WorldCat Identities
Fri Mar 21 17:04:17 2014 UTClccn-n810472730.39Statistics of Random processes II : Applications /0.720.90Statistical experiments and decisions : asymptotic theory /106942744Albert_Shiryaevn 81047273592829Chiriaev 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 NikolaevichShiri︠a︡ev, 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 NikolaevichShiryayev 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, Al'bert N. 1934-Širjaev, Al'bert NikolaevičŠirjaev, 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 НиколаевичШиряев, Альберт Николаевич, 1934-....lccn-n85117662Lipt︠s︡er, R. Sh(Robert Shevilevich)lccn-n80112452Jacod, Jeanlccn-no2008041312Aries, A. B.trllccn-n78078084Stoi︠a︡nov, Ĭordanlccn-n2002160776Kabanov, Yurilccn-nr99013897Peskir, G.(Goran)viaf-158540507Novikov, A. A.mathematicianlccn-n79054346Varadhan, S. R. S.lccn-n50062091Prokhorov, I︠U︡. V.(I︠U︡riĭ Vasilʹevich)edtlccn-n85310333Presman, Ė. L.(Ėrnst Lʹvovich)Shiri︠a︡ev, Alʹbert NikolaevichConference proceedingsStochastic processesProbabilitiesOptimal stopping (Mathematical statistics)Mathematical statisticsSequential analysisFinancial engineeringStatistical decisionInvestments--MathematicsStochastic analysisBusiness mathematicsLimit theorems (Probability theory)Semimartingales (Mathematics)FinanceMartingales (Mathematics)Economics, MathematicalBoundary value problemsNonlinear integral equationsMathematical optimizationControl theoryMeasure theoryContinuityDistribution (Probability theory)Asymptotic expansionsExperimental designMathematicsStatisticsEngineeringEconomicsCombinatorial analysisDifferential equations, PartialComputer engineeringQuantum theoryFinance--Mathematical models193419651967196919731974197619771978197919801981198419851986198719881989199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220138754158527332.60151923QA279.7ocn311552842ocn468526243ocn468769464ocn490097436ocn180585781ocn780936484ocn824146025ocn755102467ocn473307168ocn301580961ocn723732137ocn698788761ocn837801394113733ocn052859275file19990.47Shiri︠a︡ev, Alʹbert NikolaevichEssentials of stochastic finance facts, models, theoryThis 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+-+505187563489138ocn261324820file19770.73Shiri︠a︡ev, Alʹbert NikolaevichOptimal stopping rulesAlthough 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+-+956592590885421ocn009827385book19840.73Shiri︠a︡ev, Alʹbert NikolaevichProbabilityThis 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+-+549094238567417ocn015628349book19870.79Jacod, JeanLimit theorems for stochastic processesInitially 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+-+878489590866627ocn002543116book19740.81Lipt︠s︡er, R. ShStatistics of random processes+-+937481590849417ocn209912325file20050.73Shiri︠a︡ev, Alʹbert NikolaevichStochastic financeConference proceedings"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+-+47173723854295ocn262692598com20060.73Kabanov, YuriFrom stochastic calculus to mathematical finance the Shiryaev FestschriftConference proceedingsDedicated 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 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+-+173258590836310ocn805721305file20120.66Shiri︠a︡ev, Alʹbert NikolaevichProblems in probability34919ocn070775766book20060.79Peskir, GOptimal stopping and free-boundary problemsCovers 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+-+34697891283207ocn000601034book19730.81Shiri︠a︡ev, Alʹbert NikolaevichStatistical sequential analysis; optimal stopping rulesMarkov times and random processes; Optimal stopping of Markov random sequences; Optimal stopping of markov random processes; Some applications to problems in mathematical statistics2516ocn824923404file20120.70Shiri︠a︡ev, Alʹbert NikolaevichProkhorov and contemporary probability theory in honor of Yuri V. ProkhorovThe 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 di24310ocn038108181book19980.81Prokhorov, I︠U︡. VProbability theoryThis 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+-+62319059082108ocn013580823book19850.86Arkin, V. IStochastic optimization : proceedings of the international conference, Kiev, 1984Conference proceedings1963ocn012022377book19850.86Steklov SeminarStatistics and control of stochastic processesConference proceedings1866ocn020016844book19860.81Lipt︠s︡er, R. ShTheory of martingales+-+90485874251848ocn011090788book19850.86Greenwood, P. EContiguity and the statistical invariance principle1486ocn043694397book20000.90Shiri︠a︡ev, Alʹbert NikolaevichStatistical experiments and decisions : asymptotic theory+-+66569756341244ocn032586687book19940.90Statistics and control of random processes1164ocn644676674book20100.81Barndorff-Nielsen, O. EChange of time and change of measure+-+72997896343249415ocn025380012book19780.39Lipt︠s︡er, R. ShStatistics of Random processes II : ApplicationsThe 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+-+9374815908+-+9565925908+-+9565925908Fri Mar 21 15:46:00 EDT 2014batch27203