Albert Shiryaev

Albert Nikolaevich Shiryaev (Russian Альберт Николаевич Ширяев, English transcription Albert Nikolayevich Shiryaev, born October 12, 1934 in Schtscholkowo ) is a Russian mathematician who deals with probability theory, statistics and financial mathematics.

Shiryaev is a student of Andrei Kolmogorov at Moscow State University, where in 1957 he graduated in 1961 received his PhD (Candidate title, title of the work Optimal methods for the problems at the earliest possible detection) and in 1967 his habilitation (Russian doctoral degree, the work studies random sequence analysis). Since 1970 he is professor at the Moscow State University ( where he was the chair of probability theory has since 1996) and also at the Steklov Institute, where he directs since 1957, the Laboratory of Statistics of stochastic processes. Since 2007 he is also professor at the University of Manchester.

In 1974 he received the Markov price. In 1978 he gave a plenary lecture at the International Congress of Mathematicians in Helsinki ( Absolute Continuity and Singularity of Probability Measures in Functional Spaces ) and in 1970 he was invited speaker at the ICM in Nice ( Sur les equations aux stochastiques derivées partial ). In 1994 he received the Kolmogorov Prize of the Russian Academy of Sciences. In 1996 he received the Humboldt Research Award.

He is a corresponding member of the Russian Academy of Sciences since 1997. He is also a member of the Academia Europaea and the New York Academy of Sciences. 1989 to 1991 he was President of the Bernoulli Society. 1994 to 1998 he was president of the Russian Society of Actuaries. 1998/99 he was the first president and co-founder of the Bachelier Society. Since 1985 he is honorary member of the Royal Statistical Society. Since 2000 he is honorary doctorate from the Albert -Ludwigs- University of Freiburg and the University of Amsterdam since 2002.

His PhD is part of the EMS Prize winner Dmitry Kramkow.

Writings

• The Essentials of Stochastic Finance, World Scientific 1998
• Statistical sequential analysis: optimal stopping rules, American Mathematical Society, 1976 ( Russian 1969), new edition as Optimal Stopping Rules Springer 1978, 2008
• With Robert Liptser Statistics of random processes, 2 volumes, Springer 1977/1978, 1981
• R. Liptser Theory of Martingales, Kluwer 1986
• With Jean Jacod limit theorem for Stochastic Processes, Springer 1994
• With P.Greenwood contiguity and Statistical Invariance Principle, Gordon and Breach 1985
• With V. Spokoiny Statistical Experiments and Decision, World Scientific 2000
• With AV Bulinsky Theory of Stochastic Processes. A course of lectures, Moscow 2003 ( Russian)
• Probability, Akademie Verlag, 1988, English: Probability, Springer 1984, 1996 ( new edition in preparation, 1980 Russian, 2004)
• From Disorder to nonlinear filtering and martingale theory, in Bolibruch, Osipov, Sinai (Editor) Mathematical Events of the Twentieth Century, Springer 2006, pp. 371