1990 - Member of Academia Europaea
His primary areas of study are Optimal stopping, Martingale, Mathematical economics, Mathematical finance and Econometrics. Stock options is closely connected to Markov process in his research, which is encompassed under the umbrella topic of Optimal stopping. The study of Martingale is intertwined with the study of Lévy process in a number of ways.
Albert N. Shiryaev works mostly in the field of Lévy process, limiting it down to concerns involving Absolute continuity and, occasionally, Applied mathematics. His Applied mathematics research is multidisciplinary, incorporating elements of Poisson distribution and Calculus. His Econometrics research incorporates elements of Stochastic process and Financial economics.
Albert N. Shiryaev focuses on Applied mathematics, Brownian motion, Optimal stopping, Mathematical analysis and Mathematical optimization. Albert N. Shiryaev works mostly in the field of Applied mathematics, limiting it down to topics relating to Random walk and, in certain cases, Limit, as a part of the same area of interest. His work in Brownian motion tackles topics such as Statistical physics which are related to areas like Lévy process and Stochastic process.
While the research belongs to areas of Optimal stopping, Albert N. Shiryaev spends his time largely on the problem of Function, intersecting his research to questions surrounding Power function. His Mathematical analysis study also includes fields such as
Albert N. Shiryaev spends much of his time researching Brownian motion, Applied mathematics, Optimal stopping, Mathematical optimization and Markov process. His study looks at the intersection of Brownian motion and topics like Posterior probability with Free boundary problem. Albert N. Shiryaev integrates several fields in his works, including Applied mathematics and Weak formulation.
His study explores the link between Optimal stopping and topics such as Speculation that cross with problems in Position. Albert N. Shiryaev studied Markov process and Markov chain that intersect with Random variable. His research in Stochastic process tackles topics such as Mathematical analysis which are related to areas like Transformation.
His primary scientific interests are in Applied mathematics, Markov process, Brownian motion, Mathematical optimization and Optimal stopping. His Applied mathematics research focuses on Geometric Brownian motion and how it connects with Quadratic equation. He combines subjects such as Markov kernel, Markov renewal process, Markov model, Markov property and Bayesian probability with his study of Mathematical optimization.
His work deals with themes such as Speculation, Continuous-time stochastic process and Futures contract, which intersect with Optimal stopping. Albert N. Shiryaev interconnects Kolmogorov equations, Mathematical analysis and Markov decision process in the investigation of issues within Kolmogorov's criterion. His Mathematical analysis research includes elements of Continuous-time Markov chain, Stochastic process and Point process.
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Limit Theorems for Stochastic Processes
Jean Jacod;Albert N Shiryaev.
Essentials of Stochastic Finance: Facts, Models, Theory
Albert N. Shiryaev.
On Optimum Methods in Quickest Detection Problems
A. N. Shiryaev.
Theory of Probability and Its Applications (1963)
Probability (2nd ed.)
Albert Nikolaevich Shiryaev;R. P. Boas.
Optimization of the flow of dividends
M Jeanblanc-Picqué;A N Shiryaev.
Russian Mathematical Surveys (1995)
On a Method of Calculation of Semi-Invariants
V. P. Leonov;A. N. Shiryaev.
Theory of Probability and Its Applications (1959)
The Russian Option: Reduced Regret
Larry A Shepp;A. N Shiryaev.
Annals of Applied Probability (1993)
The cumulant process and Esscher's change of measure
Jan Kallsen;Albert N. Shiryaev.
Finance and Stochastics (2002)
No-arbitrage, change of measure and conditional Esscher transforms
H. Bühlmann;Freddy Delbaen;P. Embrechts;A.N. Shiryaev.
CWI quarterly (1996)
Local martingales and the fundamental asset pricing theorems in the discrete-time case
Jean Jacod;Albert N. Shiryaev.
Finance and Stochastics (1998)
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