Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.
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Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev’s works is included. The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers.
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Inside This Book
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Key Phrases - Statistically Improbable Phrases (SIPs):
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asymptotic stochastic stability, integrated squared volatility, bipower variations, excess wealth order, distributional dependence, balayage formula, tail copula, occupation times formula, chaos solution, extended stopping time, white noise solution, empirical copula, symmetric stable process, local martingale with respect, statistical sequential analysis, risk sensitive control, stochastic exponential, affine process, tail dependence, stochastic basis, initial enlargement, mixing bounds, filtered space, stochastic interval, localizing sequence Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Mathematics Subject Classification, Lecture Notes, Probability Theory, Cambridge University Press, Annals of Probability, Ornstein Uhlenbeck, Cameron Martin, Academic Press, Cairoli Walsh, Didactic Note, Kullback Leibler, Lévy Khintchine, Navier Stokes, Notes Math, Theory Probab, Dalang Morton Willinger, Irreversible Investment Model, Journal of Finance, Kluwer Acad, Quantitative Finance, Theory of Martingales, Azéma Yor, Moscow State University, Optimal Time New!
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asymptotic stochastic stability, integrated squared volatility, bipower variations, excess wealth order, distributional dependence, balayage formula, tail copula, occupation times formula, chaos solution, extended stopping time, white noise solution, empirical copula, symmetric stable process, local martingale with respect, statistical sequential analysis, risk sensitive control, stochastic exponential, affine process, tail dependence, stochastic basis, initial enlargement, mixing bounds, filtered space, stochastic interval, localizing sequence Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Mathematics Subject Classification, Lecture Notes, Probability Theory, Cambridge University Press, Annals of Probability, Ornstein Uhlenbeck, Cameron Martin, Academic Press, Cairoli Walsh, Didactic Note, Kullback Leibler, Lévy Khintchine, Navier Stokes, Notes Math, Theory Probab, Dalang Morton Willinger, Irreversible Investment Model, Journal of Finance, Kluwer Acad, Quantitative Finance, Theory of Martingales, Azéma Yor, Moscow State University, Optimal Time New!
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Front Cover | Table of Contents | First Pages | Back Cover | Surprise Me!
Citations (learn more)
This book cites 57
books:
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- Theory of Martingales (Mathematics and its Applications) by Robert Liptser on 4 pages
- Limit Theorems for Stochastic Processes by Jean Jacod on 4 pages
- Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) by Ioannis Karatzas on page 167, page 332, and page 505
- Markov Chains and Stochastic Stability (Communications and Control Engineering) by Sean P. Meyn on page 209, and page 226
- Controlled Diffusion Processes (Stochastic Modelling and Applied Probability) by Nikolai Vladimirovich Krylov on page 314, and Back Matter
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