© 2006

From Stochastic Calculus to Mathematical Finance

The Shiryaev Festschrift


Table of contents

  1. Front Matter
    Pages I-XXXVII
  2. Aureli Alabert, István Gyongy
    Pages 1-15
  3. Vadim I. Arkin, Alexander D. Slastnikov
    Pages 17-32
  4. Ole E. Barndorff–Nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij, Neil Shephard
    Pages 33-68
  5. Alexander Cherny
    Pages 109-124
  6. Mark H. A. Davis
    Pages 169-187
  7. Bernard Delyon, Anatoly Juditsky, Robert Liptser
    Pages 189-209
  8. Giovanni B. Di Masi, Lukasz Stettner
    Pages 211-226
  9. Hans-Jürgen Engelbert, Vladimir P. Kurenok, Adrian Zalinescu
    Pages 227-248
  10. Dario Gasbarra, Esko Valkeila, Lioudmila Vostrikova
    Pages 257-285
  11. Alexander A. Gushchin, Denis A. Zhdanov
    Pages 287-294
  12. Yuri Kabanov, Masaaki Kijima
    Pages 315-332
  13. Yuri Kabanov, Yuliya Mishura, Ludmila Sakhno
    Pages 333-341
  14. Pavel K. Katyshev
    Pages 369-383

About this book


Dedicated to the eminent Russian mathematician Albert Shiryaev on the occasion of his 70th birthday, the Festschrift is a collection of papers, including several surveys, written by his former students, co-authors and colleagues. These reflect the wide range of scientific interests of the teacher and his Moscow school. The topics range from the disorder problems to stochastic calculus and their applications to mathematical economics and finance. A full biobibliography of Shiryaev’s works is included.

The book represents the modern state of art of many aspects of a quickly maturing theory and will be an essential source and reading for researchers in this area. The diversity of the topics and the comprehensive style of the papers make the book amenable and attractive for PhD students and young researchers.


disorder problem mathematical economics mathematical finance optimal control semimartingales stochastic calculus stochastic equations

Authors and affiliations

  1. 1.Université de Franche-ComtéBesançon CedexFrance
  2. 2.Department of Electrical Engineering-SystemsTel Aviv UniversityTel AvivIsrael
  3. 3.School of Mathematics & StatisticsUniversity of NewcastleUniversity of NewcastleUK

Bibliographic information

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