Leonard Jimmie Savage (20 November 1917 – 1 November 1971) was a US
mathematicianA mathematician is a person whose primary area of study and/or research is the field of mathematics. Mathematicians are concerned with particular problems related to logic, space, transformations, numbers and more general ideas which encompass these concepts...
and
statistician.
He graduated from the
University of MichiganThe University of Michigan, Ann Arbor is a public research university located in the state of Michigan in the United States. It is the state's oldest university, the flagship campus of the University of Michigan, and one of the top public universities in the world...
and later worked at the
Institute for Advanced StudyThe Institute for Advanced Study, located in Princeton, New Jersey, United States, is a center for theoretical research and intellectual inquiry. The Institute is perhaps best known as the academic home of Albert Einstein, John von Neumann, and Kurt Gödel, after their immigration to the United...
in
Princeton, New JerseyPrinceton, New Jersey is located in Mercer County, New Jersey, United States. Princeton University has been sited in the town since 1756. Although Princeton is a "college town", there are other important institutions in the area, including the Institute for Advanced Study, Educational Testing...
, the
University of ChicagoThe University of Chicago is a private, coeducational research university in Chicago, Illinois, USA. It was founded by oil magnate and benefactor John D...
, the
University of MichiganThe University of Michigan, Ann Arbor is a public research university located in the state of Michigan in the United States. It is the state's oldest university, the flagship campus of the University of Michigan, and one of the top public universities in the world...
,
Yale UniversityYale University is a private research university in New Haven, Connecticut, and a member of the Ivy League. Founded in 1701 in the Colony of Connecticut, the university is the third-oldest institution of higher education in the United States. Yale has produced many notable alumni, including five...
, and the Statistical Research Group at
Columbia UniversityColumbia University in the City of New York is a private university in the United States and a member of the Ivy League. Columbia's main campus lies in the Morningside Heights neighborhood in the borough of Manhattan, in New York City...
. Though his thesis advisor was
Sumner MyersSumner 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 FriedmanMilton Friedman was an American economist, statistician and public intellectual, and a recipient of the Nobel Memorial Prize in Economics...
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 probabilitySubjective 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 and has applications to
game theoryGame theory is a branch of applied mathematics that is used in the social sciences, most notably in economics, as well as in biology, engineering, political science, international relations, computer science, and philosophy...
.
During World War II, Savage served as chief "statistical" assistant to
John von NeumannJohn von Neumann was a Hungarian American mathematician who made major contributions to a vast range of fields, including set theory, functional analysis, quantum mechanics, ergodic theory, continuous geometry, economics and game theory, computer science, numerical analysis, hydrodynamics John...
, the mathematician credited with building the first electronic computer.
One of Savage's indirect contributions was his discovery of the work of
Louis BachelierLouis Jean-Baptiste Alphonse Bachelier was a French mathematician at the turn of the 20th century. He is credited with being the first person to model the stochastic process now called Brownian motion, which was part of his PhD thesis The Theory of Speculation, .His thesis, which discussed the...
on stochastic models for asset prices and the mathematical theory of option pricing. Savage brought the work of Bachelier to the attention of
Paul SamuelsonPaul Anthony Samuelson is an American Neo-Keynesian economist known for his contributions to many fields of economics, beginning with his general statement of the comparative statics method in his 1947 book Foundations of Economic Analysis...
. It was from Samuelson's subsequent writing that "random walk" (and subsequently Brownian motion) became fundamental to
mathematical financeMathematical finance comprises the branches of applied mathematics concerned with the 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,...
.
In 1951 he introduced the minimax regret criterion used in
decision theoryDecision theory in mathematics and statistics is concerned with identifying the values, uncertainties and other issues relevant in a given decision and the resulting optimal decision...
.
The Hewitt–Savage zero-one law is (in part) named after him.
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