Kiyoshi Itô, 93, dies

November was a rather sad month in the world of stochastic differential equations. In the 26th we were suppose to be celebrating the birth of one of the best mathematicians in history, Norbert Wiener, who gives name to the Wiener process, usually denoted W(t). However, in the 10th, Kiyoshi Itô, the father of stochastic differential equations, passed away. Interestingly both are present in a simple stochastic differential equation like this

which serves as a tribute to both giants. More information:

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  1. February 12, 2009

    […] of the areas of my research is stochastic differential equations (SDE). I posted about it several times before. One of the things students and collaborators keep asking me about SDEs is the weird […]

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