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.

Albert Shiryaev
Albert Nikolaevich Shiryaev
Born (1934-10-12) October 12, 1934
Shchyolkovo, Moscow Oblast, Russian SFSR, USSR
NationalityRussian
Alma materMoscow State University
Known forProbability theory
AwardsMarkov Prize (1974)
Scientific career
FieldsMathematician
InstitutionsMoscow State University
Steklov Institute of Mathematics
University of Manchester
Doctoral advisorAndrey Kolmogorov
Doctoral studentsDmitry Kramkov
Ernesto Mordecki
Alexander Novikov

Career

He graduated from Moscow State University in 1957. From that time until 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

References
  1. Change of Time and Change of Measure. Advanced Series on Statistical Science & Applied Probability. 21. 2015. doi:10.1142/9609. ISBN 978-981-4678-58-2.


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