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In memoriam of Marc Jean Yor (July 24, 1949-January 9, 2014)

By Larbi Alili, Saul Jacka and Jon Warren

We are saddened by the death of our friend and colleague Professor Marc Yor on January 9, 2014 in Paris. He was a professor at the Pierre and Marie Curie University, Paris VI, in France, from 1981 until his death and was a member of the French Academy.

Marc was a frequent visitor to the Midlands. He was a very accomplished football player in his youth and he coached a junior football team, from his hometown, Saint-Chéron, at weekends. He accompanied this team on visits to the Coventry Sport Centre. He visited the Statistics and the Mathematics Departments of Warwick University several times. Assisted by his Ph.D. student J. Najnudel, he gave a series of lecture at Warwick on “Penalisations of Brownian motion” during the autumn term of the academic year 2005/06.

Marc will be remembered by those who met him for his humility, gentleness, generosity, enthusiasm, patience and many other valued human qualities.

Marc will be remembered by the mathematics community as an outstanding mathematician: for his phenomenal work, with more than 350 publications, and his impressive list of co-authors which includes more than 150 different names.

Marc will be remembered by his colleagues and students as being a great professor and supervisor who directed more than 30 Ph. D. students in their first steps in research.

As an example of Marc’s supervision/research activities, he ran for a very long time the WIP (Work In Progress) seminar which he created mainly for his Ph.D. students. Many of his students will remember receiving great feedback including questions and comments from Marc and his other former students who were attending the WIP.

In his early career Marc worked on Burkholder-David-Gundy inequalities, the Skorokhod embedding problem and the theory of enlargement of filtrations. Later on, from the early 80’s up to his death, he worked on complex Brownian motion (conformal invariance, winding number, etc), inversions of Brownian motions in high dimensions, local times, quadratic and exponential functionals of Brownian motion (Lévy area, Bessel processes, hyperbolic Brownian motions, etc). He also worked on applications of stochastic calculus to Finance (Asian options, Passport options, Double-barrier options, etc).

Marc is known for mastering the modern theory of stochastic processes and having an extraordinary ability to make explicit calculations of probability distributions.

His funeral took place on January 15th in Saint-Chéron.

Marc was a wonderful person and devoted scientist who will be much missed. Our sincere condolences to his family: Carmel, Serge, Kathleen and Geraldine. May his soul rest in peace!

Tue 11 Mar 2014, 16:09 | Tags: Dept, Postgrad

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