Local martingales and the fundamental asset pricing theorems in the discrete-time case. - Jean Jacod; Albert N. Shiryaev (Finance Stochastics, 1998)

Editorial. - Albert N. Shiryaev; Steven E. Shreve; Dieter Sondermann (Finance Stochastics, 2001)

The cumulant process and Esscher's change of measure. - Jan Kallsen; Albert N. Shiryaev (Finance Stochastics, 2002)

On the duality principle in option pricing: semimartingale setting. - Ernst Eberlein; Antonis Papapantoleon; Albert N. Shiryaev (Finance Stochastics, 2008)

Optimal Stopping Rules. - Albert N. Shiryaev (International Encyclopedia of Statistical Science, 2011)

Sufficiency of Markov policies for continuous-time Markov decision processes and solutions to Kolmogorov's forward equation for jump Markov processes. - Eugene A. Feinberg; Manasa Mandava; Albert N. Shiryaev (CDC, 2013)

Preface. - Matthias Ehrhardt 001; Maria do Rosário Grossinho; Daniel Sevcovic; Albert N. Shiryaev (Int. J. Comput. Math., 2017)

Kolmogorov's equations for jump Markov processes with unbounded jump rates. - Eugene A. Feinberg; Manasa Mandava; Albert N. Shiryaev (Ann. Oper. Res., 2022)

Sufficiency of Markov Policies for Continuous-Time Jump Markov Decision Processes. - Eugene A. Feinberg; Manasa Mandava; Albert N. Shiryaev (Math. Oper. Res., 2022)