Shiryaev Albert Nikolaevich
Statistics Math-Net.Ru
Total publications:
79
Scientific articles:
53
Citations to the author:
140
Cited articles:
30
Citing authors:
66
Presentations:
3
Number of views:
This page: 1552 Abstract pages: 4575 Full texts: 944 References: 170
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:
albertsh®mi.ras¸ru , shiryaev®mi.ras¸ru
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
Publications in Math-Net.Ru
1.
On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion A. N. ShiryaevTeor. 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. ShiryaevTeor. Veroyatnost. i Primenen. , 2008, 53 :3, 557–575
3.
On Stochastic Models and Optimal Methods in the Quickest Detection Problems A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 2008, 53 :3, 417–436
4.
Seventy-Five Years Since Publication of the Monograph by A. N. Kolmogorov Yu. V. Prokhorov, A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 2008, 53 :2, 209–212
5.
On martingale methods in the boundary crossing problems for Brownian motion A. N. ShiryaevSovrem. Probl. Mat. , 2007, 8 , 3–78
6.
Proof of the Poincaré–Chernoff inequality and logarithmic Sobolev's inequality by the methods of stochastic calculus for Brownian motion A. N. ShiryaevUMN , 2006, 61 :3(369), 177–178
7.
On the problem of stochastic integral representations of functionals of the Browning motion. II S. Graversen, A. N. Shiryaev, M. YorTeor. Veroyatnost. i Primenen. , 2006, 51 :1, 64–77
8.
On an effective solution of the optimal
stopping problem for random walks A. A. Novikov, A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 2004, 49 :2, 373–382
9.
On the problem of stochastic integral representations of functionals of the Brownian motion. I A. N. Shiryaev, M. YorTeor. Veroyatnost. i Primenen. , 2003, 48 :2, 375–385
10.
On Lower and Upper Functions for Square Integrable Martingales A. N. Shiryaev, E. Valkeila, L. Yu. VostrikovaTr. Mat. Inst. Steklova , 2002, 237 , 290–301
11.
Vector Stochastic Integrals and the Fundamental Theorems of Asset Pricing A. N. Shiryaev, A. S. ChernyTr. Mat. Inst. Steklova , 2002, 237 , 12–56
12.
The Russian option under conditions of a possible price "freeze" L. A. Shepp, A. N. ShiryaevUMN , 2001, 56 :1(337), 187–188
13.
Stopping Brownian motion without anticipation as close as possible to its ultimate maximum S. E. Graversen, G. Peskir, A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 2000, 45 :1, 125–136
14.
Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy's theorem A. S. Cherny, A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 1999, 44 :2, 466–472
15.
On probability characteristics of “downfalls” in a standard Brownian motion R. Douady, M. Yor, A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 1999, 44 :1, 3–13
16.
On the Brownian first-passage time over a one-sided stochastic boundary G. Peskir, A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 1997, 42 :3, 591–602
17.
Probability theory and B. V. Gnedenko A. N. ShiryaevFundam. Prikl. Mat. , 1996, 2 :4, 955
18.
Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time A. N. ShiryaevUMN , 1996, 51 :4(310), 173–174
19.
The Khintchine inequalities and martingale expanding sphere of their action G. Peshkir, A. N. ShiryaevUMN , 1995, 50 :5(305), 3–62
20.
Optimization of the flow of dividends M. Jeanblanc-Picqué, A. N. ShiryaevUMN , 1995, 50 :2(302), 25–46
21.
On the concept of $\lambda$ -convergence of statistical experiments V. G. Spokoiny, A. N. ShiryaevTrudy Mat. Inst. Steklov. , 1993, 202 , 282–286
22.
Stochastic calculus S. V. Anulova, A. Yu. Veretennikov, N. V. Krylov, R. Sh. Liptser, A. N. ShiryaevItogi Nauki i Tekhniki. Ser. Sovrem. Probl. Mat. Fund. Napr. , 1989, 45 , 5–253
23.
Probabilistic-statistical methods of detecting spontaneously occurring effects A. N. Kolmogorov, Yu. V. Prokhorov, A. N. ShiryaevTrudy Mat. Inst. Steklov. , 1988, 182 , 4–23
24.
First World Congress of Bernoulli Society for Mathematical Statistics and Probability A. N. Shiryaev, A. A. Novikov, E. L. PresmanTeor. Veroyatnost. i Primenen. , 1987, 32 :2, 217–218
25.
Weak convergence of a sequence of semimartingales to a process of diffusion type R. Sh. Liptser, A. N. ShiryaevMat. Sb. (N.S.) , 1983, 121(163) :2(6), 176–200
26.
Weak and strong convergence of distributions of counting processes Yu. M. Kabanov, R. Š. Lipcer, A. N. ŠiryaevTeor. Veroyatnost. i Primenen. , 1983, 28 :2, 288–319
27.
On the invariance principle for semimartingales with «nonclassical» assumptions R. Š. Lipcer, A. N. ŠiryaevTeor. Veroyatnost. i Primenen. , 1983, 28 :1, 3–31
28.
Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures R. Sh. Liptser, F. Pukel'sheim, A. N. ShiryaevUMN , 1982, 37 :6(228), 97–124
29.
On the rate of convergence in the central limit theorem for semimartingales R. Š. Lipсer, A. N. ŠiryaevTeor. Veroyatnost. i Primenen. , 1982, 27 :1, 3–14
30.
On weak convergence of semimartingales to stochastically continuous processes with independent and conditionally independent increments R. Sh. Liptser, A. N. ShiryaevMat. Sb. (N.S.) , 1981, 116(158) :3(11), 331–358
31.
Necessary and sufficient conditions for the functional central limit theorem for semimartingales R. Š. Lipcer, A. N. ŠiryaevTeor. Veroyatnost. i Primenen. , 1981, 26 :1, 132–137
32.
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. ShiryaevMat. Sb. (N.S.) , 1980, 111(153) :2, 293–307
33.
A functional central limit theorem for semimartingales R. Š. Lipčer, A. N. ŠiryaevTeor. Veroyatnost. i Primenen. , 1980, 25 :4, 683–703
34.
Absolute continuity and singularity of locally absolutely continuous probability distributions. II Yu. M. Kabanov, R. Sh. Liptser, A. N. ShiryaevMat. Sb. (N.S.) , 1979, 108(150) :1, 32–61
35.
Absolute continuity and singularity of locally absolutely continuous probability distributions. I Yu. M. Kabanov, R. Sh. Liptser, A. N. ShiryaevMat. Sb. (N.S.) , 1978, 107(149) :3(11), 364–415
36.
On the question of absolute continuity and singularity of probability measures Yu. M. Kabanov, R. Sh. Liptser, A. N. ShiryaevMat. Sb. (N.S.) , 1977, 104(146) :2(10), 227–247
37.
On the absolute continuity of measures corresponding to processes of diffusion type relative to a Wiener measure R. Sh. Liptser, A. N. ShiryaevIzv. Akad. Nauk SSSR Ser. Mat. , 1972, 36 :4, 847–889
38.
Minimax weights in a trend detection problem for a stochastic process I. L. Legostaeva, A. N. ŠiryaevTeor. Veroyatnost. i Primenen. , 1971, 16 :2, 339–345
39.
On the density of probability measures of diffusion-type processes R. Sh. Liptser, A. N. ShiryaevIzv. Akad. Nauk SSSR Ser. Mat. , 1969, 33 :5, 1120–1131
40.
Interpolation and filtering of a jump-like component of a Markov process R. Sh. Liptser, A. N. ShiryaevIzv. Akad. Nauk SSSR Ser. Mat. , 1969, 33 :4, 901–914
41.
Investigations by statistical sequential analysis A. N. ShiryaevMat. Zametki , 1968, 3 :6, 739–754
42.
Controllable Markov Processes and Stefan's Problem B. I. Grigelionis, A. N. ShiryaevProbl. Peredachi Inf. , 1968, 4 :1, 60–72
43.
Nonlinear interpolation of components of diffusion Markov processes R. Sh. Liptser, A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 1968, 13 :4, 602–620
44.
Extrapolation of multidimensional Markov processes from incomplete data R. Sh. Liptser, A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 1968, 13 :1, 17–38
45.
Stochastic Equations of Nonlinear Filtering of Markovian Jump Processes A. N. ShiryaevProbl. Peredachi Inf. , 1966, 2 :3, 3–22
46.
On Stefan's problem and optimal stopping rules for Markov processes B. I. Grigelionis, A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 1966, 11 :4, 612–631
47.
Some criterions of “truncatedness” of the optimal stopping moment in sequential analysis B. I. Grigelionis, A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 1965, 10 :4, 601–613
48.
Some explicit formulae in a problem on “disorder” A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 1965, 10 :2, 380–385
49.
On a Bayes Problem of Sequential Search in Diffusion Approximation R. Š. Lipcer, A. N. ŠiryaevTeor. Veroyatnost. i Primenen. , 1965, 10 :1, 192–199
50.
Detection of randomly appearing targets in a multi-channel system A. N. ShiryaevTrudy Mat. Inst. Steklov. , 1964, 71 , 113–117
51.
On controls which reduce to optimal stationary regimes O. V. Viskov, A. N. ShiryaevTrudy Mat. Inst. Steklov. , 1964, 71 , 35–45
52.
On the determination of optimal controls V. I. Arkin, V. A. Kolemaev, A. N. ShiryaevTrudy Mat. Inst. Steklov. , 1964, 71 , 21–25
53.
On Markov Sufficient Statistics in Nonadditive Bayes Problems of Sequential Analysis A. N. ŠiryaevTeor. Veroyatnost. i Primenen. , 1964, 9 :4, 670–686
54.
Russian-Scandinavian symposium “Probability Theory and Applied Probability” A. N. Shiryaev, V. V. MazalovTeor. Veroyatnost. i Primenen. , 2007, 52 :1, 204–205
55.
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. ShiryaevTeor. Veroyatnost. i Primenen. , 2006, 51 :4, 773–775
56.
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. FossTeor. Veroyatnost. i Primenen. , 2006, 51 :2, 257–259
57.
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. ShashkinTeor. Veroyatnost. i Primenen. , 2005, 50 :2, 411–413
58.
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. ShiryaevUMN , 2003, 58 :6(354), 189–192
59.
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. ShiryaevUMN , 2002, 57 :5(347), 187–190
60.
Preface A. N. ShiryaevTr. Mat. Inst. Steklova , 2002, 237 , 7–11
61.
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. ShiryaevUMN , 2001, 56 :3(339), 146–150
62.
Book review: Bertoin G. “Levy Processes”; Sato K.-I. “Levy Processes and Infinitely
Divisible Distributions” A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 2000, 45 :4, 819–821
63.
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. ShiryaevTeor. Veroyatnost. i Primenen. , 1999, 44 :2, 241–248
64.
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. ShiryaevTeor. Veroyatnost. i Primenen. , 1996, 41 :2, 393–395
65.
Roland L'vovich Dobrushin (20.VII.1929–12.XI.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. ShiryaevTeor. Veroyatnost. i Primenen. , 1996, 41 :1, 164–169
66.
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. EneevUMN , 1993, 48 :2(290), 165–168
67.
Foreword A. A. Novikov, A. N. ShiryaevTrudy Mat. Inst. Steklov. , 1993, 202 , 3
68.
On Bernoulli Society A. N. ShiryaevTeor. Veroyatnost. i Primenen. , 1989, 34 :2, 425–426
69.
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. ShiryayevTeor. Veroyatnost. i Primenen. , 1989, 34 :1, 190–191
70.
Andrei Nikolaevich Kolmogorov (25.IV.1903–20.X.1987): In Memoriam A. N. ShiryayevTeor. Veroyatnost. i Primenen. , 1989, 34 :1, 5–118
71.
On the scientific heritage of A. N. Kolmogorov A. N. ShiryaevUMN , 1988, 43 :6(264), 209–210
72.
Book review: «Convergence of Stochastic Processes» D. Pollard A. N. Shiryaev, Yu. A. KoshevnikTeor. Veroyatnost. i Primenen. , 1988, 33 :1, 216–219
73.
First World Congress of Bernoulli Society A. N. ShiryaevUMN , 1987, 42 :6(258), 203–205
74.
First World Congress of Bernoulli Society for Mathematical Statistics and Probability (continuation) A. N. Shiryaev, A. A. Novikov, E. L. PresmanTeor. Veroyatnost. i Primenen. , 1987, 32 :2, 417–418
75.
IV Soviet-Japanese symposium on probability theory and mathematical statistics A. A. Novikov, A. N. ŠiryaevTeor. Veroyatnost. i Primenen. , 1983, 28 :1, 198–199
76.
М. Metivier, J. Pellaumail «Stochastic Integration» (book review) A. N. ŠiryaevTeor. Veroyatnost. i Primenen. , 1981, 26 :2, 436–439
77.
John Lamperti, Probability (A survey of the mathematical theory) (review) A. N. ShiryaevUMN , 1968, 23 :2(140), 258–259
78.
Letter to the Editor A. N. ShiryaevProbl. Peredachi Inf. , 1967, 3 :1, 86–87
79.
Letter to the Editor A. N. ShiryaevTeor. 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