Albert Nikolayevich Shiryaev (russian: Альбе́рт Никола́евич Ширя́ев; born October 12, 1934) is a

Soviet The Soviet Union,. officially the Union of Soviet Socialist Republics. (USSR),. was a List of former transcontinental countries#Since 1700, transcontinental country that spanned much of Eurasia from 1922 to 1991. A flagship communist state, ...

and Russian

mathematician A mathematician is someone who uses an extensive knowledge of mathematics in their work, typically to solve mathematical problems. Mathematicians are concerned with numbers, data, quantity, structure, space, models, and change. History On ...

. He is known for his work in

probability Probability is the branch of mathematics concerning numerical descriptions of how likely an Event (probability theory), event is to occur, or how likely it is that a proposition is true. The probability of an event is a number between 0 and ...

theory,

statistics Statistics (from German language, German: ''wikt:Statistik#German, Statistik'', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of ...

and

financial mathematics Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets. In general, there exist two separate branches of finance that require ...

Career

He graduated from

Moscow State University M. V. Lomonosov Moscow State University (MSU; russian: Московский государственный университет имени М. В. Ломоносова) is a public research university in Moscow, Russia and the most prestigious ...

in 1957. From that time until now he has been working in

Steklov Mathematical Institute Steklov Institute of Mathematics or Steklov Mathematical Institute (russian: Математический институт имени В.А.Стеклова) is a premier research institute based in Moscow, specialized in mathematics, and a part o ...

. He earned his candidate degree in 1961 (

Andrey Kolmogorov Andrey Nikolaevich Kolmogorov ( rus, Андре́й Никола́евич Колмого́ров, p=ɐnˈdrʲej nʲɪkɐˈlajɪvʲɪtɕ kəlmɐˈɡorəf, a=Ru-Andrey Nikolaevich Kolmogorov.ogg, 25 April 1903 – 20 October 1987) was a Sovi ...

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. Shiryaev holds a 20% permanent professorial position at the

School of Mathematics, University of Manchester The Department of Mathematics at the University of Manchester is one of the largest unified mathematics departments in the United Kingdom, with over 90 academic staff and an undergraduate intake of roughly 400 students per year (including students ...

. He has supervised more than 50 doctoral dissertations and is the author or coauthor of more than 250 publications. In 1970 he was an Invited Speaker with talk ''Sur les equations stochastiques aux dérivées partielles'' at the

International Congress of Mathematicians The International Congress of Mathematicians (ICM) is the largest conference for the topic of mathematics. It meets once every four years, hosted by the International Mathematical Union (IMU). The Fields Medals, the Nevanlinna Prize (to be rename ...

(ICM) in Nice. In 1978 he was a Plenary Speaker with talk ''Absolute Continuity and Singularity of Probability Measures in Functional Spaces'' at the ICM in

Helsinki Helsinki ( or ; ; sv, Helsingfors, ) is the Capital city, capital, primate city, primate, and List of cities and towns in Finland, most populous city of Finland. Located on the shore of the Gulf of Finland, it is the seat of the region of U ...

. He was elected in 1985 an honorary member of the

Royal Statistical Society The Royal Statistical Society (RSS) is an established statistical society. It has three main roles: a British learned society for statistics, a professional body for statisticians and a charity which promotes statistics for the public good. ...

and in 1990 a member of

Academia Europaea The Academia Europaea is a pan-European Academy of Humanities, Letters, Law, and Sciences. The Academia was founded in 1988 as a functioning Europe-wide Academy that encompasses all fields of scholarly inquiry. It acts as co-ordinator of Europea ...

. From 1989 to 1991 he was the president of the

Bernoulli Society for Mathematical Statistics and Probability The Bernoulli Society is a professional association which aims to further the progress of probability and mathematical statistics, founded as part of the International Statistical Institute in 1975. It is named after the Bernoulli family of mathema ...

. From 1994 to 1998 he was the president of the Russian Actuarial Society. In 1996 he was awarded a

Humboldt Prize The Humboldt Prize, the Humboldt-Forschungspreis in German, also known as the Humboldt Research Award, is an award given by the Alexander von Humboldt Foundation of Germany to internationally renowned scientists and scholars who work outside of G ...

. He was elected a corresponding member of the

Russian Academy of Sciences The Russian Academy of Sciences (RAS; russian: Росси́йская акаде́мия нау́к (РАН) ''Rossíyskaya akadémiya naúk'') consists of the national academy of Russia; a network of scientific research institutes from across t ...

in 1997 and a full member in 2011. From 1998 to 1999 he was a founding member and the first president of the Bachelier Finance Society. He was made in 2000 Doctor Rerum Naturalium Honoris Causa of

Albert Ludwigs University of Freiburg The University of Freiburg (colloquially german: Uni Freiburg), officially the Albert Ludwig University of Freiburg (german: Albert-Ludwigs-Universität Freiburg), is a public research university located in Freiburg im Breisgau, Baden-Württemb ...

and in 2002 Professor Honoris Causa of the

University of Amsterdam The University of Amsterdam (abbreviated as UvA, nl, Universiteit van Amsterdam) is a public research university located in Amsterdam, Netherlands. The UvA is one of two large, publicly funded research universities in the city, the other being ...

. In 2017 he was awarded the Chebyschev gold medal of the Russian Academy of Sciences.

Contributions

His scientific work concerns different aspects of

probability theory Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set o ...

and its applications. He has contributions to: *Nonlinear theory of stationary

stochastic processes In probability theory and related fields, a stochastic () or random process is a mathematical object usually defined as a family of random variables. Stochastic processes are widely used as mathematical models of systems and phenomena that appe ...

*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 stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs are used to model various phenomena such as stock pr ...

(A.N. Markov Prize of

USSR Academy of Sciences The Academy of Sciences of the Soviet Union was the highest scientific institution of the Soviet Union from 1925 to 1991, uniting the country's leading scientists, subordinated directly to the Council of Ministers of the Soviet Union (until 1946 ...

, 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)

Publications

* ** ''Statistical sequential analysis: optimal stopping rules.'' American Mathematical Society 1976 (Russian 1969), new edition entitled ''Optimal Stopping Rules'', Springer 1978, 2008 * with Robert Liptser: ''Statistics of random processes.'' 2 vols., Springer, 1977/1978, 1981
2nd edition 2013, vol. 1
* with P. Greenwood
''Contiguity and Statistical Invariance Principle.''
Gordon and Breach, 1985 * with R. Liptser: ''Theory of Martingales.'' Kluwer 1986
2012 edition
* ; 1st Russian edition 1980; 2nd Russian edition 1989, 2004 ** ''Wahrscheinlichkeit'' (= ''Hochschulbücher für Mathematik.'' vol. 91). Deutscher Verlag der Wissenschaften, Berlin 1988, ISBN 3-326-00195-9 (English: ''Probability'', Springer 1984, 1996) * with Jean Jacod: ''Limit Theorems for Stochastic Processes.'' Springer, 1994
2nd edition 2013
* * with V. Spokoiny
''Statistical Experiments and Decision.''
World Scientific 2000 * with A. V. Bulinsky: ''Theory of Stochastic Processes. A course of lectures.'' Moscow 2003 (in Russian) * ''From "Disorder" to Nonlinear Filtering and Martingale Theory.'' In: Bolibruch, Osipov, Sinai (eds.): ''Mathematical Events of the Twentieth Century.'' Springer 2006, pp. 371–397 (translated by R. Cooke) * with

Ole Barndorff-Nielsen Ole Eiler Barndorff-Nielsen (18 March, 1935 – 26 June, 2022) was a Danish statistician who has contributed to many areas of statistical science. Education and career He was born in Copenhagen, and became interested in statistics when, as a ...

: 1st edition 2010 *

Career

Contributions

Publications

References

External links