- Leonard Jimmie Savage
Leonard Jimmie Savage (
20 November 1917– 1 November 1971) was a US mathematicianand statistician.
He graduated from the
University of Michiganand later worked at the Institute for Advanced Studyin Princeton, New Jersey, the University of Chicago, the University of Michigan, Yale University, and the Statistical Research Groupat Columbia University. Though his thesis advisor was Sumner Myers, he also credited Milton Friedmanand W. Allen Wallisas statistical mentors.
His most noted work was the 1954 book "Foundations of Statistics", in which he put forward a theory of subjective and personal probability and statistics which forms one of the strands underlying
Bayesian statisticsand has applications to game theory.
During World War II, Savage served as chief "statistical" assistant to
John von Neumann, the mathematician credited with building the first electronic computer. [ cite book | last=Hacking | first=Ian | authorlink=Ian Hacking | year=2001 | title=An Introduction to Probability and Inductive Logic | pages=184 | isbn=0-521-77287-7 ]
One of Savage's indirect contributions was his discovery of the work of
Louis Bachelieron stochastic models for asset prices and the mathematical theory of option pricing. Savage brought the work of Bachelier to the attention of Paul Samuelson. It was from Samuelson's subsequent writing that "random walk" (and subsequently Brownian motion) became fundamental to mathematical finance.
In 1951 he introduced the
Minimax regretcriterion used in decision theory.
Hewitt-Savage zero-one lawis (in part) named after him.
Friedman-Savage utility function
* [http://www.genealogy.math.ndsu.nodak.edu/id.php?id=5192 Entry at the Mathematics Genealogy Project]
Wikimedia Foundation. 2010.