01.01.05 (Probability theory and mathematical statistics)
Birth date:
12.10.1934
E-mail:
Keywords:
probability theory,
mathematical statistics,
stochastic processes,
financial mathematics,
and their applications.
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:
A. N. Shiryaev, “On optimum methods in quickest detection problems”, Theor. Probab. Appl., 8 (1963), 22–46
A. N. Shiryaev, “Stochastic Equations of Nonlinear Filtering of Markovian Jump Processes”, Problems Inform. Transmission, 2:3 (1966), 1–18
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
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.
G. Peskir, A. Shiryaev, Optimal stopping and free-boundary problems, Lectures Math. ETH Zürich, Birkhäuser Verlag, Basel, 2006 , xxii+500 pp.
A. A. Novikov, A. N. Shiryaev, N. E. Kordzahiya, “On parameter estimation of diffusion processes: sequential and
fixed sample size estimation revisited”, Teoriya veroyatn. i ee primen. (to appear)
2024
2.
A. N. Shiryaev, “Оn the 300th anniversary of the Russian Academy of Sciences”, Theory Probab. Appl., 69:2 (2024), 169–172
3.
A. A. Novikov, A. N. Shiryaev, N. E. Kordzahiya, Teor. Veroyatnost. i Primenen., 69:4 (to appear)
2024
4.
A. I. Bufetov, I. A. Ibragimov, M. A. Lifshits, A. V. Malyutin, F. V. Petrov, N. V. Smorodina, A. N. Shiryaev, Yu. V. Yakubovich, “In memory of A. M. Vershik (28.12.1933 – 14.02.2024)”, Theory Probab. Appl., 69:2 (2024), 331–335
2023
5.
N. E. Kordzakhia, A. A. Novikov, A. N. Shiryaev, “Kolmogorov's inequality for the maximum of the sum of random variables and its martingale analogues”, Theory Probab. Appl., 68:3 (2023), 457–472
2024
6.
E. A. Feinberg, A. N. Shiryaev, “On forward and backward Kolmogorov equations for purely jump Markov processes and their generalizations”, Theory Probab. Appl., 68:4 (2024), 643–656
2023
7.
A. N. Shiryaev, “On 120th anniversary of the birth of Andrey Nikolaevich Kolmogorov”, Theory Probab. Appl., 68:3 (2023), 339–341
8.
A. N. Shiryaev, “On 120th anniversary of the birth of Andrey Nikolaevich Kolmogorov”, Teor. Veroyatnost. i Primenen., 68:3 (2023)
9.
A. N. Shiryaev, Brounovskoe dvizhenie i vinerovskaya mera, v. 1, MTsNMO, Moskva, 2023 , 528 pp.
10.
A. N. Shiryaev, “Great scientist of Russia Andrey Nikolaevich Kolmogorov (to the 120th anniversary of birthday)”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2023, no. 6, 4–8
11.
A. A. Borovkov, Al. V. Bulinski, A. M. Vershik, D. Zaporozhets, A. S. Holevo, A. N. Shiryaev, “Ildar Abdullovich Ibragimov (on his ninetieth birthday)”, Russian Math. Surveys, 78:3 (2023), 573–583
2022
12.
Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev, “Sufficiency of Markov policies for continuous-time jump Markov decision processes”, Math. Oper. Res., 47:2 (2022), 1266–1286 , arXiv: 2003.01342;
Eugene Feinberg, Manasa Mandava, Albert N. Shiryaev, “Kolmogorov’s equations for jump Markov processes with unbounded jump rates”, Ann. Oper. Res., 317 (2022), 587–604;
V. V. Aleksandrov, S. B. Gashkov, D. V. Georgievskii, O. S. Dudakova, V. P. Karlikov, B. S. Kashin, G. M. Kobel'kov, M. D. Kovalev, V. V. Kozlov, R. M. Kolpakov, V. V. Kochergin, T. P. Lukashenko, A. S. Mishchenko, Yu. V. Nesterenko, R. I. Nigmatulin, N. P. Red'kin, V. A. Sadovnichii, I. N. Sergeev, A. T. Fomenko, A. V. Chashkin, V. N. Chubarikov, A. I. Shafarevich, A. N. Shiryaev, V. Ya. Shkadov, A. A. Shkalikov, “90 years since the birthday of Academician Oleg Borisovich Lupanov (02.06.1932 – 03.05.2006)”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2022, no. 3, 3–5
15.
A. N. Shiryaev, “On the bicentenary of the birth of P. L. Chebyshev, a great Russian mathematician”, Theory Probab. Appl., 66:4 (2022), 497–505
16.
E. A. Feinberg, A. N. Shiryaev, “Kolmogorov's equations for jump Markov processes and their applications to control problems”, Theory Probab. Appl., 66:4 (2022), 582–600
2021
17.
A. Shiryaev, Kvant, 2021, no. 5, 26
18.
P. A. Borodin, I. A. Ibragimov, B. S. Kashin, V. V. Kozlov, A. V. Kolesnikov, S. V. Konyagin, E. D. Kosov, O. G. Smolyanov, N. A. Tolmachev, D. V. Treshchev, A. V. Shaposhnikov, S. V. Shaposhnikov, A. N. Shiryaev, A. A. Shkalikov, “Vladimir Igorevich Bogachev (on his 60th birthday)”, Russian Math. Surveys, 76:6 (2021), 1149–1157
19.
V. V. Aleksandrov, S. B. Gashkov, D. V. Georgievskii, V. P. Karlikov, B. S. Kashin, G. M. Kobel'kov, V. V. Kozlov, T. P. Lukashenko, A. S. Mishchenko, Yu. V. Nesterenko, R. I. Nigmatulin, O. V. Popov, V. A. Sadovnichii, I. N. Sergeev, G. V. Fedorov, A. T. Fomenko, A. I. Shafarevich, A. N. Shiryaev, V. Ya. Shkadov, A. A. Shkalikov, “To 70-th anniversary of professor V. N. Chubarikov”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2021, no. 5, 69–71
20.
A. N. Shiryaev, Veroyatnost – 1, 7-e izd., MTsNMO, M., 2021 , 552 pp.
21.
A. N. Shiryaev, Veroyatnost – 2, 7-e izd., MTsNMO, M., 2021 , 416 pp.
2019
22.
A. N. Shiryaev, Stochastic Disorder Problems, Probab. Theory and Stoch. Modelling, 93, Springer, Cham, 2019 , xix+397 pp.
A. N. Shiryaev, “Svyshe 50 let vmeste s Yuriem Vasilevichem”, Kniga pamyati. Yurii Vasilevich Prokhorov, izd-vo “Soglasie”, M., 2019, 17–18
24.
A. N. Shiryaev, “Obnaruzhenie razladki”, Matematicheskaya sostavlyayuschaya, 2-e izd., rassh. i dop., eds. N. N. Andreev, S. P. Konovalov, N. M. Panyunin, Matematicheskie etyudy, M., 2019, 22https://book.etudes.ru/toc/disruption/
25.
A. N. Shiryaev, Probability, In 2 volumes. Translated from the fourth Russian edition by R. P. Boas and D. M. Chibisov. Previously published as a single-volume edition, Graduate Texts in Math., 3rd ed., Springer, Cham, 2019 , xxvii+834 pp.
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
2019
27.
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
2018
28.
A. I. Aptekarev, V. M. Buchstaber, V. A. Vassiliev, M. L. Gromov, Yu. S. Ilyashenko, B. S. Kashin, V. M. Keselman, V. V. Kozlov, M. L. Kontsevich, I. M. Krichever, N. G. Kruzhilin, S. K. Lando, Yu. I. Manin, G. A. Margulis, S. Yu. Nemirovski, S. P. Novikov, Yu. G. Reshetnyak, Ya. G. Sinai, S. P. Suetin, D. V. Treschev, D. B. Fuchs, A. G. Khovanskii, E. M. Chirka, A. S. Schwarz, A. N. Shiryaev, “Vladimir Antonovich Zorich (on his 80th birthday)”, Russian Math. Surveys, 73:5 (2018), 935–939
29.
G. G. Amosov, Al. V. Bulinski, An. V. Bulinski, V. M. Buchstaber, I. A. Ibragimov, V. P. Maslov, A. Ya. Helemskii, A. M. Chebotarev, M. E. Shirokov, A. N. Shiryaev, “Alexander Semenovich Holevo (on his 75th birthday)”, Russian Math. Surveys, 73:6 (2018), 1131–1136
2016
30.
A. N. Shiryaev, Osnovy stokhasticheskoi finansovoi matematiki, v. 1, Fakty. Modeli, MTsNMO, M., 2016 , 440 pp.
31.
A. N. Shiryaev, Osnovy stokhasticheskoi finansovoi matematiki, v. 2, Teoriya, MTsNMO, M., 2016 , 460 pp.
32.
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
2017
33.
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
2016
34.
A. N. Shiryaev, Stokhasticheskie zadachi o razladke, MTsNMO, M., 2016 , 392 pp.
2017
35.
Yu. M. Kabanov, A. N. Shiryaev, “Modern problems of financial mathematics”, Theory Probab. Appl., 61:1 (2017), 1–2
2015
36.
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
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.
Yu. M. Kabanov, A. N. Shiryaev, “Modern problems of financial mathematics”, Theory Probab. Appl., 60:4 (2016), 531–532
2015
40.
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
41.
M. I. Zelikin, A. O. Ivanov, B. S. Kashin, A. S. Mishchenko, Yu. V. Nesterenko, A. A. Oshemkov, F. Yu. Popelenskii, V. A. Sadovnichii, A. A. Tuzhilin, V. N. Chubarikov, A. I. Shafarevich, A. N. Shiryaev, “Academician Anatolii Timofeevich Fomenko”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2015, no. 6, 66–68
2014
42.
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
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
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
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
46.
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
47.
Ya. A. Lyulko, A. N. Shiryaev, “Sharp maximal inequalities for stochastic processes”, Proc. Steklov Inst. Math., 287:1 (2014), 155–173
2015
48.
M. Jeanblanc-Picqué, A. N. Shiryaev, “In memoriam of Marc Yor”, Theory Probab. Appl., 59:1 (2015), 180
2013
49.
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.
50.
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
2014
51.
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
2013
52.
A. Novikov, A. Shiryaev, “Remarks on moment inequalities and identities for martingales”, Statist. Probab. Lett., 83:4 (2013), 1260–1261
U. Çetin, A. Novikov, A. N. Shiryaev, “Bayesian sequential estimation of a drift of fractional Brownian motion”, Sequential Anal., 32:3 (2013), 288–296
M. V. Zhitlukhin, A. N. Shiryaev, “Baeyes disorder problems on filtered probability spaces”, Theory Probab. Appl., 57:3 (2013), 497–511
2012
58.
R. Dalang, A. N. Shiryaev, A quickest detection problem with an observation cost, Preprint, EPFL, Lausanne, 2012 , 39 pp.
59.
R. V. Ivanov, A. N. Shiryaev, “On duality principle for hedging strategies in diffusion models”, Theory Probab. Appl., 56:3 (2012), 376–402
2011
60.
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
I. Karatzas, A. N. Shiryaev, M. Shkolnikov, “On the one-sided Tanaka equation with drift”, Electronic Communications in Probability, 16 (2011), 664–677
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.
A. N. Shiryaev, M. A. Urusov, “Summer School in Stochastic Finance 2010”, TVP, 55:4 (2010), 825
69.
A. N. Shiryaev, V. V. Mazalov, “International Conference “Stochastical Optimal Stopping””, Teor. Veroyatnost. i Primenen., 55:4 (2010), 823–824
70.
A. N. Shiryaev, V. V. Ulyanov, “Russian-Japan symposium on stochastic analysis of the advanced statistical models”, Teor. Veroyatnost. i Primenen., 55:3 (2010), 602
2009
71.
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
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
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
E. Eberlein, A. Papapantoleon, A. N. Shiryaev, “On the duality principle in option pricing: semimartingale setting”, Finance Stoch., 12:2 (2008), 265–292
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
80.
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
81.
A. N. Shiryaev, “On Stochastic Models and Optimal Methods in the Quickest Detection Problems”, Theory Probab. Appl., 53:3 (2009), 385–401
82.
Yu. V. Prokhorov, A. N. Shiryaev, “Seventy-Five Years Since Publication of the Monograph by A. N. Kolmogorov”, Theory Probab. Appl., 53:2 (2009), 191–193
2007
83.
A. Novikov, A. Shiryaev, “On solution of the optimal stopping problem for processes with independent increments”, Stochastics, 79:3-4 (2007), 393–406
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.
2008
85.
A. N. Shiryaev, V. V. Mazalov, “Russian-Scandinavian symposium “Probability Theory and Applied Probability””, Theory Probab. Appl., 52:1 (2008), 178–179
2006
86.
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
G. Peskir, A. Shiryaev, Optimal stopping and free-boundary problems, Lectures Math. ETH Zürich, Birkhäuser Verlag, Basel, 2006 , xxii+500 pp.
88.
A. N. Shiryaev, “From “disorder” to nonlinear filtering and martingale theory”, Mathematical events of the twentieth century, Springer, Berlin, 2006, 371–397
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
2007
90.
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
91.
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, “On the 75th birthday of V. M. Zolotarev”, Theory Probab. Appl., 51:4 (2007), 680–682
92.
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, “To the 75th birthday of A. A. Borovkov”, Theory Probab. Appl., 51:2 (2007), 225–226
2005
93.
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
V. S. Korolyuk, Yu. I. Medvedev, Yu. V. Prokhorov, V. N. Sachkov, I. V. Sergienko, A. N. Shiryayev, A. V. Skorokhod, “About scientific research of Igor Nikolayevich Kovalenko”, Random Oper. Stochastic Equations, 13:2 (2005), 147–152
2006
95.
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, “Information on the Fourth “Student Kolmogorov olympiad on the theory of probability””, Theory Probab. Appl., 50:2 (2006), 348–350
2004
96.
A. N. Shiryaev, “A remark on the quickest detection problems”, Statist. Decisions, 22:1 (2004), 79–82
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
2003
98.
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.
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
2003
100.
A. N. Shiryaev, “Preface”, Funct. Anal. Appl., 37:4 (2003), 243
101.
A. N. Shiryaev, “On the defense work of A. N. Kolmogorov during World War II”, Mathematics and war (Karlskrona, 2002), Birkhäuser, Basel, 2003, 103–107
102.
A. N. Shiryaev, “A life in search of the truth (on the centenary of the birth of Andreĭ Nikolaevich Kolmogorov)”, Priroda, 2003, no. 4, 36–53
103.
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, “Sergei Sergeevich Demidov (on his 60th birthday)”, Russian Math. Surveys, 58:6 (2003), 1241–1244
2004
104.
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, “On the 80th Birthday of B. A. Sevastyanov”, Theory Probab. Appl., 48:4 (2004), 697–702
2002
105.
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
A. N. Shiryaev, A. S. Cherny, “Vector Stochastic Integrals and the Fundamental Theorems of Asset Pricing”, Proc. Steklov Inst. Math., 237 (2002), 6–49
2003
110.
Theory Probab. Appl., 47:3 (2003), 377–394
2002
111.
Proc. Steklov Inst. Math., 237 (2002), 281–292
112.
A. A. Borovkov, M. A. Lifshits, Ya. Yu. Nikitin, Yu. V. Prokhorov, V. N. Sudakov, A. N. Shiryaev, “Il'dar Abdullovich Ibragimov (on his 70th birthday)”, Russian Math. Surveys, 57:5 (2002), 1039–1043
113.
A. N. Shiryaev, “Preface”, Proc. Steklov Inst. Math., 237 (2002), 1–5
114.
Stokhasticheskaya finansovaya matematika, Sbornik statei, Trudy MIAN, 237, ed. A. N. Shiryaev, E. F. Mischenko, Nauka, MAIK «Nauka/Interperiodika», M., 2002 , 319 pp.
2001
115.
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.
116.
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.
117.
L. A. Shepp, A. N. Shiryaev, “The Russian option under conditions of a possible price “freeze””, Russian Math. Surveys, 56:1 (2001), 179–181
2002
118.
Theory Probab. Appl., 46:3 (2002), 522–528
119.
Theory Probab. Appl., 46:1 (2002), 167–170
2001
120.
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, “Lev Dmitrievich Meshalkin (obituary)”, Russian Math. Surveys, 56:3 (2001), 563–568
121.
G. Peshkir, A. N. Shiryaev, “Maximal inequalities for reflected Brownian motion with drift”, Theory Probab. Math. Statist., 2001, no. 63, 137–143 (2002)
2000
122.
G. Peskir, A. N. Shiryaev, “Sequential testing problems for Poisson processes”, Ann. Statist., 28:3 (2000), 837–859
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.
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
A. N. Shiryaev, “Andreĭ Nikolaevich Kolmogorov (April 25, 1903 to October 20, 1987). A biographical sketch of his life and creative paths”, Kolmogorov in perspective, Hist. Math., 20, Amer. Math. Soc., Providence, RI, 2000, 1–87
2001
127.
A. N. Shiryaev, “Book review: Bertoin G. “Levy Processes”; Sato K.-I. “Levy Processes and Infinitely Divisible Distributions””, Theory Probab. Appl., 45:5 (2001), 725–730
1999
128.
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.
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
130.
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
131.
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
1998
132.
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
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
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
1997
135.
A. N. Shiryaev, V. G. Spokoiny, “On sequential estimation of an autoregressive parameter”, Stochastics Stochastics Rep., 60:3-4 (1997), 219–240
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
138.
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
139.
A. N. Shiryaev, “Probability theory and B. V. Gnedenko”, Fundam. Prikl. Mat., 2:4 (1996), 955
140.
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
141.
A. N. Shiryaev, Probability, Graduate Texts in Mathematics, 95, Second edition, Springer-Verlag, New York, 1996 , xvi+623 pp.
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, “Boris Vladimirovich Gnedenko (1.I.1912-27.XII.1995)”, Theory Probab. Appl., 41:2 (1997), 326–327
1996
143.
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. Kholevo, A. N. Shiryaev, “Roland Lvovich Dobrushin (20.VII.1929–12.XI.1995)”, TVP, 41:1 (1996), 164–169; 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, “Roland L'vovich Dobrushin (20 July 1919 – 12 November 1995)”, Theory Probab. Appl., 41:1 (1997), 132–136
1995
144.
H. Föllmer, Ph. Protter, A. N. Shiryayev, “Quadratic covariation and an extension of Itô's formula”, Bernoulli, 1:1-2 (1995), 149–169
G. Peškir, A. N. Shiryaev, “The Khintchine inequalities and martingale expanding sphere of their action”, Russian Math. Surveys, 50:5 (1995), 849–904
146.
M. Jeanblanc-Picqué, A. N. Shiryaev, “Optimization of the flow of dividends”, Russian Math. Surveys, 50:2 (1995), 257–277
1994
147.
J. Jacod, A. N. Shiryaev, Limit theorems for stochastic processes, v. 2, Probability Theory and Mathematical Statistics, 48, Nauka, Fizmatlit, Moscow, 1994 , 368 pp.
148.
J. Jacod, A. N. Shiryaev, Limit theorems for stochastic processes, v. 1, Probability Theory and Mathematical Statistics, 47, Nauka, Fizmatlit, Moscow, 1994 , 544 pp.
149.
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
150.
L. A. Shepp, A. N. Shiryaev, “A new look at pricing of the “Russian Option””, Theory Probab. Appl., 39:1 (1994), 103–119
151.
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
152.
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
153.
A. N. Shiryaev, “On some basic concepts and some basic stochastic models used in finance”, Theory Probab. Appl., 39:1 (1994), 1–13
1993
154.
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
155.
L. Shepp, A. N. Shiryaev, “The Russian option: reduced regret”, Ann. Appl. Probab., 3:3 (1993), 631–640
A. A. Novikov, A. N. Shiryaev, “Foreword”, Statistics and control of stochastic processes, Trudy Mat. Inst. Steklov., 202, TVP, Moscow, 1993, 3
1994
157.
V. G. Spokoiny, A. N. Shiryaev, “On the concept of $\lambda$-convergence of statistical experiments”, Proc. Steklov Inst. Math., 202 (1994), 225–228
1993
158.
A. N. Shiryaev, “Andreĭ Nikolaevich Kolmogorov (April 25, 1903–October 20, 1987). A biographical sketch of his life and creative path”, Reminiscences about Kolmogorov, Nauka, Fizmatlit, Moscow, 1993, 9–143
159.
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, “Memorial: Nikolai Nikolaevitch Chentsov”, Theory Probab. Appl., 38:3 (1993), 506–515
160.
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, “Nikolai Nikolaevich Chentsov (obituary)”, Russian Math. Surveys, 48:2 (1993), 161–166
161.
Statistika i upravlenie sluchainymi protsessami, Tr. MIAN, 202, ed. A. A. Novikov, A. N. Shiryaev, E. F. Mischenko, TVP, M., 1993 , 304 pp.
1992
162.
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
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
1992
164.
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
1993
165.
A. N. Shiryaev, “In Celebration of the 80th Birthday of Boris Vladimirovitch Gnedenko (An Interview)”, Theory Probab. Appl., 37:4 (1993), 674–691
166.
A. N. Shiryaev, P. Embrechts, “Information Bulletin №3 on the Soviet Committee of the Bernoulli Society”, Theory Probab. Appl., 37:1 (1993), 194–205
167.
A. N. Shiryaev, “2nd World Congress of the Bernoulli Society”, Theory Probab. Appl., 37:1 (1993), 1–2
1991
168.
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
169.
A. N. Shiryaev, “Everything about Kolmogorov was unusual …”, CWI Quarterly, 4:3 (1991), 189–193
170.
A. N. Shiryaev, “Everything about Kolmogorov was unusual …”, Statist. Sci., 6:3 (1991), 313–318
171.
A. N. Shiryaev, “Information bulletin №1 of the Soviet Committee of the Bernoulli Society”, Theory Probab. Appl., 36:1 (1991), 201–206
1990
172.
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
1989
173.
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
174.
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
175.
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.
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.
177.
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
178.
A. N. Shiryayev, “Andrei Nikolaevich Kolmogorov (25.IV.1903–20.X.1987): In Memoriam”, Theory Probab. Appl., 34:1 (1989), 1–99
179.
A. N. Shiryaev, Veroyatnost, Second edition, Nauka, Moscow, 1989 , 640 pp.
180.
A. N. Shiryaev, “Kolmogorov: life and creative activities”, Ann. Probab., 17:3 (1989), 866–944
A. N. Shiryaev, “On Bernoulli Society”, Theory Probab. Appl., 34:2 (1989), 378–380
1988
182.
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
1990
183.
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
1988
184.
A. N. Shiryaev, “On the scientific heritage of A. N. Kolmogorov”, Russian Math. Surveys, 43:6 (1988), 211–212
185.
A. N. Širjaev, Wahrscheinlichkeit, Hochschulbücher für Mathematik [University Books for Mathematics], 91, VEB Deutscher Verlag der Wissenschaften, Berlin, 1988 , 592 pp. (German)
186.
A. N. Shiryaev, Yu. A. Koshevnik, “Book review: «Convergence of Stochastic Processes» D. Pollard”, Theory Probab. Appl., 33:1 (1988), 201–203
1987
187.
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.
A. N. Shiryaev, “First World Congress of Bernoulli Society”, Uspekhi Mat. Nauk, 42:6(258) (1987), 203–205
189.
A. N. Shiryaev, A. A. Novikov, E. L. Presman, “First World Congress of Bernoulli Society for Mathematical Statistics and Probability (continuation)”, Theory Probab. Appl., 32:2 (1987), 384–385
190.
A. N. Shiryaev, A. A. Novikov, E. L. Presman, “First World Congress of Bernoulli Society for Mathematical Statistics and Probability”, Theory Probab. Appl., 32:2 (1987), 199–200
1986
191.
R. Sh. Liptser, A. N. Shiryaev, Martingale theory, Probability Theory and Mathematical Statistics, Nauka, Moscow, 1986 , 512 pp.
192.
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
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.
194.
R. Sh. Liptser, A. N. Shiryaev, “On contiguity of probability measures corresponding to semimartingales”, Anal. Math., 11:2 (1985), 93–124
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
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
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
200.
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
201.
R. Š. Lipcer, A. N. Širyaev, “On the invariance principle for semimartingales with «nonclassical» assumptions”, Theory Probab. Appl., 28:1 (1984), 1–34
202.
A. A. Novikov, A. N. Širyaev, “IV Soviet-Japanese symposium on probability theory and mathematical statistics”, Theory Probab. Appl., 28:1 (1984), 208–209
1982
203.
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
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
205.
R. Sh. Liptser, A. N. Shiryaev, “O skorosti skhodimosti v tsentralnoi predelnoi teoreme dlya semimartingalov”, TVP, 27:1 (1982), 3–14
R. Sz. Lipcer, A. N. Sziriajew, Statistics of random processes, Nonlinear filtration and related questions, Państwowe Wydawnictwo Naukowe (PWN), Warsaw, 1981 , 680 pp. (Polish)
1983
208.
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
1981
209.
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
210.
A. N. Shiryaev, “Retsenziya na knigu M. Metivier, J. Pellaumail «Stochastic Integration»”, TVP, 26:2 (1981), 436–439; A. N. Širyaev, “M. Metivier, J. Pellaumail «Stochastic Integration» (book review)”, Theory Probab. Appl., 26:2 (1982), 424–431
1980
211.
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
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
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
214.
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
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
216.
R. Š. Lipčer, A. N. Širyaev, “A functional central limit theorem for semimartingales”, Theory Probab. Appl., 25:4 (1981), 667–688
1980
217.
A. N. Širjaev, Probability, Nauka, Moscow, 1980 , 576 pp.
1979
218.
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)
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
1978
221.
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
222.
R. S. Liptser, A. N. Shiryayev, Statistics of random processes. II: Applications, Applications of Mathematics, 6, Springer-Verlag, New York, 1978 , x+339 pp.
223.
A. N. Shiryayev, Optimal stopping rules, Applications of Mathematics, 8, Springer-Verlag, New York, 1978 , x+217 pp.
1979
224.
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
1977
225.
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)
226.
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.
227.
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
1976
228.
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
A. N. Shiryaev, Statistical sequential analysis. Optimal stopping rules, Second edition, revised, Nauka, Moscow, 1976 , 272 pp.
1975
230.
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
231.
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
1974
232.
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)
233.
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.
234.
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
1973
235.
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
A. N. Širjaev, Statistical sequential analysis, Optimal stopping rules, Translations of Mathematical Monographs, 38, American Mathematical Society, Providence, R.I., 1973 , iv+174 pp.
237.
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
1972
238.
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
239.
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
1971
240.
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)
241.
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
1969
242.
A. N. Shiryaev, Statistical sequential analysis: Optimal stopping rules, Nauka, Moscow, 1969 , 231 pp.
243.
A. N. Shiryaev, “Optimal stopping rules for Markov processes with continuous time (With discussion)”, Bull. Inst. Internat. Statist., 43, book 1 (1969), 395–408
244.
R. Sh. Liptser, A. N. Shiryaev, “On the density of probability measures of diffusion-type processes”, Math. USSR-Izv., 3:5 (1969), 1055–1066
245.
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
1968
246.
R. Sh. Liptser, A. N. Shiryaev, “Nonlinear filtration of diffusion Markov processes”, Proc. Steklov Inst. Math., 104 (1968), 163–218
247.
A. N. Shiryaev, “Investigations by statistical sequential analysis”, Math. Notes, 3:6 (1968), 473–482
248.
B. I. Grigelionis, A. N. Shiryaev, “Controllable Markov Processes and Stefan's Problem”, Problems Inform. Transmission, 4:1 (1968), 47–57
249.
R. Sh. Liptser, A. N. Shiryaev, “Nonlinear interpolation of components of diffusion Markov processes”, Theory Probab. Appl., 13:4 (1968), 564–583
250.
R. Sh. Liptser, A. N. Shiryaev, “Extrapolation of multidimensional Markov processes from incomplete data”, Theory Probab. Appl., 13:1 (1968), 15–38
251.
A. N. Shiryaev, “John Lamperti, Probability (A survey of the mathematical theory) (review)”, Uspekhi Mat. Nauk, 23:2(140) (1968), 258–259
1967
252.
A. N. Shiryaev, “Two problems of sequential analysis”, Cybernetics, 3:2 (1967), 63–69 (1969)
253.
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
254.
A. N. Shiryaev, “Letter to the Editor”, Problems Inform. Transmission, 3:1 (1967), 70–71
255.
A. N. Shiryaev, “Letter to the Editor”, Theory Probab. Appl., 12:2 (1967), 342
1966
256.
A. N. Shiryaev, “Stochastic Equations of Nonlinear Filtering of Markovian Jump Processes”, Problems Inform. Transmission, 2:3 (1966), 1–18
257.
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
1965
258.
A. N. Širjaev, “Sequential analysis and controlled random processes (discrete time)”, Kibernetika (Kiev), 1965:3 (1965), 1–24
259.
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
260.
A. N. Shiryaev, “Some explicit formulae in a problem on “disorder””, Theory Probab. Appl., 10:2 (1965), 348–354
261.
R. Š. Lipcer, A. N. Širyaev, “On a Bayes Problem of Sequential Search in Diffusion Approximation”, Theory Probab. Appl., 10:1 (1965), 178–186
1964
262.
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
263.
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
264.
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
265.
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
266.
A. N. Širyaev, “On Markov Sufficient Statistics in Nonadditive Bayes Problems of Sequential Analysis”, Theory Probab. Appl., 9:4 (1964), 604–618
1963
267.
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
268.
A. N. Shiryaev, “On Conditions for Ergodicity of Stationary Processes in Terms of Higher Order Moments”, Theory Probab. Appl., 8:4 (1963), 436–439
269.
A. N. Shiryaev, “On the Detection of Disorder in a Manufacturing Process. II”, Theory Probab. Appl., 8:4 (1963), 402–413
270.
A. N. Shiryaev, “On optimum methods in quickest detection problems”, Theor. Probab. Appl., 8 (1963), 22–46
271.
A. N. Shiryaev, “On Discovering Disorder in a Manufacturing Process. I”, Theory Probab. Appl., 8:3 (1963), 247–265
1962
272.
A. N. Shiryaev, “Retsenziya na knigu E. L. Lemann “Proverka statisticheskikh gipotez””, TVP, 7:2 (1962), 240–242
1961
273.
A. N. Shiryaev, “The problem of the most rapid detection of a disturbance in a stationary process”, Sov. Math. Dokl., 2 (1961), 795–799
274.
A. N. Shiryaev, “Obnaruzhenie spontanno voznikayuschikh effektov”, Dokl. AN SSSR, 138 (1961), 799–801
Opening Valery Kozlov, Dmitry Treschev, Albert Shiryaev International Conference "Theory of Probability and Its Applications: P. L. Chebyshev – 200" (The 6th International Conference on Stochastic Methods) May 17, 2021 10:30
12.
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
13.
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
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
19.
Leonhard Euler and Probability Theory A. N. Shiryaev Principle Seminar of the Department of Probability Theory, Moscow State University February 24, 2016 16:45
Opening A. N. Shiryaev Workshop A. Novikov-70 «Stochastic Methods in Finance and Statistics» December 28, 2015 09:00
22.
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
23.
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
24.
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
25.
Randomness in probability A. N. Shiryaev Colloquium of Steklov Mathematical Institute of Russian Academy of Sciences November 6, 2014 16:00
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
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
Stochastic financial mathematics, Collected papers, Trudy Mat. Inst. Steklova, 237, ed. A. N. Shiryaev, E. F. Mishchenko, 2002, 319 с. http://mi.mathnet.ru/book250
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
2024
Contact us: