From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift

Yu. Kabanov, R. Liptser, J. Stoyanov3540307826, 9783540307822, 9783540307884

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 bookamenable and attractive for PhD students and young researchers.