Mark H. A. Davis

Mark Davis
Born	Mark Herbert Ainsworth Davis 1945 (age 78–79)
Nationality	English
Alma mater	University of Cambridge (BA) University of California, Berkeley (PhD)
Known for	Piecewise deterministic Markov process Martingale optimality principle in stochastic control Mathematical Finance
Awards	Naylor Prize and Lectureship (2002) Fellow of the Royal Statistical Society (2013)
Scientific career
Fields	Mathematician
Institutions	Imperial College London
Thesis	Dynamic Programming Conditions for Partially Observable Stochastic Systems (1971)
Doctoral advisor	Pravin Varaiya
Website	www.imperial.ac.uk/people/mark.davis

Mark Herbert Ainsworth Davis (born 1945) is Professor of Mathematics at Imperial College London, working on stochastic processes and mathematical finance. He is known for his contributions to the theory of stochastic processes, stochastic control and mathematical finance.

Education and career

After completing his BA degree in Electrical Engineering at the University of Cambridge, Davis pursued his PhD degree at UC Berkeley under the supervision of Pravin Varaiya. His PhD thesis, obtained in 1971, initiated the martingale theory of stochastic control. Returning to the UK in 1972, Davis joined the Control Group at Imperial College London. From 1995 to 1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a front-office group providing pricing models and risk analysis for fixed income, equity and credit-related products. He returned to Imperial College London in August 2000 to build Imperial’s Mathematical Finance group.

Research

Davis has made several contributions to the theory of stochastic processes, stochastic control and mathematical finance. His early work in the 1970s initiated the martingale theory of stochastic control. One of his key contributions is the martingale optimality principle in stochastic control, which characterizes optimal strategies through the martingale property of the value process. In a 1984 paper he introduced the concept of Piecewise deterministic Markov process, a class of Markov models which have been used in many applications in engineering and science.

In the early 1990s, Davis introduced the deterministic approach to stochastic control by means of appropriate Lagrange multipliers. He was awarded the Naylor Prize by the London Mathematical Society in 2002 for his "contributions to stochastic analysis, stochastic control theory and mathematical finance" and delivered a lecture titled Optimal investment with randomly terminating income.

Davis was a founding co-editor of the journal Mathematical Finance (1990–93). He is the author of three books on stochastic analysis and optimization.

Bibliography

• Davis, Mark (1977). Linear Estimation and Stochastic Control (1st ed.).
• Davis, Mark; Vinter, Richard B (1985). Stochastic modelling and control (1st ed.).
• Davis, Mark H; Gabriel Burstein (1992). Deterministic methods in stochastic optimal control (1st ed.).
• Davis, Mark H.A. (1993). Markov models and optimization. Chapman & Hall/CRC Monographs on Statistics & Applied Probability (1st ed.). ISBN 9780412314100.
• Davis, Mark H; Alison Etheridge (2006). Louis Bachelier's Theory of Speculation. Princeton University Press. ISBN 9781400829309.
• Davis, Mark H; Darrell Duffie; Wendell H. Fleming; Steven E. Shreve (1995). Mathematical Finance. Springer.
• Davis, Mark H.A. (2005). "Martingale Representation and All That". Advances in Control, Communication Networks, and Transportation Systems. Birkhauser. pp. 57–68. doi:10.1007/b138092.
• Davis, M. H. A. (1984). "Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models". Journal of the Royal Statistical Society. Series B (Methodological). 46 (3): 353–388. JSTOR 2345677.