The Föllmer process, a stochastic mechanism initially envisioned by Erwin Schrödinger, received its formal definition in the language of stochastic differential equations through the work of Hans Föllmer. Born in 1941 in Heilbad Heiligenstadt, Föllmer established a career focused on probability theory, contributing significantly to mathematical finance, stochastic analysis, and the mathematical modeling of social interactions.
Academic Formation and Career
Föllmer completed his education at the University of Erlangen–Nuremberg. Throughout his tenure as a university teacher, he held positions at several institutions, including the University of Bonn, ETH Zurich, and the Humboldt-Universität zu Berlin. He currently serves as a professor emeritus at Humboldt University of Berlin, a visiting professor at the National University of Singapore, and maintains an appointment as the Andrew D. White Professor-at-Large at Cornell University.
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His research in mathematical finance addresses fundamental aspects of the field, specifically the theory of risk measures and the hedging of contingent claims. In collaboration with Martin Schweizer, he developed the Föllmer-Schweizer decomposition. His scholarly output includes significant works such as 'Stochastic Finance', co-authored with Alexander Schied, which explores convex measures of risk and trading constraints. Further investigations into optional decomposition and Lagrange multipliers reflect his focus on the intersection of stochastic processes and economic theory.
Scientific Recognition and Memberships
The German mathematical community and international bodies have acknowledged his contributions through various accolades. He received the Gay-Lussac-Humboldt-Prize in 2002 and the Cantor medal in 2006. In 2007, he was named an honorary doctor of Paris Dauphine University. He holds memberships in the Berlin-Brandenburg Academy of Sciences and Humanities, the Academia Europaea, the German Academy of Sciences Leopoldina, and is a Fellow of the Institute of Mathematical Statistics.
Fast facts
- Born: 1941, Heilbad Heiligenstadt
- Citizenship: Germany
- Primary Field: Probability theory
- Cantor medal winner: 2006
- Academic affiliation: Humboldt-Universität zu Berlin
- Honorary doctorate: Paris Dauphine University, 2007
Questions readers ask
What is the Föllmer-Schweizer decomposition?
It is a mathematical concept in finance attributed to Hans Föllmer and Martin Schweizer.
Which academic institutions employed Hans Föllmer?
He has held teaching positions at the University of Bonn, ETH Zurich, and the Humboldt-Universität zu Berlin.
Achievements
- Gay-Lussac-Humboldt-Prize — 2002
- Cantor medal — 2006
- Held posts at University of Bonn, Humboldt-Universität zu Berlin and ETH Zurich
- Fields: probability theory
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