356:. His doctoral thesis initiated the martingale approach for the study of conditions for the optimal control of stochastic systems given by Ito equations. The approach permitted arbitrary non-anticipative feedback controls and remains the standard way of formulating stochastic control to this day. One of his key contributions is the martingale optimality principle in
328:. From 1995 to 1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a quantitative research team providing pricing models and risk analysis for
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324:. His PhD thesis, obtained in 1971, initiated the martingale theory of stochastic control. Returning to the UK in 1972, Davis joined the Control Group at
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In the early 1990s, Davis introduced the deterministic approach to stochastic control by means of appropriate
Lagrange multipliers. He was awarded the
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in 2002 for his "contributions to stochastic analysis, stochastic control theory and mathematical finance" and delivered a lecture titled
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Davis, M. H. A.; Varaiya, P. (1973). "Dynamic
Programming Conditions for Partially Observable Stochastic Systems".
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716:(1984). "Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models".
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in August 2000 to build
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Becherer, Dirk; Di Nunno, Giulia; Zervos, Mihail; Zheng, Harry (October 2012).
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Dynamic
Programming Conditions for Partially Observable Stochastic Systems
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Advances in
Control, Communication Networks, and Transportation Systems
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Journal of the Royal
Statistical Society. Series B (Methodological)
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Journal of the Royal
Statistical Society. Series B (Methodological)
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After completing his BA degree in
Electrical Engineering at the
288:(25 April 1945 – 18 March 2020) was Professor of Mathematics at
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Stochastic
Control and Stochastic Differential Systems
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Davis was one of the founding editors of the journal
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Davis made several contributions to the theory of
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Deterministic methods in stochastic optimal control
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Deterministic methods in stochastic optimal control
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Optimal investment with randomly terminating income
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767:"REPORT ON THE LMS ANNUAL GENERAL MEETING"
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751:Davis, Mark H; Burstein, Gabriel (1992).
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414:Davis, Mark H; Gabriel Burstein (1992).
398:Linear Estimation and Stochastic Control
769:. LMS. 21 November 2003. Archived from
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450:Louis Bachelier's Theory of Speculation
405:Davis, Mark; Vinter, Richard B (1985).
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362:Piecewise deterministic Markov process
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127:Martingale optimality principle in
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316:, Davis pursued his PhD degree at
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27:British mathematician (1945–2020)
407:Stochastic modelling and control
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426:Markov models and optimization
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286:Mark Herbert Ainsworth Davis
150:Naylor Prize and Lectureship
46:Mark Herbert Ainsworth Davis
678:"Obituary: Mark H.A. Davis"
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423:Davis, Mark H.A. (1993).
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597:SIAM Journal on Control
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334:Imperial College London
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100:University of Cambridge
809:English mathematicians
691:Davis, Mark H (1979).
479:; Wendell H. Fleming;
485:Mathematical Finance
396:Davis, Mark (1977).
384:Mathematical Finance
354:mathematical finance
346:stochastic processes
308:Education and career
302:mathematical finance
294:stochastic processes
191:Mathematical finance
134:Mathematical Finance
702:. Berlin: Springer.
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350:stochastic control
298:stochastic control
186:Stochastic control
129:stochastic control
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181:Mathematics
83:Nationality
793:Categories
603:(2): 226.
582:"Obituary"
552:References
468:j.ctt7scn4
52:1945-04-25
36:Mark Davis
251:.imperial
617:53143885
483:(1995).
448:(2006).
340:Research
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259:/196534
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222:(1971)
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211:Thesis
174:Fields
159:(2013)
152:(2002)
143:Awards
72:London
734:JSTOR
696:(PDF)
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271:.siam
257:/news
108:(PhD)
779:2013
664:link
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