Albert Nikolaevich Shiryaev

Albert Nikolaevich Shiryaev's AcademicInfluence.com Rankings

Mathematics

#5059

World Rank

#7155

Historical Rank

Probability Theory

#47

World Rank

#68

Historical Rank

Measure Theory

#575

World Rank

#799

Historical Rank

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Mathematics

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Albert Nikolaevich Shiryaev's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Limit Theorems for Stochastic Processes (1987) (5907)
On Optimum Methods in Quickest Detection Problems (1963) (857)
Essentials of Stochastic Finance: Facts, Models, Theory (1999) (650)
Optimal Stopping Rules (1980) (617)
Optimization of the flow of dividends (1995) (355)
On a Method of Calculation of Semi-Invariants (1959) (287)
The cumulant process and Esscher's change of measure (2002) (277)
Essentials of stochastic finance (1999) (264)
The Russian Option: Reduced Regret (1993) (246)
No-arbitrage, change of measure and conditional Esscher transforms (1996) (216)
Local martingales and the fundamental asset pricing theorems in the discrete-time case (1998) (187)
Change of time and change of measure (2010) (146)
A New Look at Pricing of the ”Russian Option“ (1995) (140)
Quickest Detection Problems in the Technical Analysis of the Financial Data (2002) (130)
Optimal Stopping Rules and Maximal Inequalities for Bessel Processes (1994) (123)
Thou shalt buy and hold (2008) (121)
On Stefan’s Problem and Optimal Stopping Rules for Markov Processes (1966) (120)
Solving the Poisson Disorder Problem (2002) (116)
Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum (2001) (103)
On Esscher Transforms in Discrete Finance Models (1998) (96)
Sequential testing problems for Poisson processes (2000) (96)
On the duality principle in option pricing: semimartingale setting (2008) (84)
Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings (2006) (80)
Some Problems in the Spectral Theory of Higher-Order Moments. I (1960) (76)
Toward the theory of pricing of options of both European and American types. II: Continuous time (1995) (75)
Esscher transform and the duality principle for multidimensional semimartingales (2008) (72)
Statistical Experiments and Decisions: Asymptotic Theory (2000) (72)
Two problems of sequential analysis (1967) (71)
Quickest Detection Problems: Fifty Years Later (2010) (70)
VECTOR STOCHASTIC INTEGRALS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING (2003) (69)
On Probability Characteristics of "Downfalls" in a Standard Brownian Motion (2000) (61)
Some Exact Formulas in a “Disorder” Problem (1965) (56)
The Khintchine inequalities and martingale expanding sphere of their action (1995) (56)
On Markov Sufficient Statistics in Non-Additive Bayes Problems of Sequential Analysis (1964) (55)
An Extension of P. Lévy's Distributional Properties to the Case of a Brownian Motion with Drift@@@An Extension of P. Levy's Distributional Properties to the Case of a Brownian Motion with Drift (2000) (54)
Bayesian Quickest Detection Problems for Some Diffusion Processes (2010) (51)
Kolmogorov: Life and Creative Activities (1989) (48)
On solutions of Kolmogorovʼs equations for nonhomogeneous jump Markov processes (2014) (47)
COMMUNICATIONS OF THE MOSCOW MATHEMATICAL SOCIETY: Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time (1996) (46)
Predicting the last zero of Brownian motion with drift (2007) (44)
On the variation distance for probability measures defined on a filtered space (1986) (44)
Toward the Theory of Pricing of Options of Both European and American Types. I. Discrete time (1995) (43)
Statistical experiments and decisions (2000) (43)
On a solution of the optimal stopping problem for processes with independent increments (2006) (42)
Limit Behavior of the "Horizontal-Vertical" Random Walk and Some Extensions of the Donsker-Prokhorov Invariance Principle (2003) (41)
An extension of P. Levy's distributional (2000) (40)
Some limit theorems for simple point processes (a martingale approach) (1980) (39)
On the Rate of Convergence in the Central Limit Theorem for Semimartingales (1982) (36)
Martingales (2019) (35)
ON AN EFFECTIVE SOLUTION OF THE OPTIMAL STOPPING PROBLEM FOR RANDOM WALKS (2004) (33)
Optimal stopping problems for a Brownian motion with a disorder on a finite interval (2012) (33)
On Stochastic Integrals up to Infinity and Predictable Criteria for Integrability (2005) (32)
A Note on the Call-Put Parity and a Call-Put Duality (2002) (31)
Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013 (2013) (31)
When to Sell Apple and the Nasdaq? Trading Bubbles with a Stochastic Disorder Model (2014) (30)
Minimax Weights in a Trend Detection Problem of a Random Process (1971) (29)
On a stochastic version of the trading rule “Buy and Hold” (2009) (28)
Asymptotic minimaxity of a sequential estimator for a first order autoregressive model (1992) (27)
Weak and Strong Convergence of the Distributions of Counting Processes (1983) (26)
On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales (1982) (26)
On the sequential testing problem for some diffusion processes (2011) (26)
On Stochastic Models and Optimal Methods in the Quickest Detection Problems (2009) (23)
Hiring and firing optimally in a large corporation (1996) (23)
Addendum: On Stochastic Equations in the Theory of Conditional Markov Processes (1967) (22)
Probability Theory III : Stochastic Calculus (1998) (22)
On the one-sided Tanaka equation with drift (2011) (22)
Bayesian Sequential Estimation of a Drift of Fractional Brownian Motion (2013) (21)
On Necessary and Sufficient Conditions in the Functional Central Limit Theorem for Semimartingales (1981) (21)
From “Disorder” to Nonlinear Filtering and Martingale Theory (2006) (20)
On sequential estimation of an autoregressive parameter (1997) (20)
Bayesian Disorder Problems on Filtered Probability Spaces (2013) (18)
On the Brownian First-Passage Time Overa One-Sided Stochastic Boundary (1997) (17)
Andrei Nikolaevich Kolmogorov (2004) (17)
ON ASYMPTOTIC OPTIMALITY OF THE SECOND ORDER IN THE MINIMAX QUICKEST DETECTION PROBLEM OF DRIFT CHANGE FOR BROWNIAN MOTION (2009) (17)
On Conditions for Ergodicity of Stationary Processes in Terms of Higher Order Moments (1963) (15)
On the Rational Pricing of the “Russian Option” for the Symmetrical Binomial Model of a $(B,S)$-Market (1995) (15)
On the Linear and Nonlinear Generalized Bayesian Disorder Problem (Discrete Time Case) (2009) (14)
Stochastic Disorder Problems (2019) (13)
On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion (2009) (13)
On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. I (2004) (13)
Kolmogorov and the Turbulence (2006) (13)
On absolute continuity and singularity of probability measures (1980) (13)
ON CRITERIA FOR THE UNIFORM INTEGRABILITY OF BROWNIAN STOCHASTIC EXPONENTIALS (2007) (12)
Stopping Brownian motion without anticipation as close as possible to its ultimate maximum@@@Stopping Brownian motion without anticipation as close as possible to its ultimate maximum (2000) (11)
Some Distributional Properties of a Brownian Motion with a Drift and an Extension of P. Lévy's Theorem (2000) (11)
Probability Theory III (1998) (10)
Limit Theorems, Density Processes and Contiguity (2003) (10)
Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics (2008) (10)
Sufficient Conditions of the Uniform Integrability of Exponential Martingales (1998) (10)
Absolute Continuity and Singularity of Probability Measures in Functional Spaces (2010) (10)
On Infinite Order Systems of Stochastic Differential Equations Arising in the Theory of Optimal Non-Linear Filtering (1973) (10)
Maximal Inequalities for Reflected Brownian Motion with Drift (1999) (9)
Problems in Probability (2012) (9)
Problems in Probability (2012) (9)
Kolmogorov’s equations for jump Markov processes with unbounded jump rates (2016) (9)
On Some Basic Concepts and Some Basic Stochastic Models Used in Finance (1995) (8)
Skorokhod Topology and Convergence of Processes (2003) (8)
Prokhorov and contemporary probability theory (2013) (8)
Proceedings of Steklov Mathematical Institute Seminar; Statistics and Control of Stochastic Processes: The Liptser Festschrift (1997) (8)
INSTRUCTIONAL CONFERENCE ON THE THEORY OF STOCHASTIC PROCESSES: Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures (1982) (8)
WEAK CONVERGENCE OF A SEQUENCE OF SEMIMARTINGALES TO A PROCESS OF DIFFUSION TYPE (1984) (7)
A Barrier Version of the Russian Option (2002) (7)
Stochastic Calculus on Filtered Probability Spaces (1998) (6)
Sequential analysis and controlled random processes (discrete time) (1965) (6)
The General Theory of Stochastic Processes, Semimartingales and Stochastic Integrals (1987) (6)
Time Change Representation of Stochastic Integrals@@@Time Change Representation of Stochastic Integrals (2001) (5)
IN THE MOSCOW MATHEMATICAL SOCIETY: Proof of the Poincaré-Chernoff inequality and the logarithmic Sobolev inequality by the methods of stochastic calculus for Brownian motion (2006) (5)
Sequential Estimation of the Parameter of a Stochastic Difference Equation with Random Coefficients (1993) (5)
Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker - Prokhorov invariance principle@@@Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker - Prokhorov invariance principle (2002) (5)
A Quickest Detection Problem With An Observation Cost (2015) (5)
Sharp maximal inequalities for stochastic processes (2014) (5)
Non-Linear Interpolation of Components of Markov Diffusion Processes (Direct Equations, Effective Formulas) (1968) (5)
Martingales and Limit Theorems for Stochastic Processes (1998) (5)
Two-sided disorder problem for a Brownian motion in a Bayesian setting (2014) (5)
The optimal decision rule in the Kiefer–Weiss problem for a Brownian motion (2013) (5)
On the Invariance Principle for Semi-Martingales: The “Nonclassical” Case (1984) (5)
Response to comment on ‘Thou shalt buy and hold’ (2008) (5)
On the sets of convergence of generalized submartingales (1979) (4)
PROBABILITY THEORY AND MATHEMATICAL STATISTICS: Proceedings of the Seventh Japan-Russia Symposium (1996) (4)
Martingale-difference Gibbs random fields and central limit theorem (1992) (3)
Lower Functions and Uniform Integrability of Exponential Martingales (3)
On the Brownian first-passage time over a one-sided stochastic boundary@@@On the Brownian first-passage time over a one-sided stochastic boundary (1997) (3)
Elementary Probability Theory (2012) (3)
The Russian option under conditions of a possible price 'freeze' (2001) (3)
Optimal Stopping Problems for a Brownian Motion with Disorder on a Segment (2014) (3)
On the existence of solutions of unbounded optimal stopping problems (2014) (3)
KOLMOGOROV'S -WIDTHS OF SPACES OF SMOOTH FUNCTIONS (2017) (3)
Sufficiency of Markov policies for continuous-time Markov decision processes and solutions to Kolmogorov's forward equation for jump Markov processes (2013) (3)
CONTROLS LEADING TO OPTIMAL STATIONARY REGIMES (1967) (3)
Random Change of Time (2010) (3)
Optimal Time to Sell a Stock in Black-Scholes Model : Commenton (2008) (3)
A Note on the Call - Put Parity and a Call - Put Duality@@@A Note on the Call - Put Parity and a Call - Put Duality (2001) (3)
Optimal Stopping Times. General Theory for the Discrete-Time Case (2019) (3)
Alexander Semenovich Holevo (2018) (2)
Processes with Independent Increments.: Lévy Processes (2010) (2)
Everything About Kolmogorov Was Unusual.. (1991) (2)
On solutions of Kolmogorov's equations for jump Markov processes (2013) (2)
Optimal Stopping Problems (2013) (2)
On confidence intervals for Brownian motion changepoint times (2016) (2)
Convergence of Probability Measures. Central Limit Theorem (2016) (2)
The Extrapolation of Multidimensional Markov Processes from Incomplete Data (1968) (2)
On the Shoulder of a Giant (2010) (2)
Kolmogorov, Andrei Nikolaevich (2010) (2)
Sufficiency of Markov Policies for Continuous-Time Jump Markov Decision Processes (2020) (2)
Stochastic Models: Continuous Time (1999) (2)
Sequential Testing of Two Hypotheses for a Stationary Ornstein--Uhlenbeck Process (2019) (2)
Book review: Limit theorems for stochastic processes (1990) (2)
Remarks on moment inequalities and identities for martingales (2013) (1)
Abstracts of Talks Given at the 4th International Conference on Stochastic Methods (2019) (1)
Hellinger Processes, Absolute Continuity and Singularity of Measures (1987) (1)
Criteria of “Truncation” for the Optimal Stopping Time in Sequential Analysis (1965) (1)
Mathematical Foundations of Probability Theory (2012) (1)
International conference “Kolmogorov and Contemporary Mathematics” (2004) (1)
A Bayesian Problem of Sequential Search in Diffusion Approximation (1965) (1)
Nikolai Nikolaevich Chentsov (obituary) (1993) (1)
Asymptotically Optimal Filtering (2001) (1)
Nonnegative supermartingales and martingales, and the Girsanov theorem (1977) (1)
Non-additive disorder problems for some diffusion processes (2010) (1)
Statistical Inference for Autoregressive Models of the First Order (2000) (1)
COMMUNICATIONS OF THE MOSCOW MATHEMATICAL SOCIETY: The Russian option under conditions of a possible price 'freeze' (2001) (1)
Investigations by statistical sequential analysis (1968) (1)
On the 75th Birthday of A. A. BOROVKOV (2007) (1)
Stochastic disorder problems (probability theory and stochastic modelling) (2019) (1)
Convergence of Statistical Experiments (2000) (1)
Topology and Convergence in Spaces of Probability Measures: The Central Limit Theorem (2012) (0)
Probabilistic-Statistical Models in Quickest Detection Problems. Discrete and Continuous Time (2019) (0)
Change of Measure in Option Pricing (2010) (0)
Sergei Petrovich Novikov (on his fiftieth birthday) (1988) (0)
Stochastic Exponential and Stochastic Logarithm.: Cumulant Processes (2010) (0)
Stationary (Wide Sense) Random Sequences: L 2-Theory (2019) (0)
Martingales and Related Processes: Discrete Time (2001) (0)
The Wiener Process, the Stochastic Integral over the Wiener Process, and Stochastic Differential Equations (2001) (0)
Optimal Stopping Rules. General Theory for the Continuous-Time Case (2019) (0)
On the Bicentenary of the Birth of P. L. Chebyshev, A Great Russian Mathematician (2022) (0)
Contiguity, Entire Separation, Convergence in Variation (1987) (0)
Birthday Tributes (2022) (0)
Kolmogorov’s Equations for Jump Markov Processes and their Applications to Continuous-Time Jump Markov Decision Processes (2021) (0)
Convergence to a Semimartingale (1987) (0)
MATHEMATICAL EVENTS IN THE USSR: Greetings to A. A. Mal'tsev on his fiftieth birthday (1985) (0)
Statistical Analysis of Financial Data (1999) (0)
(γ, Γ)-Models.: Convergence to (γ, Γ)-Models (2000) (0)
Stationary (in Strict Sense) Random Sequences and Ergodic Theory (2012) (0)
Kolmogorov's Equations for Jump Markov Processes and Their Applications to Control Problems (2021) (0)
Seventy-Five Years Since Publication of the Monograph by A. N. Kolmogorov (2009) (0)
Convergence of Processes with Independent Increments (1987) (0)
Martingale Problems and Changes of Measures (1987) (0)
Роланд Львович Добрушин (20.VII.1929 - 12.XI.1995)@@@Roland L'vovich Dobrushin (20 July 1919 - 12 November 1995) (1996) (0)
Editorial (2001) (0)
In memory of Boris Aleksandrovich Sevastyanov (2013) (0)
Statistics of Processes (No. 50) (1992) (0)
On the Defense Work of A. N. Kolmogorov during World War II (2003) (0)
Summer School in Stochastic Finance 2010@@@Summer School in Stochastic Finance 2010 (2010) (0)
Modern Problems of Financial Mathematics (2016) (0)
The Fiftieth Anniversary of the Creation of the Probability Theory Department of the Mechanics and Mathematics Faculty of Moscow University, Founded by A. N. Kolmogorov (1990) (0)
Vladimir Antonovich Zorich (2018) (0)
DEVELOPING A TOOLKIT FOR TASK CHARACTERISTICS PREDICTION BASED ON ANALYSIS OF QUEUE’S HISTORY OF A SUPERCOMPUTER (2021) (0)
Characteristics of Semimartingales and Processes with Independent Increments (1987) (0)
Statistical Experiments and Their Comparison (2000) (0)
Theory of Arbitrage in Stochastic Financial Models: Continuous Time (1999) (0)
Conditionally Gaussian Processes (2001) (0)
On the 100th Birthday of B. V. Gnedenko (2014) (0)
In Memory of V. V. Senatov (03.10.1951--06.22.2021) (2021) (0)
Albert Shiryaev Interview undated (2010) (0)
On the History of the Foundation of the Russian Academy of Sciences and about the First Articles on Probability Theory in Russian Publications (2000) (0)
Stochastic Models: Discrete Time (1999) (0)
Optimal Stopping Rules. General Theory for the Discrete-Time Case in the Markov Representation (2019) (0)
Change of Measure.: General Facts (2010) (0)
Local Convergence of Statistical Experiments and Global Estimation (2000) (0)
Markov Chains (2019) (0)
In memory of Boris Aleksandrovich Sevastyanov (2013) (0)
Square integrable martingales, and structure of the functionals on a Wiener process (2001) (0)
On minimax Optimality of the CUSUM-Method applied to the Quickest Detecting of Spontaneously Occurring Effects (1997) (0)
Author's Response (2010) (0)
On the Minimax Optimality of the CUSUM Statistic in Disorder Problems for Brownian Motion (2017) (0)
In Memory of R. Sh. Liptser (20.03.1936 -- 02.01.2019) (2019) (0)
Optimal Linear Nonstationary Filtering (2001) (0)
All Russian mathematical portal (2019) (0)
Albert Shiryaev Interview 1978 (1978) (0)
Martingale Measures in the Stochastic Theory of Arbitrage (2010) (0)
On The 85th Birthday of Academician I. A. Ibragimov (2018) (0)
The Structure of Local Martingales, Absolute Continuity of Measures for Point Processes, and Filtering (2001) (0)
On a transformation of the measure of a Brownian motion with drift and Girsanov's theorem (2018) (0)
Рецензии на книги: Bertoin G. “Levy Processes”; Sato K.-I. “Levy Processes and Infinitely Divisible Distributions”@@@Book review: Bertoin G. “Levy Processes”; Sato K.-I. “Levy Processes and Infinitely Divisible Distributions” (2000) (0)
A Wider View. Ambit Processes and Fields, and Volatility/Intermittency (2015) (0)
On Duality Principle for Hedging Strategies in Diffusion Models (2012) (0)
Main Concepts, Structures, and Instruments: Aims and Problems of Financial Theory and Financial Engineering (1999) (0)
Optimal nonlinear filtering: interpolation and extrapolation of components of conditionally Gaussian processes (2001) (0)
Vladimir Igorevich Bogachev (2021) (0)
On the existence of solutions of unbounded optimal stopping problems (2014) (0)
ON TRANSFORMATIONS OF WIENER SPACE ANATOLI (0)
Semimartingales: Basic Notions,Structures, Elements of Stochastic Analysis (2010) (0)
On the scientific heritage of A. N. Kolmogorov (1988) (0)
Sequences and Sums of Independent Random Variables (2012) (0)
Hiring and ring optimally in a large corporationLarry (1996) (0)
Sequences of Random Variables That Form Martingales (1996) (0)
Sharp maximal inequalities for stochastic processes (2014) (0)
MATHEMATICAL EVENTS IN THE USSR: Vladimir Igorevich Arnol'd (on his fiftieth birthday) (1987) (0)
Random Point Processes: Stieltjes Stochastic Integrals (2001) (0)
Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case (2010) (0)
Vladimir Petrovich Platonov (on his fiftieth birthday) (1990) (0)
Stationary (Strict Sense) Random Sequences and Ergodic Theory (2019) (0)
Change of Measure in Models Based on Lévy Processes (2010) (0)
News of Scientific Life (2010) (0)
Conditionally Brownian and Lévy Processes.: Stochastic Volatility Models (2010) (0)
News of Scientific Life-Information on the General Seminar of the Department of Probability (Faculty of Mathematics and Mechanics, Moscow State University) (2018) (0)
Yurii Ivanovich Manin (on his fiftieth birthday) (1987) (0)
Stationary (in Broad Sense) Random Sequences: L 2 -theory (2012) (0)
Convergence to a Process with Independent Increments (1987) (0)
Andrei Nikolaevich Kolmogorov: In Memoriam (1990) (0)
Integral Representations and Change of Time in Stochastic Integrals (2010) (0)
On the rate of convergence in the limit theorem for stochastic integrals with respect to (2016) (0)
Multi-stage Quickest Detection of Breakdown of a Stationary Regime. Model with Brownian Motion (2019) (0)
Some Applications to Financial Mathematics (2019) (0)
In Memory of Marc Yor (2015) (0)
Albert Shiryaev Interview October 8, 1984 (1984) (0)
Basic Settings and Solutions of Quickest Detection Problems. Discrete Time (2019) (0)
Change of Time in Semimartingale Models and Models Based on Brownian Motion and Lévy Processes (2010) (0)
Abstracts of the International Conference on Stochastic Methods (2017) (0)
Bayesian and Variational Problems of Hypothesis Testing. Brownian Motion Models (2019) (0)
Probability-1 : Volume 1 (2016) (0)
Sequences of Random Variables That Form Markov Chains (2012) (0)
Theory of Arbitrage in Stochastic Financial Models: Discrete Time (1999) (0)
Martingales and Related Processes: Continuous Time (2001) (0)
Basic Formulations and Solutions of Quickest Detection Problems. Continuous Time. Models with Brownian Motion (2019) (0)
Disorder on Filtered Probability Spaces (2019) (0)
Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci (2014) (0)
Two-sided disorder problem for a Brownian motion in a Bayesian setting (2014) (0)
On the 75th Birthday of V. M. Zolotarev (2007) (0)

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Albert Nikolaevich Shiryaev's Published Works

Published Works

Albert Nikolaevich Shiryaev's AcademicInfluence.com Rankings