Albert N. Shiryaev
According to our database1, Albert N. Shiryaev authored at least 7 papers between 1998 and 2017.
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Int. J. Comput. Math., 2017
Sufficiency of Markov policies for continuous-time Markov decision processes and solutions to Kolmogorov's forward equation for jump Markov processes.
Proceedings of the 52nd IEEE Conference on Decision and Control, 2013
Optimal Stopping Rules.
Proceedings of the International Encyclopedia of Statistical Science, 2011
On the duality principle in option pricing: semimartingale setting.
Finance and Stochastics, 2008
The cumulant process and Esscher's change of measure.
Finance and Stochastics, 2002
Finance and Stochastics, 2001
Local martingales and the fundamental asset pricing theorems in the discrete-time case.
Finance and Stochastics, 1998