Joseph L. Doob

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Joseph L. Doob
PhD)
Known forDoob's martingale inequality
University of Illinois at Urbana-Champaign
Doctoral advisorJoseph L. Walsh
Doctoral students

Joseph Leo Doob (February 27, 1910 – June 7, 2004) was an American mathematician, specializing in analysis and probability theory.

The theory of martingales was developed by Doob.

Early life and education

Doob was born in

University of Illinois in 1935 and served until his retirement in 1978. He was a member of the Urbana campus's Center for Advanced Study from its beginning in 1959. During the Second World War, he worked in Washington, D.C., and Guam as a civilian consultant to the Navy from 1942 to 1945; he was at the Institute for Advanced Study for the academic year 1941–1942[1] when Oswald Veblen
approached him to work on mine warfare for the Navy.

Work

Doob's thesis was on boundary values of analytic functions. He published two papers based on this thesis, which appeared in 1932 and 1933 in the Transactions of the American Mathematical Society. Doob returned to this subject many years later when he proved a probabilistic version of Fatou's boundary limit theorem for harmonic functions.

The

B.O. Koopman at Columbia University suggested that statistician Harold Hotelling
might have a grant that would permit Doob to work with him. Hotelling did, so the Depression led Doob to probability.

In 1933

measure theory
with its own problems and terminology. Doob recognized that this would make it possible to give rigorous proofs for existing probability results, and he felt that the tools of measure theory would lead to new probability results.

Doob's approach to probability was evident in his first probability paper,

maximum likelihood estimator
for estimating a parameter of a distribution.

After writing a series of papers on the foundations of probability and stochastic processes including

Markov processes, and stationary processes, Doob realized that there was a real need for a book showing what is known about the various types of stochastic processes, so he wrote the book Stochastic Processes.[3]
It was published in 1953 and soon became one of the most influential books in the development of modern probability theory.

Beyond this book, Doob is best known for his work on martingales and probabilistic potential theory. After he retired, Doob wrote a book of over 800 pages: Classical Potential Theory and Its Probabilistic Counterpart.[4] The first half of this book deals with classical potential theory and the second half with probability theory, especially martingale theory. In writing this book, Doob shows that his two favorite subjects, martingales and potential theory, can be studied by the same mathematical tools.

The

University of Illinois
are named J L Doob Research Assistant Professors.

Honors

Publications

Books
  • — (1953). Stochastic Processes.
    ISBN 0-471-52369-0.[7]
  • — (1984). Classical Potential Theory and Its Probabilistic Counterpart. Berlin Heidelberg New York:
    ISBN 3-540-41206-9.[8]
  • — (1993). Measure Theory. Berlin Heidelberg New York:
    Springer-Verlag.[9]
Articles

See also

Notes

  1. ^ Doob, Joseph Leo, Community of Scholars Profile, IAS Archived 2013-10-10 at the Wayback Machine
  2. ^ J.L. Doob Probability and statistics
  3. ^ Doob J.L., Stochastic Processes
  4. ^ Doob J.L., Classical Potential Theory and Its Probabilistic Counterpart
  5. ^ Joseph L. Doob Prize. American Mathematical Society. Accessed September 1, 2008
  6. ^ National Science Foundation – The President's National Medal of Science
  7. doi:10.1090/S0002-9904-1954-09801-4
    .
  8. doi:10.1090/S0273-0979-1985-15340-6
    .
  9. doi:10.1090/S0273-0979-1994-00541-5
    .

External links
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