Albert Shiyaev - Curriculum vitae#

A.

• 1952-1957 Student of the Faculty of Mechanics and Mathematics of the Moscow State University.
• Since 1957 Member of the Steklov Mathematical Institute of the Russian Academy of Sciences.
• 1961 Candidate (Ph. D.) dissertation EOptimal methods on quickest detection problems". Scientific advisor A. N. Kolmogorov.
• 1967 Dissertation for degree of Doctor of Phys.-Math. Sci. "Studies in the sequential statistical analysis". Official opponents: A. N. Kolmogorov, A. V. Skorokhod, and I. A. Ibragimov.
• Since 1970 Professor of the Moscow State University.
• 1986-2002 Head of the Laboratory "Statistics of Stochastic Processes" of the Steklov Mathematical Institute.
• Since 1996 Head of the Probability Theory Department of the Faculty of Mechanics and Mathematics of the Moscow State University.
• Since 1997 Correspondent member of the Russian Academy of Sciences.

B. Scientific activity

More than 170 main scientific papers (on probability theory, mathematical and applied statistics, optimal stochastic control, financial mathematics, history of mathematics).
Monographs:
1. Statistical Sequential Analysis

• 1969 - Russian edition, "Nauka", 231 pp.;
• 1973 - English edition, Amer. Math. Soc., iv+174 pp.;
• 1976 - 2nd Russian edition, rev., "Nauka", 272 pp.;
• 1978 - English edition under the title "Optimal stopping rules", Springer, x+217 pp.
• 2008 - Reprint of the 1978 translation, Springer-Verlag, xii+217 pp.

2. Statistics of Random Processes (with R. Sh. Liptser)

• 1974 - Russian edition, "Nauka", 696 pp.;
• 1977 - English edition, vol. I, Springer, x+394 pp.;
• 1978 - English edition, vol. II, Springer, x+339 pp.;
• 1981 - Polish edition, PWN, 680 pp.;
• 2001 - 2nd English ed., rev. and expanded, vol. I, II; xv+427 pp., xv+402 pp.

3. Theory of Martingales (with R. Sh. Liptser)

• 1986 - Russian edition, "Nauka", 512 pp.;
• 1989 - English edition, Kluwer Acad. Publ., xiv+792 pp.

4. Limit Theorems for Stochastic Processes (with J. Jacod)

• 1987 - English edition, Springer; xvii+600 pp.;
• 1994 - Russian edition, vol. I, II, "Nauka", 544 pp., 368 pp.;
• 2003 - 2nd English edition, rev. and expanded, Springer, xx+661 pp.

5. Contiguity and Statistical Invariance Principle (with P. E. Greenwood)

• 1985 - English edition, Gordon & Breach, viii+236 pp.

6. Essentials of Stochastic Finance

• 1998 - Russian edition, vol. I, II, "FAZIS", 1018 pp.;
• 1999 - English edition, World Scientific Publ., xvi+834 pp. Reprinted 1999, 2000, 2001, 2003;
• 2004 - 2nd Russian ed., corrected, xxxviii+1018 pp.

7. Statistical Experiments and Decision (with V. G. Spokoiny)

• 2000 - World Scientific Publ., xvi+281 pp.

8. Theory of Random Processes (with A. V. Bulinsky)

• 2003 - Russian edition, Fizmatlit, 399 p.

9. Optimal Stopping and Free-Boundary Problems (with G. Peskir)

• 2006 - Lectures in Mathematics ETH Zurich. BirkhÄauser, xxii+500 p.

Textbooks:
1. Probability, Statistics, Stochastic Processes I, II

• 1973 - Russian edition, vol. I, Moscow Univ. Press, 204 pp.;
• 1974 - Russian edition, vol. II, Moscow Univ. Press, 224 pp.

2. Stochastic Processes

• 1972 - Russian edition, Moscow Univ. Press, 241 pp.;

3. Probability

• 1980 - Russian edition, "Nauka", 576 pp.;
• 1984 - English edition, Springer, xi+577 pp.;
• 1988 - German edition, Academie-Verlag, 592 pp.;
• 1989 - 2nd Russian edition, rev. and expanded, "Nauka", 640 pp.;
• 1995 - 2nd English edition, Springer, xvi+621 pp.;
• 2004 - 3rd Russian edition, rev. and expanded, vol. 1, 2, MCCME, 927 pp.
• 2007 - 4th Russian edition, vol. 1, 2, MCCME, 3rd English edition, Springer (in preparation)

4. Problems in Theory of Probability

• 2005 Russian edition, MCCME, 416 pp.; English edition, Springer (in preparation)

C. Prizes and Awards

• Markov Prize of Academy of Sciences of the USSR (1974).
• Honorary Fellow of the Royal Statistical Society (1985).
• Member of the International Statistical Institute (ISI), Institute of Mathematical Statistics (IMS), Bernoulli Society (BS), Moscow Mathematical Society (MMS).
• Member of the Academia Europea (1990).
• Kolmogorov Prize of the Russian Academy of Sciences (1994).
• Man of the Year 1994 (by the American Biographical Institute).
• Humboldt Research Award (1996).
• Doctor Rerum Naturalium Honoris Causa of Albert Ludwigs University of Freiburg im Breisgau, Germany (2000).
• Professor Honoris Causa of Amsterdam University (2002).
• Distinguished Professor of M. V. Lomonosov Moscow State University (2003)

D.

• Deputy Head of the journal "Theory of Probability and its Applications".
• Co-editor of the journal "Finance and Stochastics".
• Member of the editorial boards of the journals:
  • "Analysis Mathematica" (Russian-Hungarian journal)
  • "International Journal of Imaging Systems and Technology"
  • "Markov Processes and Related Fields"
  • "Quantitative Finance"
  • "Stochastics"
  • "Vestnik MGU. Ser Mat. Mekh."
• Member of the Advisory board of the journal "Statistics and Decisions"

E.

• President-elect of the Bernoulli Society (1987{1989)
• President of the Bernoulli Society (1989{1991)
• President of the Actuarial Society of Russia (1994{1998)
• President of the Bachelier Finance Society (1998{1999)

F.

• Adviser of 52 candidate (Ph.D.) dissertations in the USSR and Russia and other countries
• Member of the Scientific Council of the Steklov Mathematical Institute
• Member of the Scientific Council of the Faculty of Mathematics and Mechanics of the Moscow State University
• Member of the High Expert Dissertation Committee (VAK) of Ministry of High Education of Russian Federation
• Member of the Scientific Board of the Thiele Centre for Applied Mathematics in Natural Sciences (Aarhus University, Denmark)