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


1. A. N. Shiryaev, Teor. Veroyatnost. i Primenen. (to appear)  mathnet

   2021
2. A. Shiryaev, Kvant, 2021, no. 5, 26  mathnet
3. A. N. Shiryaev, Teor. Veroyatnost. i Primenen., 66:4 (2021) (to appear)  mathnet
4. E. A. Feinberg, A. N. Shiryaev, “Kolmogorovs equations for jump Markov processes and their applications to continuous-time jump Markov decision processes”, Teor. Veroyatnost. i Primenen., 66:4 (2021) (to appear)  mathnet

   2019
5. 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, 22 https://book.etudes.ru/toc/disruption/

   2018
6. 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  mathnet  crossref  crossref  mathscinet  adsnasa  isi (cited: 1)  elib  scopus (cited: 1)

   2019
7. 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  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 1)  elib  scopus (cited: 1)

   2018
8. 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  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi  elib
9. 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  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi  elib

   2017
10. Eugene Feinberg, Manasa Mandava, Albert N. Shiryaev, “Kolmogorovs equations for jump Markov processes with unbounded jump rates”, Ann. Oper. Res., 2017, 1–18 (Published online)  mathnet  crossref  scopus (cited: 2)

   2016
11. A. N. Shiryaev, Osnovy stokhasticheskoi finansovoi matematiki, v. 1, Fakty. Modeli, MTsNMO, M., 2016 , 440 pp.
12. A. N. Shiryaev, Osnovy stokhasticheskoi finansovoi matematiki, v. 2, Teoriya, MTsNMO, M., 2016 , 460 pp.
13. 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  adsnasa  isi (cited: 1)  elib  elib  scopus (cited: 1)

   2017
14. Yu. M. Kabanov, A. N. Shiryaev, “Modern problems of financial mathematics”, Theory Probab. Appl., 61:1 (2017), 1–2  mathnet  crossref  crossref  mathscinet  zmath  isi  elib  scopus
15. 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  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 1)  elib  scopus

   2016
16. A. N. Shiryaev, Stokhasticheskie zadachi o razladke, MTsNMO, M., 2016 , 392 pp.

   2015
17. 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  zmath  isi (cited: 6)  elib (cited: 2)  scopus
18. 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
19. 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

   2016
20. Yu. M. Kabanov, A. N. Shiryaev, “Modern problems of financial mathematics”, Theory Probab. Appl., 60:4 (2016), 531–532  mathnet  crossref  crossref  mathscinet  isi  elib  scopus

   2015
21. 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
22. 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  mathnet

   2014
23. 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  zmath  isi (cited: 14)  scopus (cited: 13)

   2015
24. M. Jeanblanc-Picqué, A. N. Shiryaev, “In memoriam of Marc Yor”, Theory Probab. Appl., 59:1 (2015), 180  mathnet  crossref  crossref  mathscinet  isi  elib  scopus

   2014
25. 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: 7)  scopus (cited: 9)
26. 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)
27. 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 (cited: 2)  elib  elib  scopus (cited: 2)
28. 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 (cited: 1)  elib  elib  scopus (cited: 1)
29. 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: 3)  elib  elib  scopus (cited: 3)

   2013
30. 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.
31. 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 (cited: 1)  elib  elib  scopus (cited: 1)

   2014
32. 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  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 1)  elib  elib  scopus (cited: 1)

   2013
33. 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
34. 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: 9)  elib (cited: 3)  scopus (cited: 11)

   2014
35. 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  mathnet  crossref  crossref  mathscinet  zmath  isi

   2013
36. 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  zmath  isi (cited: 15)  scopus (cited: 17)

   2012
37. A. N. Shiryaev, Problems in probability, Problem Books in Math., Springer, New York, 2012 , xii+427 pp.  crossref  mathscinet  zmath

   2013
38. M. V. Zhitlukhin, A. N. Shiryaev, “Baeyes disorder problems on filtered probability spaces”, Theory Probab. Appl., 57:3 (2013), 497–511  mathnet  crossref  crossref  mathscinet  isi (cited: 11)  elib (cited: 4)  elib (cited: 4)  scopus (cited: 13)

   2012
39. R. Dalang, A. N. Shiryaev, A quickest detection problem with an observation cost, Preprint, EPFL, Lausanne, 2012 , 39 pp.
40. I. A. Ibragimov, Yu. V. Prokhorov, A. N. Shiryaev, “To A. V. Skorokhod's memory”, Theory Probab. Appl., 56:1 (2012), 116–119  mathnet  crossref  crossref  mathscinet  zmath  isi  elib
41. R. V. Ivanov, A. N. Shiryaev, “On duality principle for hedging strategies in diffusion models”, Theory Probab. Appl., 56:3 (2012), 376–402  mathnet  crossref  crossref  mathscinet  zmath  isi  elib  elib  scopus

   2011
42. 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  zmath  scopus (cited: 10)
43. P. V. Gapeev, A. N. Shiryaev, “On the sequential testing problem for some diffusion processes”, Stochastics, 83:4-6 (2011), 519–535  crossref  mathscinet  zmath  isi (cited: 18)  elib (cited: 10)  scopus (cited: 20)
44. 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  zmath  isi (cited: 12)  scopus (cited: 11)

   2010
45. A. N. Shiryaev, Teor. Veroyatnost. i Primenen., 55:3 (2010), 621  mathnet  crossref  elib
46. A. N. Shiryaev, M. A. Urusov, “Summer School in Stochastic Finance 2010”, TVP, 55:4 (2010), 825  mathnet  crossref
47. A. N. Shiryaev, V. V. Mazalov, “International Conference “Stochastical Optimal Stopping””, Teor. Veroyatnost. i Primenen., 55:4 (2010), 823–824  mathnet  crossref
48. 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
49. A. N. Shiryaev, “Author's response”, Sequential Anal., 29:4 (2010), 434–443  crossref  mathscinet  zmath  elib  scopus
50. A. N. Shiryaev, “Quickest detection problems: fifty years later”, Sequential Anal., 29:4 (2010), 345–385  crossref  mathscinet  zmath  elib (cited: 16)  scopus (cited: 32)
51. 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  zmath


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