Studying probability theory at the Université de Paris under Fréchet, he quickly made a name for himself as a gifted theorist.

Drafted in November 1938, after refusing to be exempted from military service, he was a soldier in the French army when World War II broke out in 1939, and was stationed at Givet, in the Ardennes, as a telephone operator.

There, he wrote down his latest work on the Chapman–Kolmogorov equation, and sent this as a "pli cacheté" (sealed envelope) to the French Academy of Sciences.

His company, sent to the sector of the Saare on the ligne Maginot in April 1940, was caught in the German attack in the Ardennes in May, withdrew to the Vosges, and capitulated on 22 June 1940.

The sealed envelope was opened in 2000,[2] revealing that Doeblin had obtained major results on the Chapman-Kolmogorov equation and the theory of diffusion processes.