Bøker av Albert N. Shiryaev

Advanced maths students have been waiting for this, the third edition of a text that deals with one of the fundamentals of their field. This book contains a systematic treatment of probability from the ground up, starting with intuitive ideas and gradually developing more sophisticated subjects, such as random walks and the Kalman-Bucy filter. Examples are discussed in detail, and there are a large number of exercises. This third edition contains new problems and exercises, new proofs, expanded material on financial mathematics, financial engineering, and mathematical statistics, and a final chapter on the history of probability theory.

Provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. This book is suitable for graduate-level courses and students, as well as for researchers and practitioners in financial mathematics and econometrics.

This monograph focuses on those stochastic quickest detection tasks in disorder problems that arise in the dynamical analysis of statistical data.

This third edition contains new problems and exercises, new proofs, expanded material on financial mathematics, financial engineering, and mathematical statistics, and a final chapter on the history of probability theory.