Daniel Leonard Ocone (born 1953) is a Professor in the Mathematics Department at Rutgers University, where he specializes in probability theory and stochastic processes.[1] He obtained his Ph.D. at MIT in 1980 under the supervision of Sanjoy K. Mitter.[2] He is known for the Clark–Ocone theorem in stochastic analysis. The continuous Ocone martingale is also named after him; it is a continuous martingale that is conditionally Gaussian, given its quadratic variation process.[3]
References
edit- ^ Source: Rutgers University web site
- ^ Daniel Ocone at the Mathematics Genealogy Project
- ^ Van Zanten: Continuous Ocone martingales as weak limits of rescaled martigales, Elec Comm Probability, 7(2002) 205-212 [1]
External links
edit- Home Page at Rutgers (includes Photo)
- D. Ocone: Topics in Nonlinear Filtering Theory (Ph.D. thesis, 1980)
- Daniel Ocone at the Mathematics Genealogy Project
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