Andrei Andreyevich Markov He was born on June 14, 1856 in Ryazan, Russia. He died on July 20, 1922 in Petrograd (now St. Petersburg), Russia. He graduated from the University of St. Petersburg (1878), where he became a professor in 1886. Markov's early work was mainly on number theory and analysis, continuous fractions, integral limits, approximation theory, and series convergence.
After 1900 Markov applied the continuous fraction method, initially developed by Pafnuty Chebyshev, to probability theory. He also studied sequences of mutually independent variables, hoping to establish the laws of probability more generally. He also proved the central limit theorem.
Markov is particularly remembered for his study of Markov chains. Markov chains are a system modeling formalism that describes the system as a stochastic process. From this point of view the modeled system is characterized by its states and the way in which they alternate.
In 1923 Norbert Winter became the first to rigorously handle a continuous Markov process. The foundation of general theory took place in 1930 by Andrei Kolmogorov.
Markov had a son (of the same name) who was born on September 9, 1903, who followed his father and also became a renowned mathematician.