Albert N. Shiryaev

Finance · 1963–2010

A researcher in the Science corpus: 13 papers; trusts 9 researchers and is trusted by 17 researchers here, as inferred from the citation graph.

Subfields

• Finance — 16 citations into it; #3,609 of 10,518 by trust here, #4,858 by citations
• Economics and Econometrics — 5 citations into it

Whom Albert N. Shiryaev trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. George V. Moustakides
2. Xun Li
3. Xun Yu Zhou
4. Goran Peskir
5. Pavel V. Gapeev
6. Erhan Bayraktar
7. Hong Liu
8. Ioannis Karatzas
9. Jan Kallsen
10. Jordan Stoyanov

Who trusts Albert N. Shiryaev overall

1. Tze Leung Lai
2. Alexander G. Tartakovsky
3. Yajun Mei
4. Pavel V. Gapeev
5. Aleksey S. Polunchenko
6. Cheng-Der Fuh
7. George V. Moustakides
8. Michael Baron
9. Taposh Banerjee
10. William H. Woodall

Papers from Albert N. Shiryaev's perspective

Ordered by how strongly the researchers Albert N. Shiryaev trusts endorse each paper. Same corpus, a different order for every researcher.

1. Optimal Portfolio Selection with Transaction Costs and Finite Horizons
2. On Optimum Methods in Quickest Detection Problems
3. On optimal stopping and free boundary problems
4. Sequential testing problems for Poisson processes
5. Methods of Mathematical Finance
6. The Equity Premium Puzzle
7. Continuous-time mean-variance efficiency: the 80% rule
8. Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
9. Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum
10. Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors

Their papers

• Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum (2001) — 103 citations
• Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings (2006) — 78 citations
• Sequential testing problems for Poisson processes (2000) — 105 citations
• Change of time and change of measure (2010) — 158 citations
• Bayesian Quickest Detection Problems for Some Diffusion Processes (2010) — 63 citations
• Thou shalt buy and hold (2008) — 128 citations
• Esscher transform and the duality principle for multidimensional semimartingales (2008) — 75 citations
• VECTOR STOCHASTIC INTEGRALS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING (2003) — 75 citations
• Quickest Detection Problems in the Technical Analysis of the Financial Data (2002) — 130 citations
• Solving the Poisson Disorder Problem (2002) — 124 citations
• Statistical Experiments and Decisions: Asymptotic Theory (2000) — 80 citations
• An Extension of P. Lévy's Distributional Properties to the Case of a Brownian Motion with Drift@@@An Extension of P. Levy's Distributional Properties to the Case of a Brownian Motion with Drift (2000) — 63 citations
• On Optimum Methods in Quickest Detection Problems (1963)