| Joseph Doob | |
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Joseph Leo Doob in Tokyo, 1969 (courtesy MFO)
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| Born | February 27, 1910 Cincinnati, Ohio, U.S. |
| Died | June 7, 2004 (aged 94) Urbana, Illinois, U.S. |
| Residence | U.S. |
| Nationality | American |
| Fields | Mathematician |
| Institutions | University of Illinois at Urbana-Champaign |
| Alma mater | Harvard University |
| Doctoral advisor | Joseph Walsh |
| Doctoral students | Paul Halmos David Blackwell |
| Known for | Doob martingale |
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.
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Doob was born in Cincinnati, Ohio, February 27, 1910, the son of Leo Doob and Mollie Doerfler Doob. The family moved to New York City before he was three years old. The parents felt that he was underachieving in grade school and placed him in the Ethical Culture School, from which he graduated in 1926. He then went on to Harvard where he received a BA in 1930, an MA in 1931, and a PhD in 1932. After postdoctoral research at Columbia and Princeton, he joined the Department of Mathematics of the 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.
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 AMS. Doob returned to this subject many years later when he proved a probabilistic version of Fatou's boundary limit theorem for harmonic functions.
The Great Depression of 1929 was still going strong in the thirties and Doob could not find a job. 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 Kolmogorov provided the first axiomatic foundation for the theory of probability. Thus a subject that had originated from intuitive ideas suggested by real life experiences and studied informally, suddenly became mathematics. Probability theory became 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,[1] in which he proved theorems related to the law of large numbers, using a probabilistic interpretation of Birkhoff's ergodic theorem. Then he used these theorems to give rigorous proofs of theorems proven by Fisher and Hotelling related to Fisher's 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 martingales, 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 his famous "Stochastic Processes" book.[2] 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.[3] 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 American Mathematical Society's Joseph L. Doob Prize, endowed in 2005 and awarded every three years for an outstanding mathematical book, is named in Doob's honor.[4]