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Professor Alb ert N. Shiryaev
Steklov Mathematical Institute of the Russian Academy of Sciences and Moscow State University

RESEARCH ACHIEVEMENTS (2001­2007)
I. Publications (in the period 2001­2007): 35 papers, 12 monographs and textbooks. By years: 2001 6 papers and monograph "Statistics of Stochastic Processes", vol. 1 (427 pp.); vol. 2 (402 pp.), 2-nd, revised and expanded ed. (with R. Sh. Liptser), Springer, Appl. Math. Stoch. Modelling Appl. Probab., 6 8 papers 9 papers and (a) monograph "Limit Theorems for Stochastic Processes", 2-nd expanded ed., 661 pp. (with J. Jacod), Springer, Grundlehren Math. Wiss., 288 (b) textbook "Theory of Stochastic Processes" (Russian), 400 pp. (with A. V. Bulinsky) Fizmatlit, Nauka, Moscow (c) 3 volumes dedicated to the centenary of A. N. Kolmogorov, 380 pp., 672 pp., 232 pp. (edited and composed by A. N. Shiryaev), Fizmatlit, Nauka, Moscow 2 papers and monograph "Essentials of Stochastic Finance" (Russian), vol. 1 (489 pp.); vol. 2 (528 pp.), 2-nd ed., Phasis, Moscow 2 papers and textbook "Problems on Probability Theory" (Russian), 416 pp., MCCME, Moscow

2002 2003

2004

2005

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2006

6 papers and (a) monograph "Optimal Stopping and Free-Boundary Problems", (with G. Peskir), 500 pp., Birkh¨ auser, Basel, Lecture Math. ETH Zurich; ¨ (b) book "Kolmogorov in the Memory of Pupils" (Russian), 472 pp. (edited and composed by A. N. Shiryaev) MCCME, Moscow; (c) book "Stochastic Finance" (Russian), 472 pp. (edited by A. N. Shiryaev et al., and with a preface by A. N. Shiryaev) Springer, New York 2 papers and textbook "Probability" (Russian), vol. 1 (552 pp.); vol. 2 (415 pp.), 416 pp., MCCME, Moscow 3 papers and (a) English edition of the textbook "Probability", vol. 1, 2, Springer; (b) English edition of the textbook "Problems on Probability Theory", Springer

2007

In print

I I. Main research achievements (2001­2007) A. Stochastic Calculus : · explicit integral representations for a wide class of functionals of a Brownian motion; · new predictable criteria of existence of stochastic integral with respect to semimartingales (conditions on the integrand); · definitions and properties of the vector stochastic integrals. B. Mathematical Finance : · effective solutions for the nonlinear exotic options ("power options"; "Russian options" under condition of possible price "freeze"; "barrier version of the Russian option"); · construction of the cumulant processes for semimartingale models with application to the Esscher's change of measures.

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C. General Theory of Optimal Stopping : · the monograph "Optimal Stopping and Free-Boundary Problems" (with G. Peskir) gives comprehensive treatment of the optimal stopping theory and contains many new results for concrete problems of the general interest; D. Quickest Detection Problems : · new results on the structure of optimal stopping in the generalised Bayesian formulations; · new results on the quickest detection of the unpredictable times for the Brownian motion. I I I. Editorial work related with the memory and legacy of A. N. Kolmogorov: ­ composing and editing 3 volumes dedicated to the centenary of A. N. Kolmogorov (Nauka, Moscow, 2003); ­ composing and editing 4 volumes of Selected Papers of A. N. Kolmogorov (Nauka, Moscow, 2005­2006); ­ composing and editing the book Kolmogorov in the Memory of Pupils (MCCME, Moscow, 2006); ­ creation of the film "To the centenary of a great Russian scientist Andrei Nikolaevich Kolmogorov" (Steklov Mathematical Institute of the Russian Academy of Sciences, 2004).

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Professor Alb ert N. Shiryaev
Steklov Mathematical Institute of the Russian Academy of Sciences and Moscow State University

ESTEEM INDICATORS (2001­2007)
A. Titles and Awards : · Head of the Probability Theory Department at the Moscow State University (since 1996); · Correspondent member of the Russian Academy of Sciences (since 1997); · Doctor Rerum Naturalium Honoris Causa of Albert Ludwigs University of Freiburg im Breisgau, Germany (2001); · Professor Honoris Causa of Amsterdam University (2002); · Distinguished Professor of M. V. Lomonosov Moscow State University (2003); · Honored scientific worker of the Russian Federation (2005); · The Shiryaev Festschrift: "From Stochastic Calculus to Mathematical Finance". Proceeding of the 2nd Bachelier Colloquium dedicated to Albert N. Shiryaev. Springer, Berlin, 2006. B. Conferences (as an organizer): · one of main organizer of the International Conference "Kolmogorov and Contemporary Mathematics" (June 16­21, 2003, Moscow, more than 1000 participants); · Chairman of the Program Committee of the International Conference "Stochastic Finance-2004" (September 26­30, 2004, Lisbon, Portugal; 80 participants); · Co-chairman of the "School and Symposium on Optimal Stopping with Applications" (January 17­27, 2006, Manchester); · Chairman of the Program Committee of the Russian-Scandinavian Symposium "Probability Theory and Applied Probability" (August 26­31, 2006, Petrozavodsk, Karelia); · Chairman of the Program Committee of the International Conference "Finance and Control" (April 2007, Portugal).

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C. Conferences (as a participant): · Plenary talk at the Conference on Probability Theory and Mathematical Statistics dedicated to the centenary of A. N. Kolmogorov (September 21­27, 2003, Tbilisi, Georgia); · Plenary talk at the Franco-Russian Colloquium "Perspectives de coop´ ation en informatiques et math´ er ematiques appliqu´ ees" (October 2003, Moscow); · Plenary talk at the Princeton­Chicago Conference on Econometrics of High Frequency Financial Data (June 2004, Princeton, USA); · Plenary talk at the International Conference "Stochastic Finance2004" (26­30 September 2004, Lisbon, Portugal); · Inaugural lecture and 2 thematic lectures on stochastic calculus, filtration and martingales at the Second Bachelier Colloquium dedicated to Albert N. Shiryaev (January 9­15, 2005, M´ etabief, France); · Invited talk at the Workshop on nonlinear stochastic methods (May 2005, Halmstad University, Sweden); · Plenary talk at "Conference on stochastic model ling of complex systems" (July 10­16, 2005, Day Dream Island, Australia); · Plenary talk at the Conference "Past, Present and Future in Investment Management" (August 11­12, 2005, Sydney, Australia); · Plenary talk at the Russian-Scandinavian Symposium "Probability Theory and Applied Probability" (August 26­31, 2006, Petrozavodsk, Karelia); · Plenary one-and-a-half-hour talk at the "International Conference on Stochastics in Science" (March 20­24, 2006, Guana juato, Mexico); · Plenary talk on the minimax criteria in the quickest detection problems at the IIASA conference on complex systems (2006, IIASA, Vienna­Laxemburg, Austria); · Plenary talk "Some explicit stochastic integral representation for Brownian functionals" at the 6th Ritsumeikan International Symposium "Stochastic Processes and Applications to Mathematical Finance" (March 6­10, 2006, Ritsumeikan University, Japan);

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· Invited lecture at the Workshop on the stochastics and asymptotics in complex systems (August 2006, Japan) in the frame of Russia­Japan two-year program (A. N. Shiryaev is the co-leader from the Russia); · Talk "On the duality principle in option pricing:semimartingale setting" at the International Winter School (January 2007, Lunteren, Holland); · Talk "Euler and Probability Theory" at the Meeting of the Mathematics and Mechanics Faculty of the Moscow State University dedicated to 300th anniversary of Leonard Euler (April 25, 2007, Moscow); · Plenary talk at the Symposium on stochastic calculus and stochastic differential equations (August 2007, Warwick). D. Courses of lectures : · Columbia University (May 2004): 8 lectures on the applications of stochastic calculus in mathematical finance; · Princeton University (November­December 2005): 10 lectures on stochastic calculus of semimartingales; · University South California (Los Angeles, USA, June 2005): 4 lectures on mathematical finance; · Singapore Institute of Mathematics (August, 2005): 3 lectures on stochastic calculus with applications; · Halmstad University (Sweden, November­December 2006): 10 lectures on essentials of stochastic finance (discrete and continuous time); · Amsterdam University, Korteweg­de Vries Istitute (January 2007): 18 lectures on semimartingales, stochastic calculus, mathematical finance; · Hong Kong Chinese University (May 2007): 10 lectures on optimal stopping.

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