The Man Who Invented Modern Probability

If two statisticians were to lose each other in an infinite forest, the first thing they would do is get drunk. That way, they would walk more or less randomly, which would give them the best chance of finding each other. However, the statisticians should stay sober if they want to pick mushrooms. Stumbling around drunk and without purpose would reduce the area of exploration, and make it more likely that the seekers would return to the same spot, where the mushrooms are already gone.

Such considerations belong to the statistical theory of “random walk” or “drunkard’s walk,” in which the future depends only on the present and not the past. Today, random walk is used to model share prices, molecular diffusion, neural activity, and population dynamics, among other processes. It is also thought to describe how “genetic drift” can result in a particular gene—say, for blue eye color—becoming prevalent in a population. Ironically, this theory, which ignores the past, has a rather rich history of its own. It is one of the many intellectual innovations dreamed up by Andrei Kolmogorov, a mathematician of startling breadth and ability who revolutionized the role of the unlikely in mathematics, while carefully negotiating the shifting probabilities of political and academic life in Soviet Russia.

As a young man, Kolmogorov was nourished by the intellectual ferment of post-revolutionary Moscow, where literary experimentation, the artistic avant-garde, and radical new scientific ideas were in the air. In the early 1920s, as a 17-year-old history student, he presented a paper to a group of his peers at Moscow University, offering