Albert N. Shiryaev

According to our database, Albert N. Shiryaev authored at least 9 papers between 1998 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2022

Sufficiency of Markov Policies for Continuous-Time Jump Markov Decision Processes.

Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev

Math. Oper. Res., 2022

Kolmogorov's equations for jump Markov processes with unbounded jump rates.

Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev

Ann. Oper. Res., 2022

2017

Preface.

Matthias Ehrhardt, Maria do Rosário Grossinho, Daniel Sevcovic, Albert N. Shiryaev

Int. J. Comput. Math., 2017

2013

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

Proceedings of the 52nd IEEE Conference on Decision and Control, 2013

2011

Optimal Stopping Rules.

Albert N. Shiryaev

Proceedings of the International Encyclopedia of Statistical Science, 2011

2008

On the duality principle in option pricing: semimartingale setting.

Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev

Finance Stochastics, 2008

2002

The cumulant process and Esscher's change of measure.

Jan Kallsen, Albert N. Shiryaev

Finance Stochastics, 2002

2001

Editorial.

Albert N. Shiryaev, Steven E. Shreve, Dieter Sondermann

Finance Stochastics, 2001

1998

Local martingales and the fundamental asset pricing theorems in the discrete-time case.

Jean Jacod, Albert N. Shiryaev

Finance Stochastics, 1998