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In probability theory and related fields, a stochastic or random process is a mathematical object usually defined as a family of random variables. Stochastic processes are widely used as mathematical models of systems and phenomena that appear to vary in a random manner. Examples include the growth of a bacterial population, an electrical current fluctuating due to thermal noise, or the movement of a gas molecule. Stochastic processes have applications in many disciplines such as biology, chemistry, ecology, neuroscience, physics, image processing, signal processing, control theory, information theory, computer science, cryptography and telecommunications. Furthermore, seemingly random changes in financial markets have motivated the extensive use of stochastic processes in finance.
Kiyosi Itô was a Japanese mathematician who made fundamental contributions to probability theory, in particular, the theory of stochastic processes. He invented the concept of stochastic integral and stochastic differential equation, and is known as the founder of so-called Itô calculus.
Joseph Leo Doob was an American mathematician, specializing in analysis and probability theory.
Albert Nikolayevich Shiryaev is a Soviet and Russian mathematician. He is known for his work in probability theory, statistics and financial mathematics.
Richard David Gill is a mathematician born in the United Kingdom who has lived in the Netherlands since 1974. As a probability theorist and statistician, Gill is most well known for his research on counting processes and survival analysis, some of which has appeared in an advanced textbook. Now retired, he was the chair of mathematical statistics at Leiden University. Gill is also known for his pro bono consulting and advocacy on behalf of victims of incompetent statistical testimony, including a Dutch nurse who was wrongfully convicted and jailed for six years.
Onno Johan Boxma is a Dutch mathematician, and Professor at the Eindhoven University of Technology, known for several contributions to queueing theory and applied probability theory.
Awi Federgruen is a Dutch/American mathematician and operations researcher and Charles E. Exley Professor of Management at the Columbia University Graduate School of Business and affiliate professor at the university's Fu Foundation School of Engineering and Applied Science.
Kalyanapuram Rangachari Parthasarathy is professor emeritus at the Indian Statistical Institute and a pioneer of quantum stochastic calculus.
John Michael Harrison is an American researcher, known for his contributions to the theory of operations research, in particular stochastic networks and financial engineering. He has authored two books and nearly 90 journal articles.
Reuven Rubinstein (1938-2012)(Hebrew: ראובן רובינשטיין) was an Israeli scientist known for his contributions to Monte Carlo simulation, applied probability, stochastic modeling and stochastic optimization, having authored more than one hundred papers and six books.
Dimitri Panteli Bertsekas is an applied mathematician, electrical engineer, and computer scientist, a McAfee Professor at the Department of Electrical Engineering and Computer Science in School of Engineering at the Massachusetts Institute of Technology (MIT), Cambridge, Massachusetts, and also a Fulton Professor of Computational Decision Making at Arizona State University, Tempe.
Sir Martin Hairer is an Austrian-British mathematician working in the field of stochastic analysis, in particular stochastic partial differential equations. He is Professor of Mathematics at EPFL and at Imperial College London. He previously held appointments at the University of Warwick and the Courant Institute of New York University. In 2014 he was awarded the Fields Medal, one of the highest honours a mathematician can achieve. In 2020 he won the 2021 Breakthrough Prize in Mathematics.
András Prékopa was a Hungarian mathematician, a member of the Hungarian Academy of Sciences. He was one of the pioneers of stochastic programming and has been a major contributor to its literature. He amended one of the three basic model types of the discipline, chance-constrained programming, by taking into account stochastic dependence among the random variables involved. One of his main results in the area concerns the convexity theory of probabilistically constrained stochastic optimization problems. He introduced the concept of logarithmic concave measures and provided several fundamental theorems on logconcavity, which supplied proofs for the convexity of a wide class of probabilistically constrained stochastic programming problems. These results had impact far beyond the area of mathematical programming, as they found applications in physics, economics, statistics, convex geometry and other fields.
Erhan Çınlar is a probabilist and Professor Emeritus at Princeton University. He was the Norman J. Sollenberger Professor of the department of Operations Research and Financial Engineering (ORFE) at Princeton University.
Kalyan Bidhan Sinha is an Indian mathematician. He is a professor at the Jawaharlal Nehru Centre for Advanced Scientific Research, and Professor Emeritus for life of the Indian Statistical Institute.
Jacobus (Jaap) Wessels was a Dutch mathematician and Professor of Stochastic Operations Research at the Eindhoven University of Technology, known for his contributions in the field of Markov decision processes.
Gijsbert (Gijs) de Leve was a Dutch mathematician and operations researcher, known for his work on Markov decision process. Gijs de Leve is considered the founder of operations research in the Netherlands.
Ruth Jeannette Williams is an Australian-born American mathematician at the University of California, San Diego where she holds the Charles Lee Powell Chair as a Distinguished Professor of Mathematics. Her research concerns probability theory and stochastic processes.
Sheldon M. Ross is the Daniel J. Epstein Chair and Professor at the USC Viterbi School of Engineering. He is the author of several books in the field of probability.
Amber Lynn Puha is an American mathematician and educator at California State University San Marcos. Her research concerns probability theory and stochastic processes.
References
- ↑ INFORMS Expository Writing Prize – Past Winners [ permanent dead link ]
- ↑ "Henk Tijms receives the 2008 INFORMS Expository Writing Award". Archived from the original on 2011-07-18. Retrieved 2009-04-20.
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