Shiri︠a︡ev, Alʹbert NikolaevichOverview
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Most widely held works by
Alʹbert Nikolaevich Shiri︠a︡ev
Essentials of stochastic finance facts, models, theory
by Alʹbert Nikolaevich Shiri︠a︡ev
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36 editions published between 1998 and 2012 in English and held by 1,231 WorldCat member libraries worldwide This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks
Optimal stopping rules
by Alʹbert Nikolaevich Shiri︠a︡ev
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42 editions published between 1977 and 2008 in English and Undetermined and held by 925 WorldCat member libraries worldwide Although three decades have passed since first publication of this book reprinted now as a result of popular demand, the content remains uptodate and interesting for many researchers as is shown by the many references to it in current publications. The "ground floor" of Optimal Stopping Theory was constructed by A.Wald in his sequential analysis in connection with the testing of statistical hypotheses by nontraditional (sequential) methods. It was later discovered that these methods have, in idea, a close connection to the general theory of stochastic optimization for random processes. The area of application of the Optimal Stopping Theory is very broad. It is sufficient at this point to emphasise that its methods are well tailored to the study of American (type) options (in mathematics of finance and financial engineering), where a buyer has the freedom to exercise an option at any stopping time. In this book, the general theory of the construction of optimal stopping policies is developed for the case of Markov processes in discrete and continuous time. One chapter is devoted specially to the applications that address problems of the testing of statistical hypotheses, and quickest detection of the time of change of the probability characteristics of the observable processes. The author, A.N.Shiryaev, is one of the leading experts of the field and gives an authoritative treatment of a subject that, 30 years after original publication of this book, is proving increasingly important
Probability
by Alʹbert Nikolaevich Shiri︠a︡ev
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24 editions published between 1984 and 2010 in 3 languages and held by 887 WorldCat member libraries worldwide This new edition contains substantial revisions and updated references. The reader will find a deeper study of topics such as the distance between probability measures, metrization of weak convergence, and contiguity of probability measures. Proofs for a number of some important results which were merely stated in the first edition have been added. The author has included new material on the probability of large deviations, on the central limit theorem for sums of dependent random variables, and on a discrete version of Ito's formula
Statistics of random processes
by R. Sh Lipt︠s︡er
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36 editions published between 1977 and 2010 in English and Undetermined and held by 717 WorldCat member libraries worldwide The subject of these two volumes is nonlinear filtering (prediction and smoothing) theory and its application to the problem of optimal estimation, control with incomplete data, information theory, and sequential testing of hypothesis. The required mathematical background is presented in the first volume: the theory of martingales, stochastic differential equations, the absolute continuity of probability measures for diffusion and Ito processes, elements of stochastic calculus for counting processes. The book is not only addressed to mathematicians but should also serve the interests of other scientists who apply probabilistic and statistical methods in their work. The theory of martingales presented in the book has an independent interest in connection with problems from financial mathematics. In the second edition, the authors have made numerous corrections, updating every chapter, adding two new subsections devoted to the Kalman filter under wrong initial conditions, as well as a new chapter devoted to asymptotically optimal filtering under diffusion approximation. Moreover, in each chapter a comment is added about the progress of recent years
Limit theorems for stochastic processes
by Jean Jacod
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18 editions published between 1987 and 2011 in English and held by 685 WorldCat member libraries worldwide Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochastic integrals. Apart from a few exceptions essentially concerning diffusion processes, it is only recently that the relation between the two theories has been thoroughly studied. The authors of this Grundlehren volume, two of the international leaders in the field, propose a systematic exposition of convergence in law for stochastic processes, from the point of view of semimartingale theory, with emphasis on results that are useful for mathematical theory and mathematical statistics. This leads them to develop in detail some particularly useful parts of the general theory of stochastic processes, such as martingale problems, and absolute continuity or contiguity results. The book contains an introduction to the theory of martingales and semimartingales, random measures stochastic integrales, Skorokhod topology, etc., as well as a large number of results which have never appeared in book form, and some entirely new results. It should be useful to the professional probabilist or mathematical statistician, and of interest also to graduate students
Stochastic finance
by Alʹbert Nikolaevich Shiri︠a︡ev
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18 editions published between 2005 and 2006 in English and held by 483 WorldCat member libraries worldwide "Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the hightech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques. The essays in Stochastic Finance describe many of these techniques. This book is intended for experts in mathematics, statistics, mathematical finance, and economics."BOOK JACKET
From stochastic calculus to mathematical finance the Shiryaev Festschrift
by Yuri Kabanov
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6 editions published in 2006 in English and held by 428 WorldCat member libraries worldwide Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, coauthors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topicsrange from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev's works is included. The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the bookamenable and attractivefor PhD students and young researchers
Problems in probability
by Alʹbert Nikolaevich Shiri︠a︡ev
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12 editions published in 2012 in English and held by 381 WorldCat member libraries worldwide Problems in Probability comprises one of the most comprehensive, nearly encyclopedic, collections of problems and exercises in probability theory. Albert Shiryaev has skillfully created, collected, and compiled the exercises in this text over the course of many years while working on topics which interested him the most. A substantial number of the exercises resulted from diverse sources such as textbooks, lecture notes, exercise manuals, monographs, and discussions that took place during special seminars for graduate and undergraduate students. Many problems contain helpful hints and other relevant comments and a portion of the material covers some important applications from optimal control and mathematical finance. Readers of diverse backgroundsfrom students to researcherswill find a great deal of value in this book and can treat the work as an exercise manual, a handbook, or as a supplementary text to a course in probability theory, control, and mathematical finance. The problems and exercises in this book vary in nature and degree of difficulty. Some problems are meant to test the reader's basic understanding, others are of mediumtohigh degrees of difficulty and require more creative thinking. Other problems are meant to develop additional theoretical concepts and tools or to familiarize the reader with various facts that are not necessarily covered in mainstream texts. Additional problems are related to the passage from random walk to Brownian motions and Brownian bridges. The appendix contains a summary of the main results, notation and terminology that are used throughout the book. It also contains additional material from combinatorics, potential theory and Markov chainssubjects that are not covered in the book, but are nevertheless needed for many of the exercises included here
Optimal stopping and freeboundary problems
by G Peskir
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21 editions published in 2006 in English and German and held by 342 WorldCat member libraries worldwide Covers a connection between optimal stopping and freeboundary problems. This book uses minimal tools and focuses on key examples. It exposes the general theory of optimal stopping, at its basic principles in both discrete and continuous time. It is useful for graduate and postgraduate students, researchers, and practitioners
Statistical sequential analysis; optimal stopping rules
by Alʹbert Nikolaevich Shiri︠a︡ev
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8 editions published in 1973 in English and Undetermined and held by 321 WorldCat member libraries worldwide Markov times and random processes; Optimal stopping of Markov random sequences; Optimal stopping of markov random processes; Some applications to problems in mathematical statistics
Prokhorov and contemporary probability theory in honor of Yuri V. Prokhorov
by Alʹbert Nikolaevich Shiri︠a︡ev
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6 editions published between 2012 and 2013 in English and held by 275 WorldCat member libraries worldwide The role of Yuri Vasilyevich Prokhorov as a prominent mathematician and leading expert in the theory of probability is well known. Even early in his career he obtained substantial results on the validity of the strong law of large numbers and on the estimates (bounds) of the rates of convergence, some of which are the best possible. His findings on limit theorems in metric spaces and particularly functional limit theorems are of exceptional importance. Y.V. Prokhorov developed an original approach to the proof of functional limit theorems, based on the weak convergence of finite dimensional di
Probability theory
by I︠U︡. V Prokhorov
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9 editions published in 1998 in English and held by 249 WorldCat member libraries worldwide This volume of the Encyclopaedia is a survey of stochastic calculus which has become an increasingly important part of probability. The topics covered include Brownian motion, the Ito integral, stochastic differential equations and Malliavin calculus, the general theory of random processes and martingale theory. The five authors are wellknown experts in the field. The first chapter of the book is an introduction which treats Brownian motion and describes the developments which lead to the definition of Ito's integral. The book addresses graduate students and researchers in probability theory and mathematical statistics and will also be used by physicists and engineers who need to apply stochastic methods
Stochastic optimization : proceedings of the international conference, Kiev, 1984
by V. I Arkin
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6 editions published between 1985 and 1986 in English and held by 207 WorldCat member libraries worldwide
Statistics and control of stochastic processes
by Steklov Seminar
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3 editions published in 1985 in English and held by 195 WorldCat member libraries worldwide
Contiguity and the statistical invariance principle
by P. E Greenwood
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5 editions published between 1985 and 1992 in English and held by 179 WorldCat member libraries worldwide
Theory of martingales
by R. Sh Lipt︠s︡er
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4 editions published between 1986 and 1989 in English and held by 176 WorldCat member libraries worldwide
Statistical experiments and decisions : asymptotic theory
by Alʹbert Nikolaevich Shiri︠a︡ev
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7 editions published in 2000 in English and held by 147 WorldCat member libraries worldwide This volume provides an exposition of some fundamental aspects of the asymptotic theory of statistical experiments. The most important of them is "how to construct asymptotically optimal decisions if we know the structure of optimal decisions for the limit experiment"
Statistics and control of random processes
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3 editions published between 1994 and 1995 in English and held by 123 WorldCat member libraries worldwide
Change of time and change of measure
by O. E BarndorffNielsen
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5 editions published in 2010 in English and held by 114 WorldCat member libraries worldwide A comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results
Wahrscheinlichkeit
by Alʹbert Nikolaevich Shiri︠a︡ev
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7 editions published in 1988 in German and held by 75 WorldCat member libraries worldwide more
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Associated Subjects
Asymptotic expansions Boundary value problems Business mathematics Combinatorial analysis Computer engineering Continuity Control theory Differential equations, Partial Distribution (Probability theory) Economics Economics, Mathematical Engineering Experimental design Finance FinanceMathematical models Financial engineering InvestmentsMathematics Limit theorems (Probability theory) Martingales (Mathematics) Mathematical optimization Mathematical statistics Mathematics Measure theory Nonlinear integral equations Optimal stopping (Mathematical statistics) Probabilities Quantum theory Semimartingales (Mathematics) Sequential analysis Statistical decision Statistics Stochastic analysis Stochastic processes

Alternative Names
Chiriaev Albert Nikolaevitch 1934....
Shiriaev, A. N. 1934
Shiri︠a︡ev, A. N. (Alʹbert Nikolaevich)
Shiri︠a︡ev, A. N. (Alʹbert Nikolaevich), 1934
Shiriaev, Al'bert N. 1934
Shiri︠a︡ev, Alʹbert Nikolaevich
Shiri︠a︡ev, Alʹbert Nikolaevich, 1934
Šhirjaev, A. N. 1934
Shiryaev, A. N.
Shiryaev, A.N., 1934
Shiryaev, Albert.
Shiryaev, Albert 1934
Shiryaev, Albert N.
Shiryaev, Albert N. 1934
Shiryaev Albert Nicolaevich 1934....
Shiryaev, Albert Nikolaevich 1934
Shiryayev, A. N.
Shiryayev, A.N., 1934
Shiryayev, Albert N. 1934
Shiryayev, Albert Nikolaevich
Shiryayev Albert Nikolaevich 1934....
Shyriaev, A.N. (Albert Nicolaevitch)
Shyriaev, Albert N. 1934
Širâev, A. N.
Širâev, Alʹbert Nikolaevič, 1934....
Širjaev, A. N.
Širjaev, A. N. 1934
Širjaev, Albert
Širjaev, Al'bert N. 1934
Širjaev, Al'bert Nikolaevič
Širjaev, Al'bert Nikolaevič 1934
Širjaev, Al'bert Nikolaevič. [t]
Širjajev, Alʹbert Nikolaevič, 1934
Sjirjajew, 1934
Sziriajew, A. N.
Ширяев, А. Н. (Альберт Николаевич)
Ширяев, Альберт Николаевич.
Ширяев Альберт Николаевич 1934....
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