Albert Shiryaev

Albert Nikolayevich Shiryaev (Russian: Альбе́рт Никола́евич Ширя́ев; born October 12, 1934) is a Soviet and Russian mathematician. He is known for his work in probability theory, statistics and financial mathematics.

Contents

• Contributions
• Publications
• References

He graduated from Moscow State University in 1957. From that time till now he has been working in Steklov Mathematical Institute. He earned his candidate degree in 1961 (Andrey Kolmogorov was his advisor) and a doctoral degree in 1967 for his work "On statistical sequential analysis". He is a professor of the department of mechanics and mathematics of Moscow State University, since 1971. He was elected a corresponding member of the Russian Academy of Sciences in 1997 and a full member in 2011. As of 2007 Shiryaev holds a 20% permanent professorial position at the School of Mathematics, University of Manchester.

Contributions

His scientific work concerns different aspects of probability theory, statistics and its applications. He has contributions to:

Nonlinear theory of stationary stochastic processes

Problems of fast detection of random effects (A.N. Kolmogorov Prize of Russian Academy of Sciences, 1994)

Problems of optimal nonlinear filtration, stochastic differential equations (A.N. Markov Prize of USSR Academy of Sciences, 1974)

Problems of stochastic optimization, including "Optimal stopping rules"

Problems of general stochastic theory and martingale theory

Problems of stochastic finance (monograph "The Essentials of Stochastic Finance", English and Russian editions)

Publications

Change of Time and Change of Measure (2nd Edition) - World Scientific Publishing