A Conversation With Yuri Vasilyevich Prokhorov

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Shepp, Larry A

Yuri Vasilyevich Prokhorov was born on December 15, 1929. He graduated from Moscow University in 1949 and worked at the Mathematical Institute of the Academy of Sciences from 1952, and as a Professor on the faculty of Moscow University since 1957. He became a corresponding member of the Academy in 1966 and an Academician in 1972. He received the Lenin Prize in 1970. The basic directions of his research are the theory of probability and mathematical methods in theoretical physics. He developed asymptotic methods in the theory of probability. In the area of the classical limit theorems, he studied the conditions of applicability of the strong law of large numbers and the so-called local limit theorems for sums of independent random variables. He proposed new methods for studying limit theorems for random processes; these methods were based on studying the convergence of measures in function space. He applied these methods to establish the limiting transition from discrete processes to continuous ones. He found (in 1953 and 1956) necessary and sufficient conditions for weak convergence in function space. He has several papers on mathematical statistics, on queuing theory and also on the theory of stochastic control. This conversation took place at the Steklov Institute in early September 1990. It was taped in Russian and translated by Abram Kagan. The final version was edited by Ingram Olkin.

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