Persons: Shiryaev Albert Nikolaevich

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Shiryaev Albert Nikolaevich

Statistics Math-Net.Ru
Total publications:	92
Scientific articles:	60
Citations to the author:	264
Cited articles:	44
Citing authors:	112
Presentations:	3

Number of views:
This page:	2115
Abstract pages:	7556
Full texts:	1595
References:	202

Academic status:

Corresponding member of RAS

Scientific status:

Professor

Scientific degree:

Doctor of physico-mathematical sciences (1967)

Speciality:

01.01.05 (Probability theory and mathematical statistics)

Birth date:

12.10.1934

Phone:

+7 (495) 938 37 60, +7 (495) 938 39 34

E-mail:

UDC:

519.2, 519.21, 519.216.5, 519.216.8, 519.226, 519.27

List of publications on Google Scholar

List of publications on ZentralBlatt

Personal webpage on MathSciNet

Publications in Math-Net.Ru

1.	On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion A. N. Shiryaev Teor. Veroyatnost. i Primenen., 2008, 53:4, 751–768
2.	On Asymptotic Optimality of the Second Order in the Minimax Quickest Detection Problem of Drift Change for Brownian Motion E. V. Burnaev, E. A. Feinberg, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 2008, 53:3, 557–575
3.	On Stochastic Models and Optimal Methods in the Quickest Detection Problems A. N. Shiryaev Teor. Veroyatnost. i Primenen., 2008, 53:3, 417–436
4.	On martingale methods in the boundary crossing problems for Brownian motion A. N. Shiryaev Sovrem. Probl. Mat., 2007, 8, 3–78
5.	Proof of the Poincaré–Chernoff inequality and logarithmic Sobolev's inequality by the methods of stochastic calculus for Brownian motion A. N. Shiryaev Uspekhi Mat. Nauk, 2006, 61:3(369), 177–178
6.	On the problem of stochastic integral representations of functionals of the Browning motion. II S. Graversen, A. N. Shiryaev, M. Yor Teor. Veroyatnost. i Primenen., 2006, 51:1, 64–77
7.	On an effective solution of the optimal stopping problem for random walks A. A. Novikov, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 2004, 49:2, 373–382
8.	On the problem of stochastic integral representations of functionals of the Brownian motion. I A. N. Shiryaev, M. Yor Teor. Veroyatnost. i Primenen., 2003, 48:2, 375–385
9.	On Lower and Upper Functions for Square Integrable Martingales A. N. Shiryaev, E. Valkeila, L. Yu. Vostrikova Tr. Mat. Inst. Steklova, 2002, 237, 290–301
10.	Vector Stochastic Integrals and the Fundamental Theorems of Asset Pricing A. N. Shiryaev, A. S. Cherny Tr. Mat. Inst. Steklova, 2002, 237, 12–56
11.	Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker–Prokhorov invariance principle A. S. Cherny, A. N. Shiryaev, M. Yor Teor. Veroyatnost. i Primenen., 2002, 47:3, 498–517
12.	The Russian option under conditions of a possible price "freeze" L. A. Shepp, A. N. Shiryaev Uspekhi Mat. Nauk, 2001, 56:1(337), 187–188
13.	Time Change Representation of Stochastic Integrals J. Kallsen, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 2001, 46:3, 579–585
14.	A Note on the Call–Put Parity and a Call–Put Duality G. Peskir, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 2001, 46:1, 181–183
15.	Stopping Brownian motion without anticipation as close as possible to its ultimate maximum S. E. Graversen, G. Peskir, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 2000, 45:1, 125–136
16.	Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy's theorem A. S. Cherny, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1999, 44:2, 466–472
17.	On probability characteristics of “downfalls” in a standard Brownian motion R. Douady, M. Yor, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1999, 44:1, 3–13
18.	On the Brownian first-passage time over a one-sided stochastic boundary G. Peskir, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1997, 42:3, 591–602
19.	Probability theory and B. V. Gnedenko A. N. Shiryaev Fundam. Prikl. Mat., 1996, 2:4, 955
20.	Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time A. N. Shiryaev Uspekhi Mat. Nauk, 1996, 51:4(310), 173–174
21.	The Khintchine inequalities and martingale expanding sphere of their action G. Peškir, A. N. Shiryaev Uspekhi Mat. Nauk, 1995, 50:5(305), 3–62
22.	Optimization of the flow of dividends M. Jeanblanc-Picqué, A. N. Shiryaev Uspekhi Mat. Nauk, 1995, 50:2(302), 25–46
23.	On the rational pricing of the “Russian Option” for the symmetrical binomial model of a $(B,S)$-market D. O. Kramkov, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1994, 39:1, 191–200
24.	A new look at pricing of the “Russian Option” L. A. Shepp, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1994, 39:1, 130–149
25.	Toward the theory of pricing of options of both European and American types. II. Continuous time A. N. Shiryaev, Yu. M. Kabanov, D. O. Kramkov, A. V. Melnikov Teor. Veroyatnost. i Primenen., 1994, 39:1, 80–129
26.	Toward the theory of pricing of options of both European and American types. I. Discrete time A. N. Shiryaev, Yu. M. Kabanov, D. O. Kramkov, A. V. Melnikov Teor. Veroyatnost. i Primenen., 1994, 39:1, 23–79
27.	On some basic concepts and some basic stochastic models used in finance A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1994, 39:1, 5–22
28.	On the concept of $\lambda$-convergence of statistical experiments V. G. Spokoiny, A. N. Shiryaev Trudy Mat. Inst. Steklov., 1993, 202, 282–286
29.	Optimal stopping rules and maximal inequalities for Bessel processes L. E. Dubins, L. A. Shepp, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1993, 38:2, 288–330
30.	Stochastic calculus S. V. Anulova, A. Yu. Veretennikov, N. V. Krylov, R. Sh. Liptser, A. N. Shiryaev Itogi Nauki i Tekhniki. Ser. Sovrem. Probl. Mat. Fund. Napr., 1989, 45, 5–253
31.	Probabilistic-statistical methods of detecting spontaneously occurring effects A. N. Kolmogorov, Yu. V. Prokhorov, A. N. Shiryaev Trudy Mat. Inst. Steklov., 1988, 182, 4–23
32.	Weak convergence of a sequence of semimartingales to a process of diffusion type R. Sh. Liptser, A. N. Shiryaev Mat. Sb. (N.S.), 1983, 121(163):2(6), 176–200
33.	Weak and strong convergence of distributions of counting processes Yu. M. Kabanov, R. Š. Lipcer, A. N. Širyaev Teor. Veroyatnost. i Primenen., 1983, 28:2, 288–319
34.	On the invariance principle for semimartingales with «nonclassical» assumptions R. Š. Lipcer, A. N. Širyaev Teor. Veroyatnost. i Primenen., 1983, 28:1, 3–31
35.	Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures R. Sh. Liptser, F. Pukel'sheim, A. N. Shiryaev Uspekhi Mat. Nauk, 1982, 37:6(228), 97–124
36.	On the rate of convergence in the central limit theorem for semimartingales R. Š. Lipсer, A. N. Širyaev Teor. Veroyatnost. i Primenen., 1982, 27:1, 3–14
37.	On weak convergence of semimartingales to stochastically continuous processes with independent and conditionally independent increments R. Sh. Liptser, A. N. Shiryaev Mat. Sb. (N.S.), 1981, 116(158):3(11), 331–358
38.	Necessary and sufficient conditions for the functional central limit theorem for semimartingales R. Š. Lipcer, A. N. Širyaev Teor. Veroyatnost. i Primenen., 1981, 26:1, 132–137
39.	On the representation of integral-valued random measures and local martingales by means of random measures with deterministic compensators Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev Mat. Sb. (N.S.), 1980, 111(153):2, 293–307
40.	A functional central limit theorem for semimartingales R. Š. Lipčer, A. N. Širyaev Teor. Veroyatnost. i Primenen., 1980, 25:4, 683–703
41.	Absolute continuity and singularity of locally absolutely continuous probability distributions. II Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev Mat. Sb. (N.S.), 1979, 108(150):1, 32–61
42.	Absolute continuity and singularity of locally absolutely continuous probability distributions. I Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev Mat. Sb. (N.S.), 1978, 107(149):3(11), 364–415
43.	On the question of absolute continuity and singularity of probability measures Yu. M. Kabanov, R. Sh. Liptser, A. N. Shiryaev Mat. Sb. (N.S.), 1977, 104(146):2(10), 227–247
44.	On the absolute continuity of measures corresponding to processes of diffusion type relative to a Wiener measure R. Sh. Liptser, A. N. Shiryaev Izv. Akad. Nauk SSSR Ser. Mat., 1972, 36:4, 847–889
45.	Minimax weights in a trend detection problem for a stochastic process I. L. Legostaeva, A. N. Širyaev Teor. Veroyatnost. i Primenen., 1971, 16:2, 339–345
46.	On the density of probability measures of diffusion-type processes R. Sh. Liptser, A. N. Shiryaev Izv. Akad. Nauk SSSR Ser. Mat., 1969, 33:5, 1120–1131
47.	Interpolation and filtering of a jump-like component of a Markov process R. Sh. Liptser, A. N. Shiryaev Izv. Akad. Nauk SSSR Ser. Mat., 1969, 33:4, 901–914
48.	Investigations by statistical sequential analysis A. N. Shiryaev Mat. Zametki, 1968, 3:6, 739–754
49.	Controllable Markov Processes and Stefan's Problem B. I. Grigelionis, A. N. Shiryaev Probl. Peredachi Inf., 1968, 4:1, 60–72
50.	Nonlinear interpolation of components of diffusion Markov processes R. Sh. Liptser, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1968, 13:4, 602–620
51.	Extrapolation of multidimensional Markov processes from incomplete data R. Sh. Liptser, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1968, 13:1, 17–38
52.	Stochastic Equations of Nonlinear Filtering of Markovian Jump Processes A. N. Shiryaev Probl. Peredachi Inf., 1966, 2:3, 3–22
53.	On Stefan's problem and optimal stopping rules for Markov processes B. I. Grigelionis, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1966, 11:4, 612–631
54.	Some criterions of “truncatedness” of the optimal stopping moment in sequential analysis B. I. Grigelionis, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1965, 10:4, 601–613
55.	Some explicit formulae in a problem on “disorder” A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1965, 10:2, 380–385
56.	On a Bayes Problem of Sequential Search in Diffusion Approximation R. Š. Lipcer, A. N. Širyaev Teor. Veroyatnost. i Primenen., 1965, 10:1, 192–199
57.	Detection of randomly appearing targets in a multi-channel system A. N. Shiryaev Trudy Mat. Inst. Steklov., 1964, 71, 113–117
58.	On controls which reduce to optimal stationary regimes O. V. Viskov, A. N. Shiryaev Trudy Mat. Inst. Steklov., 1964, 71, 35–45
59.	On the determination of optimal controls V. I. Arkin, V. A. Kolemaev, A. N. Shiryaev Trudy Mat. Inst. Steklov., 1964, 71, 21–25
60.	On Markov Sufficient Statistics in Nonadditive Bayes Problems of Sequential Analysis A. N. Širyaev Teor. Veroyatnost. i Primenen., 1964, 9:4, 670–686

61.	Seventy-Five Years Since Publication of the Monograph by A. N. Kolmogorov Yu. V. Prokhorov, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 2008, 53:2, 209–212
62.	Russian-Scandinavian symposium “Probability Theory and Applied Probability” A. N. Shiryaev, V. V. Mazalov Teor. Veroyatnost. i Primenen., 2007, 52:1, 204–205
63.	On the 75th birthday of V. M. Zolotarev L. G. Afanas'eva, E. V. Bulinskaya, O. V. Viskov, I. È. Ibragimov, R. I. Ivanovskaya, V. Yu. Korolev, V. M. Kruglov, Yu. V. Prokhorov, B. A. Sevast'yanov, V. V. Senatov, M. V. Khatuntseva, Yu. S. Khokhlov, D. M. Chibisov, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 2006, 51:4, 773–775
64.	To the 75th birthday of A. A. Borovkov N. N. Vakhania, I. A. Ibragimov, V. P. Maslov, Yu. V. Prokhorov, B. A. Sevast'yanov, Ya. G. Sinai, D. M. Chibisov, A. N. Shiryaev, I. S. Borisov, V. I. Lotov, A. A. Mogul'skii, S. G. Foss Teor. Veroyatnost. i Primenen., 2006, 51:2, 257–259
65.	Information on the Fourth “Student Kolmogorov olympiad on the theory of probability” A. N. Shiryaev, M. A. Urusov, A. S. Cherny, A. V. Selivanov, S. V. Dil'man, I. N. Medvedev, A. S. Mishchenko, A. P. Shashkin Teor. Veroyatnost. i Primenen., 2005, 50:2, 411–413
66.	Preface A. N. Shiryaev Funkts. Anal. Prilozh., 2003, 37:4, 3
67.	Sergei Sergeevich Demidov (on his 60th birthday) D. V. Anosov, I. G. Bashmakova, A. N. Bogolyubov, L. D. Kudryavtsev, A. N. Parshin, S. S. Petrova, K. A. Rybnikov, V. M. Tikhomirov, A. N. Shiryaev Uspekhi Mat. Nauk, 2003, 58:6(354), 189–192
68.	On the 80th Birthday of B. A. Sevastyanov A. A. Borovkov, V. A. Vatutin, V. M. Zolotarev, A. M. Zubkov, I. A. Ibragimov, R. I. Ivanovskaya, V. F. Kolchin, V. P. Maslov, Yu. V. Prokhorov, M. V. Khatuntseva, V. I. Khokhlov, A. S. Holevo, D. M. Chibisov, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 2003, 48:4, 785
69.	Il'dar Abdullovich Ibragimov (on his 70th birthday) A. A. Borovkov, M. A. Lifshits, Ya. Yu. Nikitin, Yu. V. Prokhorov, V. N. Sudakov, A. N. Shiryaev Uspekhi Mat. Nauk, 2002, 57:5(347), 187–190
70.	Preface A. N. Shiryaev Tr. Mat. Inst. Steklova, 2002, 237, 7–11
71.	Lev Dmitrievich Meshalkin (obituary) S. A. Aivazyan, L. G. Afanas'eva, V. M. Buchstaber, Yu. N. Blagoveshchenskii, B. M. Gurevich, Yu. V. Prokhorov, Ya. G. Sinai, V. M. Tikhomirov, A. N. Shiryaev Uspekhi Mat. Nauk, 2001, 56:3(339), 146–150
72.	Book review: Bertoin G. “Levy Processes”; Sato K.-I. “Levy Processes and Infinitely Divisible Distributions” A. N. Shiryaev Teor. Veroyatnost. i Primenen., 2000, 45:4, 819–821
73.	On the history of the foundation of the Russian Academy of Sciences and about the first articles on probability theory in Russian publications A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1999, 44:2, 241–248
74.	Boris Vladimirovich Gnedenko (1.I.1912-27.XII.1995) V. A. Vatutin, V. M. Zolotarev, R. I. Ivanovskaya, I. A. Ibragimov, Yu. V. Prokhorov, V. M. Sazonov, B. A. Sevast'yanov, A. D. Solov'ev, D. M. Chibisov, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1996, 41:2, 393–395
75.	Roland L'vovich Dobrushin (20 July 1919 – 12 November 1995) B. M. Gurevich, I. A. Ibragimov, R. A. Minlos, I. A. Ovseevich, V. I. Oseledets, M. S. Pinsker, V. V. Prelov, Yu. V. Prokhorov, Ya. G. Sinai, A. S. Holevo, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1996, 41:1, 164–169
76.	Nikolai Nikolaevich Chentsov (obituary) V. I. Arnol'd, N. S. Bakhvalov, K. V. Brushlinskii, I. M. Gel'fand, R. L. Dobrushin, A. V. Zabrodin, I. A. Ibragimov, S. P. Kurdyumov, S. P. Novikov, D. E. Okhotsimskii, Yu. V. Prokhorov, Yu. B. Radvogin, Ya. G. Sinai, R. Z. Khas'minskii, A. S. Holevo, A. N. Shiryaev, T. M. Eneev Uspekhi Mat. Nauk, 1993, 48:2(290), 165–168
77.	Foreword A. A. Novikov, A. N. Shiryaev Trudy Mat. Inst. Steklov., 1993, 202, 3
78.	Memorial: Nikolai Nikolaevitch Chentsov N. S. Bakhvalov, A. A. Borovkov, R. L. Dobrushin, A. V. Zabrodin, V. M. Zolotarev, I. A. Ibragimov, Yu. V. Prokhorov, B. A. Sevast'yanov, Ya. G. Sinai, A. V. Skorokhod, V. A. Statulyavichus, R. Z. Khas'minskii, A. S. Kholevo, D. M. Chibisov, A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1993, 38:3, 613–623
79.	Information bulletin № 1 of the Soviet Committee of the Bernoulli Society A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1991, 36:1, 199–203
80.	On Bernoulli Society A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1989, 34:2, 425–426
81.	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 Ya. G. Synai, A. N. Shiryayev Teor. Veroyatnost. i Primenen., 1989, 34:1, 190–191
82.	Andrei Nikolaevich Kolmogorov (25.IV.1903–20.X.1987): In Memoriam A. N. Shiryayev Teor. Veroyatnost. i Primenen., 1989, 34:1, 5–118
83.	On the scientific heritage of A. N. Kolmogorov A. N. Shiryaev Uspekhi Mat. Nauk, 1988, 43:6(264), 209–210
84.	Book review: «Convergence of Stochastic Processes» D. Pollard A. N. Shiryaev, Yu. A. Koshevnik Teor. Veroyatnost. i Primenen., 1988, 33:1, 216–219
85.	First World Congress of Bernoulli Society A. N. Shiryaev Uspekhi Mat. Nauk, 1987, 42:6(258), 203–205
86.	First World Congress of Bernoulli Society for Mathematical Statistics and Probability (continuation) A. N. Shiryaev, A. A. Novikov, E. L. Presman Teor. Veroyatnost. i Primenen., 1987, 32:2, 417–418
87.	First World Congress of Bernoulli Society for Mathematical Statistics and Probability A. N. Shiryaev, A. A. Novikov, E. L. Presman Teor. Veroyatnost. i Primenen., 1987, 32:2, 217–218
88.	IV Soviet-Japanese symposium on probability theory and mathematical statistics A. A. Novikov, A. N. Širyaev Teor. Veroyatnost. i Primenen., 1983, 28:1, 198–199
89.	М. Metivier, J. Pellaumail «Stochastic Integration» (book review) A. N. Širyaev Teor. Veroyatnost. i Primenen., 1981, 26:2, 436–439
90.	John Lamperti, Probability (A survey of the mathematical theory) (review) A. N. Shiryaev Uspekhi Mat. Nauk, 1968, 23:2(140), 258–259
91.	Letter to the Editor A. N. Shiryaev Probl. Peredachi Inf., 1967, 3:1, 86–87
92.	Letter to the Editor A. N. Shiryaev Teor. Veroyatnost. i Primenen., 1967, 12:2, 395–396

Presentations

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
Steklov Mathematical Institute Seminar
March 2, 2006 16:00
Euler and probability theory
Reports presented at conferences
April 16, 2007
Probability and the concept of randomness
Steklov Mathematical Institute Seminar
November 26, 2009 16:00

Книги в базе данных Math-Net.Ru

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
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
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

Organisations

Registration