Stochastic calculus, martingales, and their applications
Collected papers. Dedicated to Academician Albert Nikolaevich Shiryaev on the occasion of his 80th birthday
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Albert Nikolaevich Shiryaev (photo)
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Congratulatory address from the Steklov Institute to Albert Nikolaevich Shiryaev on the occasion of his 80th birthday
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7 |
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On some functional inequalities for skew Brownian motion
A. T. Abakirova
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9 |
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The stochastic field of aggregate utilities and its saddle conjugate
P. Bank, D. Kramkov
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21 |
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New approach to the segmentation problem for time series of arbitrary nature
B. S. Darhovsky, A. Piryatinska
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61 |
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Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
A. Ellanskaya, L. Vostrikova
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75 |
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Convergence of probability measures and Markov decision models with incomplete information
Eugene A. Feinberg, Pavlo O. Kasyanov, Michael Z. Zgurovsky
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103 |
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On pathwise counterparts of Doob's maximal inequalities
A. A. Gushchin
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125 |
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On the submartingale/supermartingale property of diffusions in natural scale
Alexander Gushchin, Mikhail Urusov, Mihail Zervos
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129 |
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Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
Yury A. Kutoyants
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140 |
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Sharp maximal inequalities for stochastic processes
Ya. A. Lyulko, A. N. Shiryaev
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162 |
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Multidimensional and abstract probability
V. M. Maximov
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182 |
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Two-sided disorder problem for a Brownian motion in a Bayesian setting
A. A. Muravlev, A. N. Shiryaev
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211 |
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Lower and upper bounds for prices of Asian-type options
A. A. Novikov, N. E. Kordzahia
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234 |
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Critical dimension in the semiparametric Bernstein–von Mises theorem
Maxim E. Panov, Vladimir G. Spokoiny
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242 |
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Characterization of density processes of deformed stochastic bases of the first kind
I. V. Pavlov, O. V. Nazarko
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267 |
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Nearly optimal sequential tests of composite hypotheses revisited
Alexander G. Tartakovsky
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279 |
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On the law of large numbers for martingales
P. A. Yaskov
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300 |
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On the existence of solutions of unbounded optimal stopping problems
M. V. Zhitlukhin, A. N. Shiryaev
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310 |
© , 2025
