Comments on the life and mathematical legacy of Wolfgang Doeblin


This article contains the translation into English of the main results found in the Comptes Rendus Volume of December 2000, dedicated to Wolfgang Doeblin's sealed envelope sent to the Académie des Sciences de Paris in February 1940. The genesis of these results – both from human and scientific perspectives – is discussed, as well as their importance in our present understanding of one-dimensional diffusions.

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Manuscript received: May 2001; final version received: October 2001

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Bru, B., Yor, M. Comments on the life and mathematical legacy of Wolfgang Doeblin. Finance Stochast 6, 3–47 (2002).

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  • Key words: Kolmogorov's equation, Doeblin's conditions, regular movement, change of variable formula, diffusion, coupling
  • JEL Classification: C60, G10
  • Mathematics Subject Classification (1991): 01A60, 01A70, 60G05, 60H15, 60H30