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Shiryaev Albert Nikolaevich
(recent publications)
| by years | scientific publications | by types |



   2017
1. Eugene Feinberg, Manasa Mandava, Albert N. Shiryaev, “Kolmogorov’s equations for jump Markov processes with unbounded jump rates”, Ann. Oper. Res., 2017, 1–18 (Published online)  mathnet  crossref  scopus

   2016
2. A. N. Shiryaev, Osnovy stokhasticheskoi finansovoi matematiki, v. 1, Fakty. Modeli, MTsNMO, M., 2016 , 440 pp.
3. A. N. Shiryaev, Osnovy stokhasticheskoi finansovoi matematiki, v. 2, Teoriya, MTsNMO, M., 2016 , 460 pp.
4. 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  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 1)  elib  elib  scopus (cited: 1)
5. Yu. M. Kabanov, A. N. Shiryaev, “Sovremennye problemy finansovoi matematiki”, Teoriya veroyatn. i ee primen., 61:1 (2016), 3–4  mathnet  crossref  zmath  elib; Yu. M. Kabanov, A. N. Shiryaev, “Modern problems of financial mathematics”, Theory Probab. Appl., 61:1 (2017), 1–2  crossref  zmath  isi  scopus
6. A. N. Shiryaev, “On mini-max optimality of CUSUM statistics in change point detection problem for Brownian motion”, Teor. Veroyatnost. i Primenen., 61:4 (2016), 837–844  mathnet  crossref  elib
7. A. N. Shiryaev, Stokhasticheskie zadachi o razladke, MTsNMO, M., 2016 , 392 pp.

   2015
8. 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  mathnet (cited: 1)  crossref  mathscinet  isi (cited: 1)  elib (cited: 2)  scopus
9. R. C. Dalang, A. N. Shiryaev, “A quickest detection problem with an observation cost”, Ann. Appl. Probab., 25:3 (2015), 1475–1512  mathnet  crossref  mathscinet  zmath  isi  elib  scopus
10. 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.  crossref  mathscinet  zmath
11. Yu. M. Kabanov, A. N. Shiryaev, “Sovremennye problemy finansovoi matematiki”, TVP, 60:4 (2015), 625–627  mathnet  crossref  elib; Yu. M. Kabanov, A. N. Shiryaev, “Modern problems of financial mathematics”, Theory Probab. Appl., 60:4 (2016), 531–532  crossref  isi  scopus
12. 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  elib

   2014
13. 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  mathnet  crossref  mathscinet (cited: 6)  zmath  isi (cited: 7)  scopus (cited: 6)
14. M. Zhanblan-Pike, A. N. Shiryaev, “Pamyati Marka Iora”, TVP, 59:1 (2014), 205–206  mathnet  crossref  elib; M. Jeanblanc-Picqué, A. N. Shiryaev, “In memoriam of Marc Yor”, Theory Probab. Appl., 59:1 (2015), 180  crossref  isi  scopus
15. A. Shiryaev, E. Burnaev, M. Markov, A. Panchekha, “Portfolio choice and cross-sectional skewness of hedge funds returns”, Quant. Finance, 2014 (to appear)
16. 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  mathnet  crossref  isi (cited: 1)  scopus (cited: 2)
17. 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  mathnet  crossref  mathscinet  zmath  isi (cited: 1)  scopus (cited: 1)
18. 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  mathnet  crossref  crossref  isi  elib  elib  scopus
19. 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  mathnet  crossref  crossref  isi  elib  elib  scopus
20. Ya. A. Lyulko, A. N. Shiryaev, “Sharp maximal inequalities for stochastic processes”, Proc. Steklov Inst. Math., 287:1 (2014), 155–173  mathnet  crossref  crossref  isi (cited: 1)  elib  elib  scopus (cited: 1)

   2013
21. 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.
22. 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  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi  elib  elib  scopus
23. M. V. Zhitlukhin, A. N. Shiryaev, “Zadachi ob optimalnoi ostanovke dlya brounovskogo dvizheniya s razladkoi na otrezke”, TVP, 58:1 (2013), 193–200  mathnet  crossref  zmath  elib; 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  crossref  zmath  isi  elib  scopus
24. A. Novikov, A. Shiryaev, “Remarks on moment inequalities and identities for martingales”, Statist. Probab. Lett., 83:4 (2013), 1260–1261  mathnet  crossref  mathscinet  zmath  isi  elib  scopus
25. U. Çetin, A. Novikov, A. N. Shiryaev, “Bayesian sequential estimation of a drift of fractional Brownian motion”, Sequential Anal., 32:3 (2013), 288–296  mathnet  crossref  mathscinet  zmath  isi (cited: 5)  elib (cited: 3)  scopus (cited: 5)
26. Yu. V. Prokhorov, A. N. Shiryaev, A. D. Manita, “K stoletiyu so dnya rozhdeniya B. V. Gnedenko”, TVP, 58:1 (2013), 3–6  mathnet  crossref  zmath; Yu. V. Prokhorov, A. N. Shiryaev, A. D. Manita, “On the 100th Birthday of B. V. Gnedenko”, Theory Probab. Appl., 58:1 (2014), 1–3  crossref  zmath  isi
27. P. V. Gapeev, A. N. Shiryaev, “Bayesian quickest detection problems for some diffusion processes”, Adv. in Appl. Probab., 45:1 (2013), 164–185  mathnet  crossref  mathscinet (cited: 2)  zmath  isi (cited: 3)  scopus (cited: 5)

   2012
28. A. N. Shiryaev, Problems in probability, Problem Books in Math., Springer, New York, 2012 , xii+427 pp.  crossref  mathscinet (cited: 4)  zmath
29. M. V. Zhitlukhin, A. N. Shiryaev, “Baiesovskie zadachi o razladke na filtrovannykh veroyatnostnykh prostranstvakh”, TVP, 57:3 (2012), 453–470  mathnet (cited: 5)  crossref  elib (cited: 1); M. V. Zhitlukhin, A. N. Shiryaev, “Baeyes disorder problems on filtered probability spaces”, Theory Probab. Appl., 57:3 (2013), 497–511  crossref  isi (cited: 4)  elib (cited: 4)  scopus (cited: 7)
30. R. Dalang, A. N. Shiryaev, A quickest detection problem with an observation cost, Preprint, EPFL, Lausanne, 2012 , 39 pp.

   2011
31. I. A. Ibragimov, Yu. V. Prokhorov, A. N. Shiryaev, “Pamyati A. V. Skorokhoda”, TVP, 56:1 (2011), 140–144  mathnet  crossref  mathscinet  zmath  elib; I. A. Ibragimov, Yu. V. Prokhorov, A. N. Shiryaev, “To A. V. Skorokhod's memory”, Theory Probab. Appl., 56:1 (2012), 116–119  crossref  mathscinet  zmath  isi
32. R. V. Ivanov, A. N. Shiryaev, “O printsipe dualnosti dlya khedzhiruyuschikh strategii v diffuzionnykh modelyakh”, TVP, 56:3 (2011), 417–448  mathnet (cited: 1)  crossref  mathscinet  elib; R. V. Ivanov, A. N. Shiryaev, “On duality principle for hedging strategies in diffusion models”, Theory Probab. Appl., 56:3 (2012), 376–402  crossref  mathscinet  isi  elib  scopus
33. 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  crossref  mathscinet (cited: 3)  zmath
34. P. V. Gapeev, A. N. Shiryaev, “On the sequential testing problem for some diffusion processes”, Stochastics, 83:4-6 (2011), 519–535  mathscinet (cited: 5)  zmath  isi (cited: 9)  elib (cited: 10)  scopus (cited: 12)
35. I. Karatzas, A. N. Shiryaev, M. Shkolnikov, “On the one-sided Tanaka equation with drift”, Electronic Communications in Probability, 16 (2011), 664–677  crossref  mathscinet (cited: 5)  zmath  isi (cited: 5)  scopus (cited: 6)

   2010
36. A. N. Shiryaev, Teor. Veroyatnost. i Primenen., 55:3 (2010), 621  mathnet  crossref  elib
37. A. N. Shiryaev, M. A. Urusov, “Summer School in Stochastic Finance 2010”, TVP, 55:4 (2010), 825  mathnet  crossref
38. A. N. Shiryaev, V. V. Mazalov, “International Conference “Stochastical Optimal Stopping””, Teor. Veroyatnost. i Primenen., 55:4 (2010), 823–824  mathnet  crossref
39. 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  mathnet  crossref  elib
40. A. N. Shiryaev, “Author's response”, Sequential Anal., 29:4 (2010), 434–443  crossref  mathscinet  zmath  elib  scopus
41. A. N. Shiryaev, “Quickest detection problems: fifty years later”, Sequential Anal., 29:4 (2010), 345–385  crossref  mathscinet (cited: 3)  zmath  elib (cited: 16)  scopus (cited: 23)
42. 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.  crossref  mathscinet (cited: 21)  zmath


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