Andrey Kolmogorov

Put probability theory on a rigorous axiomatic foundation.

Biography

A Soviet mathematician who in 1933 gave probability theory its measure-theoretic axiomatization, resolving long-standing questions about what probability statements formally mean. He also worked extensively on stochastic processes, turbulence, and algorithmic complexity.

Key contributions

• The axiomatic foundation of probability theory in terms of measure theory.
• Foundational work on Markov processes and stochastic processes generally.
• Kolmogorov complexity, measuring the information in an object by the length of its shortest description.

Impact

The axioms are the formal basis on which every probabilistic model rests, including the Markov decision processes used throughout reinforcement learning.