Albert N. Shiryaev

Publication Activity (10 Years)

Years Active: 1998-2022
Publications (10 Years): 3

Top Topics

Transition Probabilities

Expected Reward

Markov Processes

Top Venues

Ann. Oper. Res.

Math. Oper. Res.

Int. J. Comput. Math.

Publications

Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev
Sufficiency of Markov Policies for Continuous-Time Jump Markov Decision Processes. Math. Oper. Res. 47 (2) (2022)
Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev
Kolmogorov's equations for jump Markov processes with unbounded jump rates. Ann. Oper. Res. 317 (2) (2022)
Matthias Ehrhardt, Maria do Rosário Grossinho, Daniel Sevcovic, Albert N. Shiryaev
Preface. Int. J. Comput. Math. 94 (11) (2017)
Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev
Sufficiency of Markov policies for continuous-time Markov decision processes and solutions to Kolmogorov's forward equation for jump Markov processes. CDC (2013)
Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev
On the duality principle in option pricing: semimartingale setting. Finance Stochastics 12 (2) (2008)
Jan Kallsen, Albert N. Shiryaev
The cumulant process and Esscher's change of measure. Finance Stochastics 6 (4) (2002)
Albert N. Shiryaev, Steven E. Shreve, Dieter Sondermann
Editorial. Finance Stochastics 5 (1) (2001)
Jean Jacod, Albert N. Shiryaev
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Finance Stochastics 2 (3) (1998)