Albert Nikolaevich Shiryaev
October 12, 1934|
Shchyolkovo, Moscow Oblast, Russian SFSR, USSR
|Alma mater||Moscow State University|
|Known for||Probability theory|
|Awards||Markov Prize (1974)|
Moscow State University|
Steklov Institute of Mathematics
University of Manchester
|Doctoral advisor||Andrey Kolmogorov|
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.
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[update] Shiryaev holds a 20% permanent professorial position at the School of Mathematics, University of Manchester.
- 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)
- Albert Shiryaev at the Mathematics Genealogy Project
- A.N. Shiryaev at MSU (in Russian)
- A.N. Shiryaev at RAS.
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