Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Wolfgang Doeblin was a mathematician/soldier/telegraphist who served at the front during World War II. Doeblin, one of the great probabilists of the 20th century, was already widely known in the 1950s for his fundamental contributions to the theory of Markov chains. His coupling method became a key tool in later developments at the interface of probability and statistical mechanics. But the full measure of his mathematical stature became apparent only in May 2000, when the Academy of Sciences in Paris opened a letter from him that had been sent 60 years earlier. It contained his construction of diffusion processes in terms of a time change of Brownian motion in a mathematical manuscript called "On Kolmogorov's equation," which upon being deciphered, caused a sensation among mathematicians.

The film of Agnes Handwerk and Harrie Willems documents scientific and human aspects of this amazing discovery and throws new light on the startling circumstances of his death at the age of 25. ( Poster)

Host: Harrie Willems