Sunday, December 21, 2008

The Passing of Kyosito Ito - Farewell to a Modest Brilliant Mathematician

Does anyone remember our Mystery Mathematician from Feb 2008? None other than one of the greatest mathematicians of our era - Kyosito Ito.

Excerpts from a recent NYT article:

Kiyoshi Ito, a mathematician whose innovative models of random motion are used today in fields as diverse as finance and biology, died Nov. 10 at a hospital in Kyoto, Japan. He was 93.

Mr. Ito is known for his contributions to probability theory, the study of randomness. His work, starting in the 1940s, built on the earlier breakthroughs of Albert Einstein and Norbert Wiener. Mr. Ito’s mathematical framework for describing the evolution of random phenomena came to be known as the Ito Calculus.

“People all over realized that what Ito had done explained things that were unexplainable before,” said Daniel Stroock, a professor of mathematics at the Massachusetts Institute of Technology.

Mr. Ito’s research was theoretical, but his models served as a tool kit for others, notably in finance. Robert C. Merton, a winner of the Nobel in economic science, said he found Mr. Ito’s model “a very useful tool” in his research on the evolution of stock prices in a portfolio and, later, in helping develop a theory for pricing stock options that is used on Wall Street today. Mr. Ito, he said, was “a very eminent mathematician.”

Mr. Ito collected many professional honors and awards over the years. He was a foreign member of the national academies of science in the United States and France. He was awarded the Kyoto Prize, the Wolf Foundation Prize of Israel and the Carl Friedrich Gauss Prize of Germany.

To demonstrate Professor Ito's humility, here are his own words from the article posted in MathNotations back in February of this year:

"When I first set forth stochastic differential equations, however, my paper did not attract attention. It was over ten years after my paper that other mathematicians began reading my "musical scores" and playing my "music" with their "instruments."

Farewell, Dr. Ito. You have enriched our lives and those of future generations...

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