Joseph Leo Doob

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Born: 27 Feb 1910 in Cincinnati, USA

 

Doob studied at Harvard and obtained his doctorate there in 1932 for a thesis entitled Boundary Values of Analytic Functions. He was appointed to the University of Illinois in 1935. He became a full professor there 10 years later.

Doob's work was in probability and measure theory, in particular he studied the relations between probability and potential theory.

Doob built on work by Paul Lévy and, during the 1940s and 1950s, he developed basic martingale theory and many of its applications. Doob's work has become one of the most powerful tools available to study stochastic processes.

In 1953 he published a book which gives a comprehensive treatment of stochastic processes, including much of his own development of martingale theory. This book Stochastic Processes has become a classic and was reissued in 1964. He is also the author of a well known book on measure theory.