Kiyoshi Ito

Japanese: 伊藤清 - いとうきよし

Born: September 7, 1915 in Hokusei, Mie
[Died] November 10, 2008. Mathematician from Kyoto. He created stochastic differential equations and established the foundations of stochastic analysis. He graduated from the Department of Mathematics, Faculty of Science, Tokyo Imperial University in 1938, and after working at the Ministry of Finance and the Cabinet Statistics Bureau, he became an associate professor at Nagoya Imperial University in 1943. He was a professor at Kyoto University from 1953 to 1979, and a professor emeritus at the same university in 1979. During this time, he was a researcher at the Institute for Advanced Study in Princeton, USA, and a professor at Stanford University, Cornell University, and Aarhus University in Denmark. He served as the director of the Research Institute for Mathematical Sciences at Kyoto University from 1976 to 1979. He later became a professor at Gakushuin University. In 1942, while working at the Cabinet Statistics Bureau, he published a paper in a mathematics journal entitled "Differential Equations Determining Markov Processes," in which he formulated the concept of "stochastic integrals." After World War II, he published a paper in which he refined this paper and translated it into English, and the stochastic differential equation that forms the basis of this paper became known worldwide as "Ito's Formula." This theory has had a major impact not only on the world of mathematics, but also on economics, engineering, physics, biology, and other fields. In particular, in the field of economics, Fisher Black, Myron S. Scholes, Robert C. Merton, and others developed derivatives theory in the 1970s, actively incorporating Ito's methods of probability analysis, and thus the field of mathematical finance was established. He received the Japan Academy Prize and the Imperial Prize in 1978, the Order of the Sacred Treasure, Second Class in 1987, the Kyoto Prize in 1998, the Gauss Prize in 2006, and the Order of Culture in 2008. His publications include "Foundations of Probability Theory" (1949) and "Probability Theory" (1991). (→ Probability Theory, Applications of Mathematics)

Source: Encyclopaedia Britannica Concise Encyclopedia About Encyclopaedia Britannica Concise Encyclopedia Information

Japanese:

[生]1915.9.7. 三重，北勢
[没]2008.11.10. 京都
数学者。確率微分方程式を創始し，確率解析の基礎を築いた。1938年東京帝国大学理学部数学科を卒業，大蔵省，内閣統計局を経て 1943年名古屋帝国大学助教授となる。1953～79年京都大学教授，1979年同大学名誉教授。この間，アメリカ合衆国のプリンストン高等研究所研究員，スタンフォード大学，コーネル大学，デンマークのオーフス大学の教授を併任，1976～79年京都大学数理解析研究所長を務めた。その後，学習院大学教授。内閣統計局勤務時代の 1942年，数学誌に論文「マルコフ過程を定める微分方程式」を発表し，「確率積分」の概念を定式化した。第2次世界大戦後，この論文を整備し英訳した論文を発表，その基本となる確率微分方程式は世界的に「伊藤の公式」と呼ばれるようになった。この理論は，数学界だけでなく経済学，工学，物理学，生物学などに大きな影響を与えた。特に経済学では，1970年代にフィッシャー・ブラック，マイロン・S.ショールズ，ロバート・C.マートンらが開発したデリバティブ理論で，伊藤の確率解析の方法を積極的に取り込み，数理ファイナンスという分野が確立された。1978年日本学士院賞・恩賜賞，1987年勲二等瑞宝章，1998年京都賞，2006年ガウス賞，2008年文化勲章を受けた。著書に『確率論の基礎』（1949），『確率論』（1991）など。（→確率論，数学の応用）

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