y. Zryumov, “On the linear and nonlinear generalized Bayesian disorder problem (discrete time case)”, Optimality and risk—modern trends in mathematical finance, Springer, Berlin, 2009, 227–235  crossref  mathscinet  zmath

   2008
39. A. N. Shiryaev, “Generalized Bayesian nonlinear quickest detection problems: on Markov family of sufficient statistics”, Mathematical control theory and finance, Springer, Berlin, 2008, 377–386  crossref  mathscinet  isi (cited: 2)  scopus (cited: 3)
40. A. Shiryaev, Z. Xu, X. Y. Zhou, “Thou shalt buy and hold”, Quant. Finance, 8:8 (2008), 765–776  crossref  mathscinet  zmath  isi (cited: 60)  elib (cited: 40)  scopus (cited: 65)
41. J. du Toit, G. Peskir, A. N. Shiryaev, “Predicting the last zero of Brownian motion with drift”, Stochastics, 80:2-3 (2008), 229–245  crossref  mathscinet  zmath  isi (cited: 11)  elib (cited: 7)  scopus (cited: 10)
42. E. Eberlein, A. Papapantoleon, A. N. Shiryaev, “On the duality principle in option pricing: semimartingale setting”, Finance Stoch., 12:2 (2008), 265–292  crossref  mathscinet  zmath  isi (cited: 29)  elib (cited: 24)  scopus (cited: 29)
43. A. N. Shiryaev, Optimal stopping rules, Stochastic Modelling and Applied Probability, 8, Springer-Verlag, Berlin, 2008 , xii+217 pp.  mathscinet  zmath
44. A. N. Shiryaev, A. A. Novikov, “On a stochastic version of the trading rule “buy and hold””, Statist. Decisions, 26:4 (2008), 289–302  crossref  mathscinet  zmath

   2009
45. A. N. Shiryaev, “On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion”, Theory Probab. Appl., 53:4 (2009), 663–678  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 8)  elib (cited: 5)  elib (cited: 5)  scopus (cited: 8)
46. E. V. Burnaev, E. A. Feinberg, A. N. Shiryaev, “On Asymptotic Optimality of the Second Order in the Minimax Quickest Detection Problem of Drift Change for Brownian Motion”, Theory Probab. Appl., 53:3 (2009), 519–536  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 10)  elib (cited: 1)  elib (cited: 1)  scopus (cited: 10)
47. A. N. Shiryaev, “On Stochastic Models and Optimal Methods in the Quickest Detection Problems”, Theory Probab. Appl., 53:3 (2009), 385–401  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 15)  elib (cited: 10)  elib (cited: 10)  scopus (cited: 15)

   2007
48. A. Novikov, A. Shiryaev, “On solution of the optimal stopping problem for processes with independent increments”, Stochastics, 79:3-4 (2007), 393–406  crossref  mathscinet  zmath  elib (cited: 17)  scopus (cited: 26)
49. A. N. Shiryaev, On martingale methods in the boundary crossing problems for Brownian motion, Sovrem. Probl. Mat., 8, Steklov Math. Inst., RAS, Moscow, 2007 , 80 pp.  mathnet  mathnet  crossref  crossref  zmath

   2006
50. E. A. Feinberg, A. N. Shiryaev, “Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings”, Statist. Decisions, 24:4 (2006), 445–470  crossref  mathscinet  zmath
51. G. Peskir, A. Shiryaev, Optimal stopping and free-boundary problems, Lectures Math. ETH Zürich, Birkhäuser Verlag, Basel, 2006 , xxii+500 pp.  mathscinet  zmath
52. A. N. Shiryaev, “From “disorder” to nonlinear filtering and martingale theory”, Mathematical events of the twentieth century, Springer, Berlin, 2006, 371–397  crossref  mathscinet  zmath
53. A. N. Shiryaev, “Proof of the Poincaré–Chernoff inequality and logarithmic Sobolev's inequality by the methods of stochastic calculus for Brownian motion”, Russian Math. Surveys, 61:3 (2006), 571–573  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi (cited: 3)  elib (cited: 2)  elib (cited: 2)  scopus (cited: 1)

   2007
54. S. Graversen, A. N. Shiryaev, M. Yor, “On the problem of stochastic integral representations of functionals of the Browning motion. II”, Theory Probab. Appl., 51:1 (2007), 65–77  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 4)  elib (cited: 2)  elib (cited: 2)  scopus (cited: 2)

   2005
55. A. Cherny, A. Shiryaev, “On stochastic integrals up to infinity and predictable criteria for integrability”, Séminaire de Probabilités XXXVIII, Lecture Notes in Math., 1857, Springer, Berlin, 2005, 165–185  crossref  mathscinet  zmath  isi (cited: 11)

   2004
56. A. N. Shiryaev, “A remark on the quickest detection problems”, Statist. Decisions, 22:1 (2004), 79–82  crossref  mathscinet  zmath

   2005
57. A. A. Novikov, A. N. Shiryaev, “On an effective solution of the optimal stopping problem for random walks”, Theory Probab. Appl., 49:2 (2005), 344–354  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 8)  elib (cited: 12)  scopus (cited: 17)

   2003
58. J. Jacod, A. N. Shiryaev, Limit theorems for stochastic processes, Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], 288, Second edition, Springer-Verlag, Berlin, 2003 , xx+661 pp.  crossref  mathscinet  zmath

   2004
59. A. N. Shiryaev, M. Yor, “On the problem of stochastic integral representations of functionals of the Brownian motion. I”, Theory Probab. Appl., 48:2 (2004), 304–313  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 11)  elib (cited: 7)  scopus (cited: 8)

   2002
60. A. N. Shiryaev, “Quickest detection problems in the technical analysis of the financial data”, Mathematical finance—Bachelier Congress (Paris, 2000), Springer Finance, Springer, Berlin, 2002, 487–521  crossref  mathscinet  zmath
61. J. Kallsen, A. N. Shiryaev, “The cumulant process and Esscher's change of measure”, Finance Stoch., 6:4 (2002), 397–428  crossref  mathscinet  zmath  isi (cited: 103)  elib (cited: 19)
62. G. Peskir, A. N. Shiryaev, “Solving the Poisson disorder problem”, Advances in finance and stochastics, Springer, Berlin, 2002, 295–312  crossref  mathscinet  zmath
63. L. A. Shepp, A. N. Shiryaev, A. Sulem, “A barrier version of the Russian option”, Advances in finance and stochastics, Springer, Berlin, 2002, 271–284  crossref  mathscinet  zmath
64. A. N. Shiryaev, A. S. Cherny, “Vector Stochastic Integrals and the Fundamental Theorems of Asset Pricing”, Proc. Steklov Inst. Math., 237 (2002), 6–49  mathnet  mathscinet  zmath

   2003
65. Theory Probab. Appl., 47:3 (2003), 377–394  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 3)  scopus (cited: 11)

   2002
66. Proc. Steklov Inst. Math., 237 (2002), 281–292  mathnet  mathscinet  zmath

   2001
67. R. S. Liptser, A. N. Shiryaev, Statistics of random processes. II. Applications, Stochastic Modelling and Applied Probability, Applications of Mathematics (New York), 6, Second, revised and expanded edition, Springer-Verlag, Berlin, 2001 , xvi+402 pp.  mathscinet  zmath
68. R. S. Liptser, A. N. Shiryaev, Statistics of random processes. I. General theory, Stochastic Modelling and Applied Probability, Applications of Mathematics (New York), 5, Second, revised and expanded edition, Springer-Verlag, Berlin, 2001 , xvi+427 pp.  mathscinet  zmath
69. L. A. Shepp, A. N. Shiryaev, “The Russian option under conditions of a possible price “freeze””, Russian Math. Surveys, 56:1 (2001), 179–181  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi  scopus

   2002
70. Theory Probab. Appl., 46:3 (2002), 522–528  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 15)  scopus (cited: 27)
71. Theory Probab. Appl., 46:1 (2002), 167–170  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 5)  scopus (cited: 5)

   2001
72. G. Peshkir, A. N. Shiryaev, “Maximal inequalities for reflected Brownian motion with drift”, Theory Probab. Math. Statist., 2001, no. 63, 137–143 (2002)  mathscinet  zmath

   2000
73. G. Peskir, A. N. Shiryaev, “Sequential testing problems for Poisson processes”, Ann. Statist., 28:3 (2000), 837–859  crossref  mathscinet  zmath  isi (cited: 51)  elib (cited: 49)  scopus (cited: 60)
74. A. N. Shiryaev, V. G. Spokoiny, Statistical experiments and decisions, Asymptotic theory, Advanced Series on Statistical Science & Applied Probability, 8, World Scientific Publishing Co. Inc., River Edge, NJ, 2000 , xvi+281 pp.  crossref  mathscinet  zmath
75. S. E. Graversen, A. N. Shiryaev, “An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift”, Bernoulli, 6:4 (2000), 615–620  crossref  mathscinet  zmath  isi (cited: 30)  elib (cited: 25)  scopus (cited: 31)

   2001
76. Theory Probab. Appl., 45:1 (2001), 41–50  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 22)  scopus (cited: 43)

   1999
77. A. N. Shiryaev, Essentials of stochastic finance. Facts, models, theory, Advanced Series on Statistical Science & Applied Probability, 3, World Scientific Publishing Co. Inc., River Edge, NJ, 1999 , xvi+834 pp.  crossref  mathscinet  zmath

   2000
78. A. S. Cherny, A. N. Shiryaev, “Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy's theorem”, Theory Probab. Appl., 44:2 (2000), 412–418  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 5)  elib (cited: 2)
79. R. Douady, M. Yor, A. N. Shiryaev, “On probability characteristics of “downfalls” in a standard Brownian motion”, Theory Probab. Appl., 44:1 (2000), 29–38  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 30)
80. A. N. Shiryaev, “On the history of the foundation of the Russian Academy of Sciences and about the first articles on probability theory in Russian publications”, Theory Probab. Appl., 44:2 (2000), 225–230  mathnet  crossref  crossref  mathscinet  zmath  isi

   1998
81. J. Jacod, A. N. Shiryaev, “Local martingales and the fundamental asset pricing theorems in the discrete-time case”, Finance Stoch., 2:3 (1998), 259–273  crossref  mathscinet  zmath  elib (cited: 36)
82. D. O. Kramkov, A. N. Shiryaev, “Sufficient conditions of the uniform integrability of exponential martingales”, European Congress of Mathematics (Budapest, 1996), Vol. I, Progr. Math., 168, Birkhäuser, Basel, 1998, 289–295  crossref  mathscinet  zmath
83. S. V. Anulova, A. Yu. Veretennikov, N. V. Krylov, R. Sh. Liptser, A. N. Shiryaev, “Stochastic calculus”, Probability theory, III, Encyclopaedia Math. Sci., 45, Springer, Berlin, 1998, 1–253  mathscinet

   1997
84. A. N. Shiryaev, V. G. Spokoiny, “On sequential estimation of an autoregressive parameter”, Stochastics Stochastics Rep., 60:3-4 (1997), 219–240  crossref  mathscinet  zmath

   1998
85. Theory Probab. Appl., 42:3 (1998), 444–453  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 7)

   1996
86. L. A. Shepp, A. N. Shiryaev, “A dual Russian option for selling short”, Probability theory and mathematical statistics (St. Petersburg, 1993), Gordon and Breach, Amsterdam, 1996, 209–218  mathscinet  zmath
87. H. Bühlmann, F. Delbaen, P. Embrechts, A. N. Shiryaev, “No-arbitrage, change of measure and conditional Esscher transforms”, Mathematics of finance, Part I, CWI Quarterly, 9:4 (1996), 291–317  mathscinet  zmath
88. A. N. Shiryaev, “Probability theory and B. V. Gnedenko”, Fundam. Prikl. Mat., 2:4 (1996), 955  mathnet  mathscinet  zmath
89. A. N. Shiryaev, “Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time”, Russian Math. Surveys, 51:4 (1996), 750–751  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi (cited: 33)  scopus (cited: 39)

   1995
90. H. Föllmer, Ph. Protter, A. N. Shiryayev, “Quadratic covariation and an extension of Itô's formula”, Bernoulli, 1:1-2 (1995), 149–169  crossref  mathscinet  zmath
91. G. Peškir, A. N. Shiryaev, “The Khintchine inequalities and martingale expanding sphere of their action”, Russian Math. Surveys, 50:5 (1995), 849–904  mathnet  crossref  mathscinet  zmath  adsnasa  isi (cited: 23)  scopus (cited: 30)
92. M. Jeanblanc-Picqué, A. N. Shiryaev, “Optimization of the flow of dividends”, Russian Math. Surveys, 50:2 (1995), 257–277  mathnet  crossref  mathscinet  zmath  adsnasa  isi (cited: 163)  scopus (cited: 173)

   1994
93. J. Jacod, A. N. Shiryaev, Limit theorems for stochastic processes, v. 2, Probability Theory and Mathematical Statistics, 48, Nauka, Fizmatlit, Moscow, 1994 , 368 pp.  mathscinet
94. J. Jacod, A. N. Shiryaev, Limit theorems for stochastic processes, v. 1, Probability Theory and Mathematical Statistics, 47, Nauka, Fizmatlit, Moscow, 1994 , 544 pp.  mathscinet
95. D. O. Kramkov, A. N. Shiryaev, “On the rational pricing of the “Russian Option” for the symmetrical binomial model of a $(B,S)$-market”, Theory Probab. Appl., 39:1 (1994), 153–162  mathnet  crossref  mathscinet  zmath  isi (cited: 5)
96. L. A. Shepp, A. N. Shiryaev, “A new look at pricing of the “Russian Option””, Theory Probab. Appl., 39:1 (1994), 103–119  mathnet  crossref  mathscinet  zmath  isi (cited: 64)
97. A. N. Shiryaev, Yu. M. Kabanov, D. O. Kramkov, A. V. Melnikov, “Toward the theory of pricing of options of both European and American types. II. Continuous time”, Theory Probab. Appl., 39:1 (1994), 61–102  mathnet  crossref  mathscinet  zmath  isi (cited: 34)
98. A. N. Shiryaev, Yu. M. Kabanov, D. O. Kramkov, A. V. Melnikov, “Toward the theory of pricing of options of both European and American types. I. Discrete time”, Theory Probab. Appl., 39:1 (1994), 14–60  mathnet  crossref  mathscinet  zmath  isi (cited: 19)
99. A. N. Shiryaev, “On some basic concepts and some basic stochastic models used in finance”, Theory Probab. Appl., 39:1 (1994), 1–13  mathnet  crossref  mathscinet  zmath  isi (cited: 9)

   1993
100. L. E. Dubins, L. A. Shepp, A. N. Shiryaev, “Optimal stopping rules and maximal inequalities for Bessel processes”, Theory Probab. Appl., 38:2 (1993), 226–261  mathnet  crossref  mathscinet  zmath  isi (cited: 51)
101. L. Shepp, A. N. Shiryaev, “The Russian option: reduced regret”, Ann. Appl. Probab., 3:3 (1993), 631–640  crossref  mathscinet  zmath
102. A. A. Novikov, A. N. Shiryaev, “Foreword”, Statistics and control of stochastic processes, Trudy Mat. Inst. Steklov., 202, TVP, Moscow, 1993, 3  mathnet  zmath

   1994
103. V. G. Spokoiny, A. N. Shiryaev, “On the concept of $\lambda$-convergence of statistical experiments”, Proc. Steklov Inst. Math., 202 (1994), 225–228  mathnet  mathscinet  zmath

   1992
104. P. E. Greenwood, A. N. Shiryaev, “Asymptotic minimaxity of a sequential estimator for a first order autoregressive model”, Stochastics Stochastics Rep., 38:1 (1992), 49–65  crossref  mathscinet  zmath

   1993
105. S. M. Pergamenshchikov, A. N. Shiryaev, “Sequential Estimation of the Parameter of a Stochastic Difference Equation with Random Coefficients”, Theory Probab. Appl., 37:3 (1993), 449–470  mathnet  crossref  mathscinet  zmath

   1992
106. S. M. Pergamentshikov, A. N. Shiryaev, “On reparametrization and asymptotically optimal minimax estimation in a generalized autoregressive model”, Ann. Acad. Sci. Fenn. Ser. A I Math., 17:1 (1992), 111–116  mathscinet  zmath

   1991
107. A. N. Shiryaev, “Development of the ideas and methods of Chebyshev in limit theorems of probability theory”, Moscow Univ. Math. Bull., 46:5 (1991), 20–29  mathnet  mathscinet  zmath  zmath  isi

   1990
108. R. Sh. Liptser, A. N. Shiryaev, “Large deviation for martingales with independent and homogeneous increments”, Probability theory and mathematical statistics (Vilnius, 1989), Vol. II, “Mokslas”, Vilnius, 1990, 124–133  mathscinet

   1989
109. P. E. Greenwood, A. N. Shiryaev, “Uniform weak convergence of semimartingales with applications to the estimation of a parameter in an autoregression model of the first order”, Statistics and control of random processes (Preila, 1987), ed. A. N. Shiryaev, Nauka, Moscow, 1989, 40–48  mathscinet
110. A. N. Shiryaev, “Fundamental principles of martingale methods in functional limit theorems”, Probability theory and mathematical statistics, Trudy Tbiliss. Mat. Inst. Razmadze Akad. Nauk Gruzin. SSR, 92, 1989, 28–45  mathscinet  zmath
111. R. Sh. Liptser, A. N. Shiryayev, Theory of martingales, Mathematics and its Applications (Soviet Series), 49, Kluwer Academic Publishers Group, Dordrecht, 1989 , xiv+792 pp.  crossref  mathscinet  zmath
112. S. V. Anulova, A. Yu. Veretennikov, N. V. Krylov, R. Sh. Liptser, A. N. Shiryaev, “Stochastic calculus”, Probability theory – 3, Itogi Nauki i Tekhniki. Ser. Sovrem. Probl. Mat. Fund. Napr., 45, VINITI, Moscow, 1989, 5–253 , 260 pp.  mathnet  mathnet  mathscinet  zmath
113. Ya. G. Synai, A. N. Shiryayev, “Fiftieth Annyversary of the Foundation by A. N. Kolmogorov of the Department of Probability Theory at the Faculty of Mechanics and Mathematics at the MSU”, Theory Probab. Appl., 34:1 (1989), 164–165  mathnet  crossref  mathscinet  isi
114. A. N. Shiryayev, “Andrei Nikolaevich Kolmogorov (25.IV.1903–20.X.1987): In Memoriam”, Theory Probab. Appl., 34:1 (1989), 1–99  mathnet  crossref  mathscinet  zmath  isi (cited: 1)

   1988
115. A. N. Shiryayev, “Some words in memory of Professor G. Maruyama”, Probability theory and mathematical statistics (Kyoto, 1986), Lecture Notes in Math., 1299, Springer, Berlin, 1988, 7–10  crossref  mathscinet  isi

   1990
116. A. N. Kolmogorov, Yu. V. Prokhorov, A. N. Shiryaev, “Probabilistic-statistical methods of detecting spontaneously occurring effects”, Proc. Steklov Inst. Math., 182 (1990), 1–21  mathnet  zmath

   1988
117. A. N. Shiryaev, “On the scientific heritage of A. N. Kolmogorov”, Russian Math. Surveys, 43:6 (1988), 211–212  mathnet  crossref  mathscinet  zmath  adsnasa  isi  scopus

   1987
118. J. Jacod, A. N. Shiryaev, Limit theorems for stochastic processes, Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], 288, Springer-Verlag, Berlin, 1987 , xviii+601 pp.  crossref  mathscinet  zmath

   1986
119. R. Sh. Liptser, A. N. Shiryaev, Martingale theory, Probability Theory and Mathematical Statistics, Nauka, Moscow, 1986 , 512 pp.  mathscinet  zmath
120. Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “On the variation distance for probability measures defined on a filtered space”, Probab. Theory Relat. Fields, 71:1 (1986), 19–35  crossref  mathscinet  zmath  isi (cited: 25)  elib (cited: 5)  scopus (cited: 17)

   1985
121. P. E. Greenwood, A. N. Shiryayev, Contiguity and the statistical invariance principle, Stochastics Monographs, 1, Gordon & Breach Science Publishers, New York, 1985 , viii+236 pp.  mathscinet  zmath
122. R. Sh. Liptser, A. N. Shiryaev, “On contiguity of probability measures corresponding to semimartingales”, Anal. Math., 11:2 (1985), 93–124  crossref  mathscinet  zmath  elib  scopus (cited: 2)
123. J. Mémin, A. N. Shiryayev, “Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants”, Z. Wahrsch. Verw. Gebiete, 70:1 (1985), 67–89  crossref  mathscinet  isi (cited: 19)  scopus (cited: 11)

   1984
124. Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “Estimates of proximity in variation of probability measures”, Sov. Math. Dokl., 30 (1984), 351–354  mathnet  mathscinet  zmath

   1983
125. R. Liptser, A. Shiryayev, “On the problem of “predictable” criteria of contiguity”, Probability theory and mathematical statistics (Tbilisi, 1982), Lecture Notes in Math., 1021, Springer, Berlin, 1983, 386–418  crossref  mathscinet  isi (cited: 14)

   1984
126. R. Sh. Liptser, A. N. Shiryaev, “Weak convergence of a sequence of semimartingales to a process of diffusion type”, Math. USSR-Sb., 49:1 (1984), 171–195  mathnet  crossref  mathscinet  zmath  scopus (cited: 1)
127. Yu. M. Kabanov, R. Š. Lipcer, A. N. Širyaev, “Weak and strong convergence of distributions of counting processes”, Theory Probab. Appl., 28:2 (1984), 303–336  mathnet  crossref  mathscinet  zmath  isi (cited: 16)
128. R. Š. Lipcer, A. N. Širyaev, “On the invariance principle for semimartingales with «nonclassical» assumptions”, Theory Probab. Appl., 28:1 (1984), 1–34  mathnet  crossref  mathscinet  zmath  isi

   1982
129. R. Sh. Liptser, A. N. Shiryaev, “On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales”, Z. Wahrsch. Verw. Gebiete, 59:3 (1982), 311–318  crossref  mathscinet  zmath  isi (cited: 9)  scopus (cited: 15)
130. R. Sh. Liptser, F. Pukel'sheim, A. N. Shiryaev, “Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures”, Russian Math. Surveys, 37:6 (1982), 107–136  mathnet  crossref  mathscinet  zmath  adsnasa  isi (cited: 6)  scopus (cited: 4)
131. R. Sh. Liptser, A. N. Shiryaev, “O skorosti skhodimosti v tsentralnoi predelnoi teoreme dlya semimartingalov”, TVP, 27:1 (1982), 3–14  mathnet (cited: 6)  mathscinet  zmath  isi (cited: 2)

   1981
132. A. N. Shiryayev, “Martingales: recent developments, results and applications”, Internat. Statist. Rev., 49:3 (1981), 199–233  crossref  mathscinet  isi (cited: 36)
133. R. Sz. Lipcer, A. N. Sziriajew, Statistics of random processes, Nonlinear filtration and related questions, Państwowe Wydawnictwo Naukowe (PWN), Warsaw, 1981 , 680 pp. (Polish)  mathscinet  zmath

   1983
134. R. Sh. Liptser, A. N. Shiryaev, “On weak convergence of semimartingales to stochastically continuous processes with independent and conditionally independent increments”, Math. USSR-Sb., 44:3 (1983), 299–323  mathnet  crossref  mathscinet  zmath  scopus (cited: 2)

   1981
135. R. Š. Lipcer, A. N. Širyaev, “Necessary and sufficient conditions for the functional central limit theorem for semimartingales”, Theory Probab. Appl., 26:1 (1981), 130–135  mathnet  crossref  mathscinet  zmath  isi (cited: 8)

   1980
136. H. J. Engelbert, A. N. Shiryaev, “On absolute continuity and singularity of probability measures”, Mathematical statistics, Banach Center Publ., 6, PWN, Warsaw, 1980, 121–132  crossref  mathscinet
137. Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryayev, “On absolute continuity of probability measures for Markov-Itô processes”, Stochastic differential systems, Proc. IFIP-WG 7/1 Working Conf. (Vilnius, 1978), Lecture Notes in Control and Information Sci., 25, Springer, Berlin, 1980, 114–128  crossref  mathscinet
138. A. N. Shiryaev, “Absolute continuity and singularity of probability measures in functional spaces”, Proceedings of the International Congress of Mathematicians (Helsinki, 1978), Acad. Sci. Fennica, Helsinki, 1980, 209–225  mathscinet
139. Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “Some limit theorems for simple point processes (a martingale approach)”, Stochastics, 3:3 (1980), 203–216  crossref  mathscinet  zmath

   1981
140. Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “On the representation of integral-valued random measures and local martingales by means of random measures with deterministic compensators”, Math. USSR-Sb., 39:2 (1981), 267–280  mathnet  crossref  mathscinet  zmath  isi (cited: 2)  scopus (cited: 2)
141. R. Š. Lipčer, A. N. Širyaev, “A functional central limit theorem for semimartingales”, Theory Probab. Appl., 25:4 (1981), 667–688  mathnet  crossref  mathscinet  zmath  isi (cited: 61)

   1979
142. J. Mémin, A. N. Shiryayev, “Un critère prévisible pour l'uniforme intégrabilité des semimartingales exponentielles”, Séminaire de Probabilités, XIII (Univ. Strasbourg, Strasbourg, 1977/78), Lecture Notes in Math., 721, Springer, Berlin, 1979, 147–161 (French)  crossref  mathscinet
143. H. J. Engelbert, A. N. Shiryaev, “On the sets of convergence of generalized submartingales”, Stochastics, 2:3 (1979), 155–166  crossref  mathscinet  zmath

   1980
144. Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “Absolute continuity and singularity of locally absolutely continuous probability distributions. II”, Math. USSR-Sb., 36:1 (1980), 31–58  mathnet  crossref  mathscinet  zmath  isi (cited: 34)  scopus (cited: 8)

   1978
145. Yu. Kabanov, R. Liptser, A. Shiryaev, “Necessary and sufficient conditions for absolute continuity of measures corresponding to point (counting) processes”, Proceedings of the International Symposium on Stochastic Differential Equations (Res. Inst. Math. Sci., Kyoto Univ., Kyoto, 1976), Wiley, New York, 1978, 111–126  mathscinet
146. R. S. Liptser, A. N. Shiryayev, Statistics of random processes. II: Applications, Applications of Mathematics, 6, Springer-Verlag, New York, 1978 , x+339 pp.  mathscinet  zmath
147. A. N. Shiryayev, Optimal stopping rules, Applications of Mathematics, 8, Springer-Verlag, New York, 1978 , x+217 pp.  mathscinet

   1979
148. Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “Absolute continuity and singularity of locally absolutely continuous probability distributions. I”, Math. USSR-Sb., 35:5 (1979), 631–680  mathnet  crossref  mathscinet  zmath  isi (cited: 56)  scopus (cited: 23)

   1977
149. Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, ““Predictable” criteria for absolute continuity and singularity of probability measures (the continuous time case)”, Sov. Math. Dokl., 18 (1977), 1515–1518 (1978)  mathnet  mathscinet  mathscinet  zmath
150. Liptser R. S., A. N. Shiryayev, Statistics of random processes. I: General theory, Applications of Mathematics, 5, Springer-Verlag, New York, 1977 , x+394 pp.  mathscinet  zmath
151. Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev, “On the question of absolute continuity and singularity of probability measures”, Math. USSR-Sb., 33:2 (1977), 203–221  mathnet  crossref  mathscinet  zmath  isi (cited: 17)  scopus (cited: 15)

   1976
152. Yu. M. Kabanov, R. Š. Lipcer, A. N. Širyaev, “Criteria of absolute continuity of measures corresponding to multivariate point processes”, Proceedings of the Third Japan–USSR Symposium on Probability Theory (Tashkent, 1975), Lecture Notes in Math., 550, Springer, Berlin, 1976, 232–252  crossref  mathscinet
153. A. N. Shiryaev, Statistical sequential analysis. Optimal stopping rules, Second edition, revised, Nauka, Moscow, 1976 , 272 pp.  mathscinet  zmath

   1975
154. Ju. M. Kabanov, R. Š. Lipcer, A. N. Širjaev, “Martingale methods in the theory of point processes”, Proceedings of the School and Seminar on the Theory of Random Processes (Druskininkai, 1974), Part II, Inst. Fiz. i Mat. Akad. Nauk Litovsk. SSR, Vilnius, 1975, 269–354  mathscinet
155. A. N. Širjaev, “Reduction of data with preservation of information, and innovation processes”, Proceedings of the School and Seminar on the Theory of Random Processes (Druskininkai, 1974), Part II, Inst. Fiz. i Mat. Akad. Nauk Litovsk. SSR, Vilnius, 1975, 235–267  mathscinet

   1974
156. A. N. Širjaev, “Optimal filtering of random processes”, Probabilistic and statistical methods, Internat. Summer School Probability Theory and Math. Statist. (Varna, 1974), B"lgar. Akad. Nauk. Inst. Mat. i Meh. s Izčisl. Cent"r, Sofia, 1974, 126–199 (Bulgarian)  mathscinet
157. R. S. Lipcer, A. N. Sirjaev, Statistics of random processes (nonlinear filtering and related problems), Probability Theory and Mathematical Statistics, 15, Nauka, Moscow, 1974 , 696 pp.  mathscinet
158. A. N. Širjaev, “Statistics of diffusion processes”, Progress in statistics, European Meeting of Statisticians (Budapest, 1972), Vol. II, Colloq. Math. Soc. János Bolyai, 9, North-Holland, Amsterdam, 1974, 737–751  mathscinet

   1973
159. A. N. Shiryayev, “Statistics of diffusion type processes”, Proceedings of the Second Japan–USSR Symposium on Probability Theory (Kyoto, 1972), Lecture Notes in Math., 330, Springer, Berlin, 1973, 397–411  crossref  mathscinet
160. A. N. Širjaev, Statistical sequential analysis, Optimal stopping rules, Translations of Mathematical Monographs, 38, American Mathematical Society, Providence, R.I., 1973 , iv+174 pp.  mathscinet
161. B. L. Rozovskii, A. N. Shiryaev, “On infinite order systems of stochastic differential equations arising in the theory of optimal non-linear filtering”, Theory Probab. Appl., 17:2 (1973), 218–226  mathnet  crossref  mathscinet  zmath

   1972
162. R. Sh. Lipster, A. N. Shiryayev, “Statistics of conditionally Gaussian random sequences”, Proceedings of the Sixth Berkeley Symposium on Mathematical Statistics and Probability (Univ. California, Berkeley, Calif., 1970/1971), Vol. II: Probability theory, Univ. California Press, Berkeley, Calif., 1972, 389–422  mathscinet
163. R. Sh. Liptser, A. N. Shiryaev, “On the absolute continuity of measures corresponding to processes of diffusion type relative to a Wiener measure”, Math. USSR-Izv., 6:4 (1972), 839–882  mathnet  crossref  mathscinet  zmath  scopus (cited: 11)

   1971
164. A. N. Shiryayev, “Sur les équations stochastiques aux dérivées partielles”, Actes du Congrès International des Mathématiciens (Nice, 1970), Gauthier-Villars, Paris, 1971, 537–544 (French)  mathscinet
165. I. L. Legostaeva, A. N. Širyaev, “Minimax weights in a trend detection problem for a stochastic process”, Theory Probab. Appl., 16:2 (1971), 344–349  mathnet  crossref  mathscinet  zmath

   1969
166. A. N. Shiryaev, Statistical sequential analysis: Optimal stopping rules, Nauka, Moscow, 1969 , 231 pp.  mathscinet
167. A. N. Shiryaev, “Optimal stopping rules for Markov processes with continuous time (With discussion)”, Bull. Inst. Internat. Statist., 43, book 1 (1969), 395–408  mathscinet  zmath
168. R. Sh. Liptser, A. N. Shiryaev, “On the density of probability measures of diffusion-type processes”, Math. USSR-Izv., 3:5 (1969), 1055–1066  mathnet  crossref  mathscinet  zmath
169. R. Sh. Liptser, A. N. Shiryaev, “Interpolation and filtering of a jump-like component of a Markov process”, Math. USSR-Izv., 3:4 (1969), 853–865  mathnet  crossref  mathscinet  zmath

   1968
170. R. Sh. Liptser, A. N. Shiryaev, “Nonlinear filtration of diffusion Markov processes”, Proc. Steklov Inst. Math., 104 (1968), 163–218  mathnet  mathscinet  zmath
171. A. N. Shiryaev, “Investigations by statistical sequential analysis”, Math. Notes, 3:6 (1968), 473–482  mathnet  crossref  mathscinet  zmath  scopus
172. B. I. Grigelionis, A. N. Shiryaev, “Controllable Markov Processes and Stefan's Problem”, Problems Inform. Transmission, 4:1 (1968), 47–57  mathnet  mathscinet  zmath
173. R. Sh. Liptser, A. N. Shiryaev, “Nonlinear interpolation of components of diffusion Markov processes”, Theory Probab. Appl., 13:4 (1968), 564–583  mathnet  crossref  mathscinet  zmath
174. R. Sh. Liptser, A. N. Shiryaev, “Extrapolation of multidimensional Markov processes from incomplete data”, Theory Probab. Appl., 13:1 (1968), 15–38  mathnet  crossref  mathscinet  zmath

   1967
175. A. N. Shiryaev, “Two problems of sequential analysis”, Cybernetics, 3:2 (1967), 63–69 (1969)  crossref  mathscinet  zmath  scopus (cited: 31)
176. A. N. Širjaev, “Some new results in the theory of controlled random processes”, Trans. Fourth Prague Conf. on Information Theory, Statistical Decision Functions, Random Processes (Prague, 1965), Academia, Prague, 1967, 131–203  mathscinet

   1966
177. A. N. Shiryaev, “Stochastic Equations of Nonlinear Filtering of Markovian Jump Processes”, Problems Inform. Transmission, 2:3 (1966), 1–18  mathnet  mathscinet  zmath
178. B. I. Grigelionis, A. N. Shiryaev, “On Stefan's problem and optimal stopping rules for Markov processes”, Theory Probab. Appl., 11:4 (1966), 541–558  mathnet  crossref  mathscinet  zmath

   1965
179. A. N. Širjaev, “Sequential analysis and controlled random processes (discrete time)”, Kibernetika (Kiev), 1965:3 (1965), 1–24  mathscinet
180. B. I. Grigelionis, A. N. Shiryaev, “Some criterions of “truncatedness” of the optimal stopping moment in sequential analysis”, Theory Probab. Appl., 10:4 (1965), 541–552  mathnet  crossref  mathscinet  zmath
181. A. N. Shiryaev, “Some explicit formulae in a problem on “disorder””, Theory Probab. Appl., 10:2 (1965), 348–354  mathnet  crossref  mathscinet  zmath
182. R. Š. Lipcer, A. N. Širyaev, “On a Bayes Problem of Sequential Search in Diffusion Approximation”, Theory Probab. Appl., 10:1 (1965), 178–186  mathnet  crossref  mathscinet  zmath

   1964
183. A. N. Širjaev, “On the theory of decision functions and control by an observation process with incomplete data”, Trans. Third Prague Conf. Information Theory, Statist. Decision Functions, Random Processes (Liblice, 1962), Publ. House Czech. Acad. Sci., Prague, 1964, 657–681  mathscinet  zmath
184. A. N. Shiryaev, “Detection of randomly appearing targets in a multi-channel system”, A collection of papers on the theory of probability, Trudy Mat. Inst. Steklov., 71, Nauka, Moscow, 1964, 113–117  mathnet  mathscinet
185. O. V. Viskov, A. N. Shiryaev, “On controls which reduce to optimal stationary regimes”, A collection of papers on the theory of probability, Trudy Mat. Inst. Steklov., 71, Nauka, Moscow, 1964, 35–45  mathnet  mathscinet  zmath
186. V. I. Arkin, V. A. Kolemaev, A. N. Shiryaev, “On the determination of optimal controls”, A collection of papers on the theory of probability, Trudy Mat. Inst. Steklov., 71, Nauka, Moscow, 1964, 21–25  mathnet  mathscinet  zmath
187. A. N. Širyaev, “On Markov Sufficient Statistics in Nonadditive Bayes Problems of Sequential Analysis”, Theory Probab. Appl., 9:4 (1964), 604–618  mathnet  crossref  mathscinet  zmath

   1963
188. R. L. Dobrušin, M. S. Pinsker, A. N. Širjaev, “An application of the concept of entropy to signal-detection problems with background noise”, Litovsk. Mat. Sb., 3:1 (1963), 107–122  mathscinet
189. A. N. Shiryaev, “On Conditions for Ergodicity of Stationary Processes in Terms of Higher Order Moments”, Theory Probab. Appl., 8:4 (1963), 436–439  mathnet  crossref  mathscinet  zmath
190. A. N. Shiryaev, “On the Detection of Disorder in a Manufacturing Process. II”, Theory Probab. Appl., 8:4 (1963), 402–413  mathnet  crossref  mathscinet
191. A. N. Shiryaev, “On optimum methods in quickest detection problems”, Theor. Probab. Appl., 8 (1963), 22–46  mathnet  crossref  mathscinet  zmath
192. A. N. Shiryaev, “On Discovering Disorder in a Manufacturing Process. I”, Theory Probab. Appl., 8:3 (1963), 247–265  mathnet  crossref  mathscinet

   1961
193. A. N. Shiryaev, “The problem of the most rapid detection of a disturbance in a stationary process”, Sov. Math. Dokl., 2 (1961), 795–799  mathnet  mathscinet  mathscinet  zmath
194. A. N. Shiryaev, “Obnaruzhenie spontanno voznikayuschikh effektov”, Dokl. AN SSSR, 138 (1961), 799–801  mathnet (cited: 5)  mathscinet  mathscinet  zmath

   1960
195. V. P. Leonov, A. N. Sirjaev, “Some problems in the spectral theory of higher-order moments. II”, Theor. Probab. Appl., 5 (1960), 417–421 (1962)  mathnet  crossref  mathscinet  zmath
196. A. N. Shiryaev, “Some problems in the spectral theory of higher-order moments. I”, Theor. Probab. Appl., 5:3 (1960), 265–284 (1962)  mathnet  crossref  mathscinet  zmath

   1959
197. V. P. Leonov, A. N. Sirjaev, “On a method of semi-invariants”, Theor. Probab. Appl., 4:1 (1959), 319–329  mathnet  crossref  mathscinet  mathscinet  zmath

Presentations in Math-Net.Ru
1. Prokhorov's theorem
Albert N. Shiryaev
International conference "Prokhorov and Probability Theory" dedicated to the 90th anniversary of birth of Yu. V. Prokhorov
December 16, 2019 10:00   
2. Opening
Albert N. Shiryaev
International conference "Prokhorov and Probability Theory" dedicated to the 90th anniversary of birth of Yu. V. Prokhorov
December 16, 2019 09:50   
3. Randomness in the probability theory and the Kolmogorov complexity
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
October 17, 2018 16:45
4. Случайные блуждания и броуновское движение, занятие 3
A. N. Shiryaev
Summer School "Contemporary Mathematics" named Vitaly Arnold, 2018
July 27, 2018 09:30   
5. Случайные блуждания и броуновское движение, занятие 2
A. N. Shiryaev
Summer School "Contemporary Mathematics" named Vitaly Arnold, 2018
July 26, 2018 17:15   
6. Случайные блуждания и броуновское движение, занятие 1
A. N. Shiryaev
Summer School "Contemporary Mathematics" named Vitaly Arnold, 2018
July 25, 2018 09:30   
7. Stochastic disorder problems
A. N. Shiryaev
Scientific session of the Steklov Mathematical Institute of RAS dedicated to the results of 2016
November 16, 2016 10:30   
8. Leonhard Euler and Probability Theory
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
February 24, 2016 16:45
9. CUSUM-statistics and its optimality in Lorden's criterion
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
February 17, 2016 16:45
10. Opening
A. N. Shiryaev
Workshop A. Novikov-70 «Stochastic Methods in Finance and Statistics»
December 28, 2015 09:00   
11. О минимаксных процедурах в задачах о разладке
A. N. Shiryaev
Seminar of the Department of Probability Theory "Stochastic Analysis: Theory and Applications", Steklov Mathematical Institute of RAS
December 24, 2015 13:00
12. Opening Ceremony
A. N. Shiryaev
International Scientific Conference "Probability Theory and its Applications" On Occasion of 85th Birthday of Yu. V. Prokhorov
February 12, 2015 10:00   
13. Круглый стол «Вероятность и статистика в школе»
A. N. Shiryaev
Conference "Moscow Mathematical Society and Lomonosov Moscow State University" dedicated to the 150th anniversary of Moscow Mathematical Society
December 25, 2014 13:00
14. Randomness in probability
A. N. Shiryaev
Colloquium of Steklov Mathematical Institute of Russian Academy of Sciences
November 6, 2014 16:00   
15. Changepoint detection problems on a finite interval
A. N. Shiryaev, M. V. Zhitlukhin
Fourth IMS-FPS Workshop 2014, Sydney, Australia, July 2-6, 2014
June 19, 2014   
16. Stochastic differential equations: weak and strong solutions
A. N. Shiryaev
International conference "QP 34 – Quantum Probability and Related Topics"
September 18, 2013 10:00   
17. A quickest detection problem with an observation cost
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
March 20, 2013 16:45
18. On a series of papers devoted to the optimal stopping of Brownian motion with drift
A. N. Shiryaev, A. A. Muravlev, M. V. Zhitlukhin
Principle Seminar of the Department of Probability Theory, Moscow State University
November 14, 2012 16:45
19. On strong and weak solutions to the stochastic differential equations with degenerating diffusion
A. N. Shiryaev
Traditional winter session MIAN–POMI devoted to the topic "Probability and Functional Analysis"
February 16, 2012 14:00   
20. Closing ceremony of the symposium “Visions in Stochastics”
A. N. Shiryaev
International Symposium "Visions in Stochastics (Leaders and their Pupils)"
November 3, 2010 17:00   
21. Opening ceremony of the symposium "Visions in Stochastics"
A. N. Shiryaev
International Symposium "Visions in Stochastics (Leaders and their Pupils)"
November 1, 2010 09:45   
22. Probability and the concept of randomness
A. N. Shiryaev
Steklov Mathematical Institute Seminar
November 26, 2009 16:00   
23. Принцип «buy and hold» и его стохастические версии (продолжение)
A. N. Shiryaev
Seminar of the Department of Probability Theory "Stochastic Analysis: Theory and Applications", Steklov Mathematical Institute of RAS
November 12, 2009 15:30
24. Принцип «buy and hold» и его стохастические версии
A. N. Shiryaev
Seminar of the Department of Probability Theory "Stochastic Analysis: Theory and Applications", Steklov Mathematical Institute of RAS
November 5, 2009 15:30
25. On Euler's works in probability, statistics, demography and insurance in volume VII of the Opera Omnia
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
September 9, 2009 16:45
26. On stochastic rule "Buy and Hold" in financial mathematics
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
February 18, 2009 16:45
27. On the optimality of the rule "Buy-and-Hold"
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
October 8, 2008 16:45
28. О классических и современных стохастических моделях динамики цен первичных финансовых инструментов
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
March 19, 2008 16:45
29. Euler and probability theory
A. N. Shiryaev
Annual scientific conference "Lomonosov Papers" in 2007
April 16, 2007 14:30
30. О принципе дуальности в теории расчетов финансовых опционов
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
September 13, 2006
31. Стохастические интегральные представления некоторых функционалов от броуновского движения и их примениние к доказательству неравенств Пуанкаре–Чернова и Соболева
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
April 5, 2006
32. On stochastic optimization problems for the diffusion processes and methods of their solution by reduction to the Stefan problem with unknown boundaries for the Poisson equation
A. N. Shiryaev
Steklov Mathematical Institute Seminar
March 2, 2006 16:00   
33. О принципах непрерывнго и гладкого склеивания на оптимальных границах для задач Стефана, возникающих в теории оптимальных правил остановки
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
November 30, 2005
34. Некоторые мартингальные приемы в получении точных результатов в граничных задачах для броуновского движения
A. A. Novikov, A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
October 26, 2005
35. Greeting
A. N. Shiryaev
Festive meeting for the 100th birthday of Academician Sergei Mikhailovich Nikol'skii
April 30, 2005   
36. О вероятностных характеристиках «падения» траектории броуновского движения и броуновского движения со сносом
S. N. Lobanov, A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
April 27, 2005
37. Стохастические интегральные представления частичных максимумов от броуновского движения
A. N. Shiryaev
Principle Seminar of the Department of Probability Theory, Moscow State University
November 24, 2004
38. Life and creative work of Andrei Nikolaevich Kolmogorov
A. N. Shiryaev
On the centenary of the great Russian scientist Andrei Nikolaevich Kolmogorov (25.IV.1930–20.X.1987)
March 1, 2004   
39. Speech
A. N. Shiryaev
At Steklov Mathematical Institute of Russian Academy of Sciences
January 14, 2004   
40. International conference "Kolmogorov and Contemporary Mathematics" and other commemorative events for the 100th anniversary of Andrei Nikolaevich Kolmogorov
A. N. Shiryaev
On the centenary of the great Russian scientist Andrei Nikolaevich Kolmogorov (25.IV.1930–20.X.1987)
June 16–21, 2003   

Books in Math-Net.Ru
  1. A. N. Shiryaev, On Martingale Methods in the Boundary Crossing Problems for Brownian Motion, Sovrem. Probl. Mat., 8, 2007, 80 с.
    http://mi.mathnet.ru/book469
  2. Stochastic financial mathematics, Collected papers, Tr. Mat. Inst. Steklova, 237, ed. A. N. Shiryaev, E. F. Mishchenko, 2002, 319 с.
    http://mi.mathnet.ru/book250
  3. Statistics and control of stochastic processes, Trudy Mat. Inst. Steklov., 202, ed. A. A. Novikov, A. N. Shiryaev, E. F. Mishchenko, 1993, 304 с.
    http://mi.mathnet.ru/book1103

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