Paul-André Meyer


Paul-André Meyer was a French mathematician, who played a major role in the development of the general theory of stochastic processes. He worked at the Institut de Recherche Mathématique in Strasbourg.
He is best known for his continuous-time analog of Doob's decomposition of a submartingale, known as the Doob–Meyer decomposition.
Some of his main areas of research in probability theory were the general theory of stochastic processes, Markov processes, stochastic integration, stochastic differential geometry and quantum probability. His most cited book is Probabilities and Potential B, written with Claude Dellacherie. The preceding book is the English translation of the second book in a series of five written by Meyer and Dellacherie from 1975 to 1992 and elaborated from Meyer's pioneering book Probabilités et Potentiel, published in 1966.
In the period 1966-1980 Meyer organised the Seminaire de Probabilities in Strasbourg, and he and his co-workers developed what is called the general theory of processes.
This theory was concerned with the mathematical foundations of the theory of continuous time stochastic processes, especially Markov processes. Notable achievements of the 'Strasbourg School' were the development of stochastic integrals for semimartingales, and the concept of a predictable process.
IRMA created an annual prize in his memory; the first Paul André Meyer prize was awarded in 2004 .
Persi Diaconis of Stanford University wrote about Meyer that:

Some books and articles written by Paul-André Meyer