Igor Girsanov

Igor Vladimirovich Girsanov (Russian: И́горь Влади́мирович Гирсанов; 1934–1967) was a Russian mathematician. He made major contributions to probability theory and its applications.

Igor Girsanov was born on 10 September 1934, in Turkestan (then Kazakh ASSR). He studied in Baku until his family moved to Moscow in 1950. While at school he was an active member of the Moscow State University maths club and won multiple Moscow mathematics olympiads.

Between 1952 and 1960 Girsanov was an undergraduate and graduate student at Moscow State University. After his graduation he joined the faculty. In 1965 he became Head of the newly formed Probability and Statistics Laboratory at MSU.

One can distinguish two periods in Girsanov's academic work.

Prior to 1961, he worked as a member of a group of mathematicians united around E. B. Dynkin who were developing the theory of Markov processes. His thesis introduced the concept of a strong Feller process which proved to be particularly useful. In the same thesis he considered the problem of applying Markov processes to the solution of partial differential equations. He was among the first scientists to study elliptic and parabolic equations with discontinuous coefficients. In his papers on he determined the conditions when the discontinuity of the coefficients does not prevent the solution from being unique. He also produced important papers on the general theory of Markov processes.

Girsanov was able to learn areas of mathematics that were unfamiliar to him very quickly. At the same time he was considering questions unrelated to stochastic processes. For example, he constructed an example of a dynamical system with a simple spectrum. In collaboration with B. S. Mityagin he worked on quasi-invariant measures on topological linear spaces.

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