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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: ,
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. 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. 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
5. On martingale methods in the boundary crossing problems for Brownian motion
A. N. Shiryaev
Sovrem. 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. Shiryaev
UMN, 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. Yor
Teor. 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. Shiryaev
Teor. 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. Yor
Teor. 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. Vostrikova
Tr. Mat. Inst. Steklova, 2002, 237,  290–301
11. Vector Stochastic Integrals and the Fundamental Theorems of Asset Pricing
A. N. Shiryaev, A. S. Cherny
Tr. Mat. Inst. Steklova, 2002, 237,  12–56
12. The Russian option under conditions of a possible price "freeze"
L. A. Shepp, A. N. Shiryaev
UMN, 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. Shiryaev
Teor. 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. Shiryaev
Teor. 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. Shiryaev
Teor. 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. Shiryaev
Teor. Veroyatnost. i Primenen., 1997, 42:3,  591–602
17. Probability theory and B. V. Gnedenko
A. N. Shiryaev
Fundam. Prikl. Mat., 1996, 2:4,  955
18. Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
A. N. Shiryaev
UMN, 1996, 51:4(310),  173–174
19. The Khintchine inequalities and martingale expanding sphere of their action
G. Peshkir, A. N. Shiryaev
UMN, 1995, 50:5(305),  3–62
20. Optimization of the flow of dividends
M. Jeanblanc-Picqué, A. N. Shiryaev
UMN, 1995, 50:2(302),  25–46
21. On the concept of $\lambda$-convergence of statistical experiments
V. G. Spokoiny, A. N. Shiryaev
Trudy Mat. Inst. Steklov., 1993, 202,  282–286
22. 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
23. 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
24. 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
25. 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
26. 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
27. On the invariance principle for semimartingales with «nonclassical» assumptions
R. Š. Lipcer, A. N. Širyaev
Teor. 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. Shiryaev
UMN, 1982, 37:6(228),  97–124
29. 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
30. 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
31. 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
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. Shiryaev
Mat. Sb. (N.S.), 1980, 111(153):2,  293–307
33. A functional central limit theorem for semimartingales
R. Š. Lipčer, A. N. Širyaev
Teor. 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. Shiryaev
Mat. 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. Shiryaev
Mat. 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. Shiryaev
Mat. 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. Shiryaev
Izv. 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. Širyaev
Teor. Veroyatnost. i Primenen., 1971, 16:2,  339–345
39. 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
40. 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
41. Investigations by statistical sequential analysis
A. N. Shiryaev
Mat. Zametki, 1968, 3:6,  739–754
42. Controllable Markov Processes and Stefan's Problem
B. I. Grigelionis, A. N. Shiryaev
Probl. Peredachi Inf., 1968, 4:1,  60–72
43. Nonlinear interpolation of components of diffusion Markov processes
R. Sh. Liptser, A. N. Shiryaev
Teor. Veroyatnost. i Primenen., 1968, 13:4,  602–620
44. Extrapolation of multidimensional Markov processes from incomplete data
R. Sh. Liptser, A. N. Shiryaev
Teor. Veroyatnost. i Primenen., 1968, 13:1,  17–38
45. Stochastic Equations of Nonlinear Filtering of Markovian Jump Processes
A. N. Shiryaev
Probl. Peredachi Inf., 1966, 2:3,  3–22
46. 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
47. 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
48. Some explicit formulae in a problem on “disorder”
A. N. Shiryaev
Teor. Veroyatnost. i Primenen., 1965, 10:2,  380–385
49. 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
50. Detection of randomly appearing targets in a multi-channel system
A. N. Shiryaev
Trudy Mat. Inst. Steklov., 1964, 71,  113–117
51. On controls which reduce to optimal stationary regimes
O. V. Viskov, A. N. Shiryaev
Trudy Mat. Inst. Steklov., 1964, 71,  35–45
52. On the determination of optimal controls
V. I. Arkin, V. A. Kolemaev, A. N. Shiryaev
Trudy Mat. Inst. Steklov., 1964, 71,  21–25
53. On Markov Sufficient Statistics in Nonadditive Bayes Problems of Sequential Analysis
A. N. Širyaev
Teor. Veroyatnost. i Primenen., 1964, 9:4,  670–686

54. Russian-Scandinavian symposium “Probability Theory and Applied Probability”
A. N. Shiryaev, V. V. Mazalov
Teor. 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. Shiryaev
Teor. 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. Foss
Teor. 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. Shashkin
Teor. 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. Shiryaev
UMN, 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. Shiryaev
UMN, 2002, 57:5(347),  187–190
60. Preface
A. N. Shiryaev
Tr. 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. Shiryaev
UMN, 2001, 56:3(339),  146–150
62. 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
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. Shiryaev
Teor. 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. Shiryaev
Teor. 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. Shiryaev
Teor. 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. Eneev
UMN, 1993, 48:2(290),  165–168
67. Foreword
A. A. Novikov, A. N. Shiryaev
Trudy Mat. Inst. Steklov., 1993, 202,  3
68. On Bernoulli Society
A. N. Shiryaev
Teor. 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. Shiryayev
Teor. Veroyatnost. i Primenen., 1989, 34:1,  190–191
70. Andrei Nikolaevich Kolmogorov (25.IV.1903–20.X.1987): In Memoriam
A. N. Shiryayev
Teor. Veroyatnost. i Primenen., 1989, 34:1,  5–118
71. On the scientific heritage of A. N. Kolmogorov
A. N. Shiryaev
UMN, 1988, 43:6(264),  209–210
72. Book review: «Convergence of Stochastic Processes» D. Pollard
A. N. Shiryaev, Yu. A. Koshevnik
Teor. Veroyatnost. i Primenen., 1988, 33:1,  216–219
73. First World Congress of Bernoulli Society
A. N. Shiryaev
UMN, 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. Presman
Teor. Veroyatnost. i Primenen., 1987, 32:2,  417–418
75. 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
76. М. Metivier, J. Pellaumail «Stochastic Integration» (book review)
A. N. Širyaev
Teor. Veroyatnost. i Primenen., 1981, 26:2,  436–439
77. John Lamperti, Probability (A survey of the mathematical theory) (review)
A. N. Shiryaev
UMN, 1968, 23:2(140),  258–259
78. Letter to the Editor
A. N. Shiryaev
Probl. Peredachi Inf., 1967, 3:1,  86–87
79. 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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