Igor Girsanov

Girsanov died on 16 March 1967 at the age of 32 as a result of an accident during a hike in the Sayan Mountains.

Prior to 1961, he worked as a member of a group of mathematicians united around E. B. Dynkin who were developing the theory of Markov processes. His thesis introduced the concept of a strong Feller process which proved to be particularly useful. In the same thesis he considered the problem of applying Markov processes to the solution of partial differential equations. He was among the first scientists to study elliptic and parabolic equations with discontinuous coefficients. In his papers on stochastic differential equations he determined the conditions when the discontinuity of the coefficients does not prevent the solution from being unique. He also produced important papers on the general theory of Markov processes.

Around 1960 the problems of optimal management in industry and economics came to the fore in USSR. Many mathematicians were working in this area, mostly using familiar mathematical tools. Girsanov also started to work within this framework. But in 1961 he changed his approach. He began to develop a broader understanding of the issues at hand, developing new mathematical techniques.

Between 1952 and 1960 Girsanov was an undergraduate and graduate student at Moscow State University. After his graduation he joined the faculty. In 1965 he became Head of the newly formed Probability and Statistics Laboratory at MSU.

Igor Vladimirovich Girsanov (Russian: И́горь Влади́мирович Гирсанов; (10 September 1934 – 16 March 1967) was a Russian mathematician. He made major contributions to probability theory and its applications.

Igor Girsanov was born on 10 September 1934, in Turkestan (then Kazakh ASSR). He studied in Baku until his family moved to Moscow in 1950. While at school he was an active member of the Moscow State University maths club and won multiple Moscow mathematics olympiads.