Mark HA Davis

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Mark Herbert Ainsworth Davis ( 1945 - March 2020 ) was a British mathematician who studied financial mathematics and stochastic analysis.

Davis graduated from Cambridge University with a bachelor's degree in electrical engineering in 1966 and from the University of California, Berkeley , with a master's degree in electrical engineering and computer science in 1968 and a doctorate from Pravin Varaiya in 1971 ( Dynamic programming conditions for partially observable stochastic systems ). He was then a lecturer , reader and from 1984 professor of systems theory at Imperial College London. From 1995 to 1999 he was director of research and development at the investment bank Tokyo-Mitsubishi International in London. From 2000 to 2009 he was again Professor of Mathematics at Imperial College and head of the Department of Financial Mathematics there. From 2009 he was a Distinguished Research Fellow there. He was also an advisor to Hanover Square Capital in London.

In 2000 he was visiting professor at the Vienna University of Technology .

In financial mathematics, he dealt in particular with models for credit risk, pricing in incomplete markets and stochastic volatility .

In 2002 he received the Naylor Prize . In 1983 he received an honorary doctorate (Sc. D.) from Cambridge University. In 2001 he became an honorary member of the Institute of Actuaries and in 1994 he became a Fellow of the Institute of Mathematical Statistics . He was a Fellow of the Royal Statistical Society .

He was editor of Stochastics and Stochastics Reports from 1978 to 1995 , was a co-founder and co-editor of Mathematical Finance from 1990 to 1993 , was co-editor of Annals of Applied Probability from 1995 to 1998, and was co-editor of Quantitative Finance and the SIAM Journal of Financial Mathematics .

He died in March 2020 after a long illness.

Fonts

  • Linear Estimation and Stochastic Control. Chapman and Hall, London 1977, ISBN 0-470-99215-8 (also translated into Russian: М. Х. А. Дэвис: Линейное оценивание и стохастическое управление. 1984). Наука, Моска .
  • Lectures on stochastic control and nonlinear filtering (= Lectures on Mathematics and Physics. 75). Springer, Berlin et al. 1984, ISBN 3-540-13343-7 .
  • with Richard B. Vintner: Stochastic modeling and control (= Monographs on Statistics and Applied Probability. (24)). Chapman and Hall, London et al. 1985, ISBN 0-412-16200-8 .
  • with Gabriel Burstein: Deterministic methods in stochastic optimal control. Imperial College of Science and Technology - Department of Electrical Engineering, London 1992.
  • Markov models and optimization (= Monographs on Statistics and Applied Probability. 49). Chapman and Hall, London et al. 1993, ISBN 0-412-31410-X .
  • with Alison Etheridge (Ed.): Louis Bachelier's Theory of Speculation. The Origins of Modern Finance. Princeton University Press, Princeton NJ et al. 2006, ISBN 0-691-11752-7 .

Web links

Individual evidence

  1. ^ Mathematics Genealogy Project . Published as MHA Davis and P. Varaiya in: SIAM Journal on Control and Optimization. Volume 11, No. 2, 1973, pp. 226-261, doi : 10.1137 / 0311020 .
  2. ↑ Obituary
personal data
SURNAME Davis, Mark HA
ALTERNATIVE NAMES Davis, Mark Herbert Ainsworth (full name)
BRIEF DESCRIPTION British mathematician
DATE OF BIRTH 1945
DATE OF DEATH March 2020