Mark Herbert Ainsworth Davis (25 April 1945 – 18 March 2020)[2] was Professor of Mathematics at Imperial College London.
[3] Returning to the UK in 1972, Davis joined the Control Group at Imperial College London.
His doctoral thesis initiated the martingale approach for the study of conditions for the optimal control of stochastic systems given by Ito equations.
In the early 1990s, Davis introduced the deterministic approach to stochastic control by means of appropriate Lagrange multipliers.
[8] He was awarded the Naylor Prize by the London Mathematical Society in 2002 for his "contributions to stochastic analysis, stochastic control theory and mathematical finance" and delivered a lecture titled Optimal investment with randomly terminating income.