WorldCat Identities

Shiri︠a︡ev, Alʹbert Nikolaevich

Works: 181 works in 864 publications in 3 languages and 11,516 library holdings
Genres: Conference papers and proceedings 
Roles: Author, Editor, Honoree, Other, Adapter, Creator
Classifications: QA274, 519.2
Publication Timeline
Most widely held works by Alʹbert Nikolaevich Shiri︠a︡ev
Probability by Alʹbert Nikolaevich Shiri︠a︡ev( Book )

39 editions published between 1984 and 2016 in 3 languages and held by 949 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
Limit theorems for stochastic processes by Jean Jacod( Book )

29 editions published between 1987 and 2013 in English and held by 759 WorldCat member libraries worldwide

Proposes a systematic exposition of convergence in law for stochastic processes from the point of view of semimartingale theory. This book emphasizes results that are useful for mathematical theory and mathematical statistics
Optimal stopping rules by Alʹbert Nikolaevich Shiri︠a︡ev( Book )

49 editions published between 1977 and 2008 in English and Undetermined and held by 476 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 up-to-date 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 non-traditional (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
Essentials of stochastic finance : facts, models, theory by Alʹbert Nikolaevich Shiri︠a︡ev( Book )

49 editions published between 1999 and 2012 in English and held by 454 WorldCat member libraries worldwide

3c. Stochastic Integration with respect to a Brownian Motion
Statistics of random processes by R. Sh Lipt︠s︡er( Book )

13 editions published between 1977 and 1984 in English and held by 402 WorldCat member libraries worldwide

A considerable number of problems in the statistics of random processes are formulated within the following scheme. On a certain probability space (Q, ff, P) a partially observable random process (lJ, ~) = (lJ ~/), t :;::-: 0, is given with only the second component n ~ = (~/), t:;::-: 0, observed. At any time t it is required, based on ~h = g., ° s sst}, to estimate the unobservable state lJ/. This problem of estimating (in other words, the filtering problem) 0/ from ~h will be discussed in this book. It is well known that if M(lJ;) <00, then the optimal mean square esti mate of lJ/ from ~h is the a posteriori mean m/ = M(lJ/1 ff~), where ff~ = CT{ w: ~., sst} is the CT-algebra generated by ~h. Therefore, the solution of the problem of optimal (in the mean square sense) filtering is reduced to finding the conditional (mathematical) expectation m/ = M(lJ/lffa. In principle, the conditional expectation M(lJ/lff;) can be computed by Bayes' formula. However, even in many rather simple cases, equations obtained by Bayes' formula are too cumbersome, and present difficulties in their practical application as well as in the investigation of the structure and properties of the solution
Statistical sequential analysis : optimal stopping rules by Alʹbert Nikolaevich Shiri︠a︡ev( Book )

14 editions published in 1973 in English and Undetermined and held by 331 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
Statistics of random processes by R. Sh Lipt︠s︡er( Book )

30 editions published between 1977 and 2010 in English and Undetermined and held by 288 WorldCat member libraries worldwide

Probability theory by I︠U︡. V Prokhorov( Book )

16 editions published in 1998 in English and held by 264 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 well-known 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
Optimal stopping and free-boundary problems by G Peskir( Book )

25 editions published in 2006 in English and German and held by 257 WorldCat member libraries worldwide

Covers a connection between optimal stopping and free-boundary 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
Statistics and control of stochastic processes by Steklov Seminar( Book )

13 editions published between 1985 and 1997 in English and held by 209 WorldCat member libraries worldwide

Theory of martingales by R. Sh Lipt︠s︡er( Book )

13 editions published between 1986 and 1989 in English and held by 200 WorldCat member libraries worldwide

One service mathematics has rc:ndered the 'Et moi, "', si j'avait su comment CD revenir, je n'y serais point alle. ' human race. It has put common SCIIJC back Jules Verne where it belongs. on the topmost shelf next to tbe dusty canister 1abdled 'discarded non- The series is divergent; tberefore we may be sense'. able to do sometbing witb it Eric T. Bell O. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non linearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics ... '; 'One service logic has rendered com puter science ... '; 'One service category theory has rendered mathematics ... '. All arguably true_ And all statements obtainable this way form part of the raison d'etre of this series_ This series, Mathematics and Its ApplicatiOns, started in 1977. Now that over one hundred volumes have appeared it seems opportune to reexamine its scope_ At the time I wrote "Growing specialization and diversification have brought a host of monographs and textbooks on increasingly specialized topics. However, the 'tree' of knowledge of mathematics and related fields does not grow only by putting forth new branches
Contiguity and the statistical invariance principle by P. E Greenwood( Book )

11 editions published between 1985 and 1992 in English and held by 197 WorldCat member libraries worldwide

Stochastic optimization : proceedings of the international conference, Kiev, 1984 by V. I Arkin( Book )

7 editions published between 1985 and 1986 in English and held by 184 WorldCat member libraries worldwide

Stochastic finance by Alʹbert Nikolaevich Shiri︠a︡ev( Book )

17 editions published in 2006 in English and held by 157 WorldCat member libraries worldwide

"Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech 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."--Jacket
Statistical experiments and decisions : asymptotic theory by Alʹbert Nikolaevich Shiri︠a︡ev( Book )

9 editions published in 2000 in English and held by 153 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."
Problems in probability by Alʹbert Nikolaevich Shiri︠a︡ev( Book )

16 editions published between 2012 and 2014 in English and held by 128 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 backgrounds-from students to researchers-will 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 medium-to-high 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 chains-subjects that are not covered in the book, but are nevertheless needed for many of the exercises included here
From stochastic calculus to mathematical finance : the Shiryaev Festschrift by Yuri Kabanov( Book )

6 editions published in 2006 in English and held by 122 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, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range 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 book amenable and attractive for PhD students and young researchers
Statistics of random processes by R. Sh Lipt︠s︡er( Book )

29 editions published between 1974 and 2011 in English and held by 119 WorldCat member libraries worldwide

The subject of these two volumes is non-linear 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
Probability by Alʹbert Nikolaevich Shiri︠a︡ev( Book )

7 editions published between 1984 and 2016 in English and held by 73 WorldCat member libraries worldwide

"This book contains a systematic treatment of probability from the ground up, starting with intuitive ideas and gradually developing more sophisticated subjects, such as random walks, martingales, Markov chains, the measure-theoretic foundations of probability theory, weak convergence of probability measures, and the central limit theorem. Many examples are discussed in detail, and there are a large number of exercises. The book is accessible to advanced undergraduates and can be used as a text for independent study. ... This first volume contains updated references and substantial revisions of the first three chapters of the second edition. In particular, new material has been added on generating functions, the inclusion-exclusion principle, theorems on monotonic classes (relying on a detailed treatment of "[pi]-[lambda]" systems), and the fundamental theorems of mathematical statistics"--Back cover
Prokhorov and contemporary probability theory : in honor of Yuri V. Prokhorov by Alʹbert Nikolaevich Shiri︠a︡ev( Book )

10 editions published between 2012 and 2015 in English and held by 7 WorldCat member libraries worldwide

The role of Yuri Vasilyevich Prokhorov as aprominent mathematician and leading expert inthe 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 distributions and the condition of tightness ofprobability measures. The presentvolume commemorates the 80th birthday of Yuri Vasilyevich Prokhorov. It includes scientific contributions written by his colleagues, friends andpupils, who would like to express their deep respect and sincerest admiration for him and his scientific work
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Alternative Names
Albert Nikolajewitsch Schirjajew russischer Mathematiker

Albert Shiryaev matemático ruso

Albert Shiryaev mathématicien russe

Albert Shiryaev Russian mathematician

Albert Shiryaev Russisch wiskundige

Albert Shiryaev Soviet and Russian mathematician

Albert Sjirjajev

Chiriaev Albert Nikolaevitch 1934-....

Shiri︠a︡ev, A. N.

Shiri︠a︡ev, A.N. 1934-

Shiri︠a︡ev, A. N. (Alʹbert Nikolaevich)

Shiri︠a︡ev, A. N. (Alʹbert Nikolaevich), 1934-

Shiriaev, Alʹbert 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.

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, Alʹbert Nikolaevič 1934-

Širjaev, Al'bert Nikolaevič. [t]

Širjajev, Alʹbert Nikolaevič 1934-

Sjirjajew 1934-

Sziriajew, A. N.

Ширяев, А. Н

Ширяев, А. Н. (Альберт Николаевич)

Ширяев, Альберт Николаевич.

Ширяев Альберт Николаевич 1934-....

English (394)

German (1)

Italian (1)

Limit theorems for stochastic processesOptimal stopping rulesEssentials of stochastic finance : facts, models, theoryStatistics of random processesProbability theoryOptimal stopping and free-boundary problemsStatistics and control of stochastic processesTheory of martingales