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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, 83–78
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, 237290–301
10. Vector Stochastic Integrals and the Fundamental Theorems of Asset Pricing
A. N. Shiryaev, A. S. Cherny
Tr. Mat. Inst. Steklova, 2002, 23712–56
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, 202282–286
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, 455–253
31. Probabilistic-statistical methods of detecting spontaneously occurring effects
A. N. Kolmogorov, Yu. V. Prokhorov, A. N. Shiryaev
Trudy Mat. Inst. Steklov., 1988, 1824–23
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, 71113–117
58. On controls which reduce to optimal stationary regimes
O. V. Viskov, A. N. Shiryaev
Trudy Mat. Inst. Steklov., 1964, 7135–45
59. On the determination of optimal controls
V. I. Arkin, V. A. Kolemaev, A. N. Shiryaev
Trudy Mat. Inst. Steklov., 1964, 7121–25
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, 2377–11
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
  1. 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
  2. Euler and probability theory
    Reports presented at conferences
    April 16, 2007
  3. Probability and the concept of randomness
    Steklov Mathematical Institute Seminar
    November 26, 2009 16:00

Книги в базе данных 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. 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
  3. 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

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