Daniel Ocone

Daniel Leonard Ocone (born 1953) is a Professor in the Mathematics Department at Rutgers University, where he specializes in probability theory and stochastic processes.[1] He obtained his Ph.D at MIT in 1980 under the supervision of Sanjoy K. Mitter.[2] He is known for the Clark–Ocone theorem in stochastic analysis. The continuous Ocone martingale is also named after him; it is a continuous martingale that is conditionally Gaussian, given its quadratic variation process.[3]

References

  1. ↑ Source: Rutgers University web site
  2. ↑ Daniel Ocone at the Mathematics Genealogy Project
  3. ↑ Van Zanten: Continuous Ocone martingales as weak limits of rescaled martigales, Elec Comm Probability, 7(2002) 205-212

External links