Revisiting The Legendary Doob

Pick up a book on stochastic processes and you will invariably see references to the legendary Doob.

Joseph Doob was an American mathematician who developed the theory of martingales.

He was born in Cincinnati, Ohio and the family later moved to New York City.

He studied at Harvard, where is advisor as Joseph Walsh, known for the Walsh function.

Bonjour, Monsieur Martingale!

Here is a conversation with Joseph ("Joe") Leo Doob, the American mathematician from Ohio famous for his martingale convergence theorems. http://www.dartmouth.edu/~chance/Doob/conversation.html 

What motivated Joe to develop deep results in applied probability? In the interview, Joe reveals it was his desire to convert common probabilistic intuition into mathematics (statements and proofs) that drove him to discover his theorems. 

 The wikipedia entry on martingales is also interesting. Doob's soiree into martingale theory coincided with the Great Depression of 1929. 

Other notable statistical activity at that time included Kolmogorov's axiomatisation of probability in 1933. Read Doob's bio here.