Leonard Jimmie Savage
Encyclopedia
Leonard Jimmie Savage was an American
mathematician
and statistician. Nobel Prize-winning economist Milton Friedman
said Savage was "one of the few people I have met whom I would unhesitatingly call a genius."
He graduated from the University of Michigan
and later worked at the Institute for Advanced Study
in Princeton, New Jersey
, the University of Chicago
, the University of Michigan
, Yale University
, and the Statistical Research Group
at Columbia University
. Though his thesis advisor was Sumner Myers
, he also credited Milton Friedman and W. Allen Wallis as 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 statistics
and 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.
One of Savage's indirect contributions was his discovery of the work of Louis Bachelier
on 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 regret criterion used in decision theory
.
The Hewitt–Savage zero-one law is (in part) named after him, as is the Friedman–Savage utility function.
United States
The United States of America is a federal constitutional republic comprising fifty states and a federal district...
mathematician
Mathematician
A mathematician is a person whose primary area of study is the field of mathematics. Mathematicians are concerned with quantity, structure, space, and change....
and statistician. Nobel Prize-winning economist Milton Friedman
Milton Friedman
Milton Friedman was an American economist, statistician, academic, and author who taught at the University of Chicago for more than three decades...
said Savage was "one of the few people I have met whom I would unhesitatingly call a genius."
He graduated from the University of Michigan
University of Michigan
The University of Michigan is a public research university located in Ann Arbor, Michigan in the United States. It is the state's oldest university and the flagship campus of the University of Michigan...
and later worked at the Institute for Advanced Study
Institute for Advanced Study
The Institute for Advanced Study, located in Princeton, New Jersey, United States, is an independent postgraduate center for theoretical research and intellectual inquiry. It was founded in 1930 by Abraham Flexner...
in Princeton, New Jersey
Princeton, New Jersey
Princeton is a community located in Mercer County, New Jersey, United States. It is best known as the location of Princeton University, which has been sited in the community since 1756...
, the University of Chicago
University of Chicago
The University of Chicago is a private research university in Chicago, Illinois, USA. It was founded by the American Baptist Education Society with a donation from oil magnate and philanthropist John D. Rockefeller and incorporated in 1890...
, the University of Michigan
University of Michigan
The University of Michigan is a public research university located in Ann Arbor, Michigan in the United States. It is the state's oldest university and the flagship campus of the University of Michigan...
, Yale University
Yale University
Yale University is a private, Ivy League university located in New Haven, Connecticut, United States. Founded in 1701 in the Colony of Connecticut, the university is the third-oldest institution of higher education in the United States...
, and the Statistical Research Group
Applied Mathematics Panel
The Applied Mathematics Panel was created at the end of 1942 as a division of the National Defense Research Committee within the Office of Scientific Research and Development in order to solve mathematical problems related to the military effort in World War II, particularly those of the other...
at Columbia University
Columbia University
Columbia University in the City of New York is a private, Ivy League university in Manhattan, New York City. Columbia is the oldest institution of higher learning in the state of New York, the fifth oldest in the United States, and one of the country's nine Colonial Colleges founded before the...
. Though his thesis advisor was Sumner Myers
Sumner Byron Myers
Sumner Byron Myers was an American mathematician specialized in topology. He studied at Harvard University under H. C. Marston Morse, where he was graduated with a Ph.D. in 1932...
, he also credited Milton Friedman and W. Allen Wallis as 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
Subjective expected utility
Subjective expected utility is a method in decision theory in the presence of risk, promoted by L. J. Savage in 1954 following previous work by Ramsey and von Neumann...
and statistics which forms one of the strands underlying Bayesian statistics
Bayesian statistics
Bayesian statistics is that subset of the entire field of statistics in which the evidence about the true state of the world is expressed in terms of degrees of belief or, more specifically, Bayesian probabilities...
and has applications to game theory
Game theory
Game theory is a mathematical method for analyzing calculated circumstances, such as in games, where a person’s success is based upon the choices of others...
.
During World War II
World War II
World War II, or the Second World War , was a global conflict lasting from 1939 to 1945, involving most of the world's nations—including all of the great powers—eventually forming two opposing military alliances: the Allies and the Axis...
, Savage served as chief "statistical" assistant to John von Neumann
John von Neumann
John von Neumann was a Hungarian-American mathematician and polymath who made major contributions to a vast number of fields, including set theory, functional analysis, quantum mechanics, ergodic theory, geometry, fluid dynamics, economics and game theory, computer science, numerical analysis,...
, the mathematician credited with building the first electronic computer.
One of Savage's indirect contributions was his discovery of the work of Louis Bachelier
Louis Bachelier
-External links:** Louis Bachelier webpage at the Université de Franche-Comté, Besançon / France. Text in French.** also from Index Funds Advisors, this discussion of...
on stochastic models for asset prices and the mathematical theory of option pricing. Savage brought the work of Bachelier to the attention of Paul Samuelson
Paul Samuelson
Paul Anthony Samuelson was an American economist, and the first American to win the Nobel Memorial Prize in Economic Sciences. The Swedish Royal Academies stated, when awarding the prize, that he "has done more than any other contemporary economist to raise the level of scientific analysis in...
. It was from Samuelson's subsequent writing that "random walk" (and subsequently Brownian motion
Brownian motion
Brownian motion or pedesis is the presumably random drifting of particles suspended in a fluid or the mathematical model used to describe such random movements, which is often called a particle theory.The mathematical model of Brownian motion has several real-world applications...
) became fundamental to mathematical finance
Mathematical finance
Mathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...
.
In 1951 he introduced the minimax regret criterion used in decision theory
Decision theory
Decision theory in economics, psychology, philosophy, mathematics, and statistics is concerned with identifying the values, uncertainties and other issues relevant in a given decision, its rationality, and the resulting optimal decision...
.
The Hewitt–Savage zero-one law is (in part) named after him, as is the Friedman–Savage utility function.