Monroe D. Donsker

Monroe D. Donsker ( David Monroe Donsker, born October 17, 1924 in Burlington, Iowa, † June 8, 1991 in New York City ) was an American mathematician who was concerned with probability theory.

Donsker studied mathematics at the University of Minnesota, where he in 1944 took his bachelor's degree and earned his doctorate under Robert Horton Cameron 1948 ( The Invariance Principle for Wiener functionals ). He then taught at the University of Minnesota and Cornell University before he became in 1962 a professor at the Courant Institute of Mathematical Sciences at New York University. There he was a colleague of S. R. S. Varadhan, with whom he worked closely. Together they developed a theory of large deviations in the framework of the theory of Markov processes. They also solved a conjecture of Mark Kac on the behavior of a cylindrical area of the path in the Brownian motion (Wiener Sausage ) for large times.

In 1952 he proved a later named after him sentence, sometimes called Functional Central Limit Theorem. So He solved a conjecture of Joseph L. Doob, its proof was later completed by Anatoli Skorokhod and Andrei Kolmogorov.

In the 1970s, he was chairman of the Committee on Fellowships of the U.S. government.