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Finn Erling Kydland is a Norwegian economist known for his contributions to business cycle theory. He is the Henley Professor of Economics at the University of California, Santa Barbara. He also holds the Richard P. Simmons Distinguished Professorship at the Tepper School of Business of Carnegie Mellon University, where he earned his PhD, and a part-time position at the Norwegian School of Economics (NHH). Kydland was a co-recipient of the 2004 Nobel Memorial Prize in Economics, with Edward C. Prescott, "for their contributions to dynamic macroeconomics: the time consistency of economic policy and the driving forces behind business cycles."
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. He also pioneered the world connections between stochastic calculus and differential geometry, known as stochastic differential geometry. He was invited for the International Congress of Mathematicians in Stockholm in 1962. So much were Itô's results useful to financial mathematics that he was sometimes called "the most famous Japanese in Wall Street".
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In mathematics, progressive measurability is a property in the theory of stochastic processes. A progressively measurable process, while defined quite technically, is important because it implies the stopped process is measurable. Being progressively measurable is a strictly stronger property than the notion of being an adapted process. Progressively measurable processes are important in the theory of Itô integrals.
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Avner Friedman is Distinguished Professor of Mathematics and Physical Sciences at Ohio State University. His primary field of research is partial differential equations, with interests in stochastic processes, mathematical modeling, free boundary problems, and control theory.
Nicole El Karoui is a French mathematician and pioneer in the development of mathematical finance, born 29 May 1944 in Paris. She is considered one of the pioneers on the French school of mathematical finance and trained many engineers and scientists in this field. She is Professor Emeritus of Applied Mathematics at Sorbonne University, and held professorship positions at the École Polytechnique and Université du Maine. Her research has contributed to the application of probability and stochastic differential equations to modeling and risk management in financial markets.
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Murad Salman Taqqu is an Iraqi probabilist and statistician specializing in time series and stochastic processes. His research areas have included long-range dependence, self-similar processes, and heavy tails. Taqqu is a professor emeritus at Boston University Department of Mathematics and Statistics, and a fellow of the American Mathematical Society.
Irene Maria Quintanilha Coelho da Fonseca is a Portuguese-American applied mathematician, the Kavčić-Moura University Professor of Mathematics at Carnegie Mellon University, where she directs the Center for Nonlinear Analysis, which is part of the Mellon College of Science's Department of Mathematical Sciences.
The Engelbert–Schmidt zero–one law is a theorem that gives a mathematical criterion for an event associated with a continuous, non-decreasing additive functional of Brownian motion to have probability either 0 or 1, without the possibility of an intermediate value. This zero-one law is used in the study of questions of finiteness and asymptotic behavior for stochastic differential equations. This 0-1 law, published in 1981, is named after Hans-Jürgen Engelbert and the probabilist Wolfgang Schmidt.
Rama Cont is the Statutory Professor of Mathematical Finance at the University of Oxford. He is known for contributions to probability theory, stochastic analysis and mathematical modelling in finance, in particular mathematical models of systemic risk. He was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010.
Marc Oliver Rieger is a German mathematician and finance professor. His research covers the areas of behavioural finance, decision and game theory, financial derivatives, and calculus of variation.
References
- ↑ "Frieze Named Orion Hoch Professor of Mathematical Sciences". Carnegie Mellon University. Retrieved 2023-03-23.
- ↑ "CV of Steven E. Shreve" (PDF). Retrieved 2020-01-03.
- ↑ [ permanent dead link ]
- ↑ "Interview with Steven Shreve". June 13, 2010. Retrieved 2020-01-03.
- ↑ Darrell Duffie (March 18, 2008). "A Review of Stochastic Calculus for Finance" (PDF).
- ↑ "Honored IMS Fellows". Institute of Mathematical Statistics. Retrieved 2020-01-03.
