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Andrey Andreyevich Markov was a Russian mathematician best known for his work on stochastic processes. A primary subject of his research later became known as the Markov chain. He was also a strong, close to master-level chess player.
In probability theory and related fields, a stochastic or random process is a mathematical object usually defined as a sequence of random variables in a probability space, where the index of the sequence often has the interpretation of time. 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, and telecommunications. Furthermore, seemingly random changes in financial markets have motivated the extensive use of stochastic processes in finance.
A Markov chain or Markov process is a stochastic model describing a sequence of possible events in which the probability of each event depends only on the state attained in the previous event. Informally, this may be thought of as, "What happens next depends only on the state of affairs now." A countably infinite sequence, in which the chain moves state at discrete time steps, gives a discrete-time Markov chain (DTMC). A continuous-time process is called a continuous-time Markov chain (CTMC). It is named after the Russian mathematician Andrey Markov.
Stochastic refers to the property of being well-described by a random probability distribution. Although stochasticity and randomness are distinct in that the former refers to a modeling approach and the latter refers to phenomena themselves, these two terms are often used synonymously. Furthermore, in probability theory, the formal concept of a stochastic process is also referred to as a random process.
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, invited for the ICM in Stockholm.
A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs have many applications throughout pure mathematics and are used to model various behaviours of stochastic models such as stock prices, random growth models or physical systems that are subjected to thermal fluctuations.
Anatoliy Volodymyrovych Skorokhod was a Soviet and Ukrainian mathematician.
U. Narayan Bhat is an Indian-born Mathematician, known for his contributions to queueing theory and reliability theory.
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.
Lane P. Hughston is an American mathematician.
Quantitative analysis is the use of mathematical and statistical methods in finance and investment management. Those working in the field are quantitative analysts (quants). Quants tend to specialize in specific areas which may include derivative structuring or pricing, risk management, investment management and other related finance occupations. The occupation is similar to those in industrial mathematics in other industries. The process usually consists of searching vast databases for patterns, such as correlations among liquid assets or price-movement patterns.
Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field.
Mark Herbert Ainsworth Davis was Professor of Mathematics at Imperial College London. He made fundamental contributions to the theory of stochastic processes, stochastic control and mathematical finance.
Cyrus Derman was an American mathematician and amateur musician who did research in Markov decision process, stochastic processes, operations research, statistics and a variety of other fields.
Rogemar Sombong Mamon, is a Canadian mathematician, quant, and academic. He is a co-editor of the IMA Journal of Management Mathematics published by Oxford University Press since 2009.
In probability theory, a Cauchy process is a type of stochastic process. There are symmetric and asymmetric forms of the Cauchy process. The unspecified term "Cauchy process" is often used to refer to the symmetric Cauchy process.
In numerical methods for stochastic differential equations, the Markov chain approximation method (MCAM) belongs to the several numerical (schemes) approaches used in stochastic control theory. Regrettably the simple adaptation of the deterministic schemes for matching up to stochastic models such as the Runge–Kutta method does not work at all.
Jacques Jean-Pierre Neveu was a Belgian mathematician, specializing in probability theory. He is one of the founders of the French school of probability and statistics.
Iosif Ilyich Gikhman was a Soviet mathematician.
Dilip B. Madan is an American financial economist, mathematician, academic, and author. He is Professor Emeritus of Finance at the University of Maryland.
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