Monday, October 31, 2011

Andrei Andreyevich Markov

June 14 1856 - July 20 1922
Born Ryazan, Russia. Died St Petersburg, Russia.

Andrei Andreyevich Markov is best known for his work in probability and for stochastic processes especially Markov chains.

Markov was a graduate of Saint Petersburg University (1878), where he began a professor in 1886. Markov's early work was mainly in number theory and analysis, continued fractions, limits of integrals, approximation theory and the convergence of series.

After 1900 Markov applied the method of continued fractions, pioneered by his teacher Pafnuty Chebyshev, to probability theory. He also studied sequences of mutually dependent variables, hoping to establish the limiting laws of probability in their most general form. He proved the central limit theorem under fairly general assumptions.

Markov is particularly remembered for his study of Markov chains, sequences of random variables in which the future variable is determined by the present variable but is independent of the way in which the present state arose from its predecessors. This work launched the theory of stochastic processes.

In 1923 Norbert Wiener became the first to treat rigorously a continuous Markov process. The foundation of a general theory was provided during the 1930s by Andrei Kolmogorov.

Markov had a son (of the same name) who was born on September 9, 1903 and followed his father in also becoming a renowned mathematician.

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