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Comments on the life and mathematical legacy of Wolfgang Doeblin

Author

Listed:
  • Marc Yor

    () (Laboratoire de Probabilités et Modèles aléatoires, CNRS-UMR 7599, Universités Paris VI et VII, 4 Place Jussieu, Case 188, 75252 Paris Cedex 05, France Manuscript)

  • Bernard Bru

    (Laboratoire de Mathématiques appliquées, Université Paris V, 45 rue des Saints-Pères, 75270 Paris Cedex 06, France)

Abstract

This article contains the translation into English of the main results found in the Comptes Rendus Volume of December 2000, dedicated to Wolfgang Doeblin's sealed envelope sent to the Académie des Sciences de Paris in February 1940. The genesis of these results - both from human and scientific perspectives - is discussed, as well as their importance in our present understanding of one-dimensional diffusions.

Suggested Citation

  • Marc Yor & Bernard Bru, 2002. "Comments on the life and mathematical legacy of Wolfgang Doeblin," Finance and Stochastics, Springer, vol. 6(1), pages 3-47.
  • Handle: RePEc:spr:finsto:v:6:y:2002:i:1:p:3-47
    Note: received: May 2001; final version received: October 2001
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    File URL: http://link.springer.de/link/service/journals/00780/papers/2006001/20060003.pdf
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    Cited by:

    1. Calum G. Turvey, 2010. "Biography: Kiyosi Itô and his influence on the study of agricultural finance and economics," Agricultural Finance Review, Emerald Group Publishing, vol. 70(1), pages 5-20, May.

    More about this item

    Keywords

    Kolmogorov's equation; Doeblin's conditions; regular movement; change of variable formula; diffusion; coupling;

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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