Igor Vladimirovich Girsanov

Igor Wladimirowitsch Girsanow ( Russian Игорь Владимирович Гирсанов; in another transliteration also Girsanov; born September 10, 1934 in Turkistan ; † March 16, 1967 in the Sayan Mountains ) was a Soviet mathematician .

life and work

Girsanow was born on September 10, 1943 in Turkistan, in 1950 his family moved to Moscow . While still at school he was a member of the MGU ( Lomonossow University Moscow ) mathematics circle and won the Moscow Mathematical Olympiad several times. From 1952 to 1960 he was a student, then a doctoral candidate, in the mechanical-mathematical faculty of the MGU. He then worked there as an assistant and later as a lecturer. From 1965 he headed the laboratory department for probabilistic and statistical methods at the MGU. He tragically died on March 16, 1967 during a tourist excursion in the Sajan Mountains.

He is the author of treatises on the theory of Markov processes and controlled random processes in mathematical chemistry , has also dealt with methods of mathematical economics and is known in financial mathematics for the Girsanow theorem.

Selected publications

• О спектрах динамических систем, порождаемых стационарными гауссовскими процессами ( via spectra of dynamic systems, which are generated by stationary processes ), documentary processes . Akad. Nauk USSR, Volume 119, No. 5, 1958

• О некоторых топологиях, связанных с марковским процессом ( About some topologies associated with Markov processes ), Docl. Akad. Nauk USSR, Volume 129, No. 3, 1959

• Сильно феллеровские процессы ( Stark Feller Processes ), Теория вероятностей и её применение (Theory of Probability and Its Applications), Volume 1, 1960

• Минимаксные задачи в теории диффузионных процессов ( Minimax Problems in the Theory of Diffusion Processes ), Docl. Akad. Nauk USSR, Volume 136, No. 4, 1961

• О стохастическом интегральном уравнении Ито ( About Itô's stochastic integral equation ), Dokl. Akad. Nauk USSR, Volume 138, No. 1, 1958

• Некоторые минимаксные задачи в теории управляемых марковских процессов ( some minimax tasks from the theory of controlled Markov processes , 3, пимеренования, 3 вименя number.

• Textbook Лекции по математической теории экстремальных задач , in English translation as "Lectures on Mathematical Theory of Extremum Problems" in the Springer Lecture Notes in Economics and Mathematical Systems, Volume 67 published.

source

• EB Dynkin , AN Kolomogorow , BT Poljak, MI Freidlin : Igor Wladimirowitsch Girsanow (Nekrolog) , Теория вероятностей и её применение (probability theory and its applications) 1967, volume 12, pages 532-535 (Russian). available online