Brief Biography
Born in 1944, John Michael Harrison is a recipient of the John von Neumann Theory Prize who has made significant contributions to stochastic networks and mathematical finance. He studied industrial engineering at Lehigh University prior to pursuing a graduate level degree in the subject at Stanford. Upon completing his dissertation under the supervision of Frederick S. Hillier and receiving his PhD in operations research, Harrison accepted an academic appointment at the university’s Graduate School of Business where he remained until his 2011 retirement.
Harrison has twice been a Visiting Scholar at Bell Labs and spent the 1972-1973 academic year as a Decision Analyst at the Stanford Research Institute. The following year, he was promoted to Associate Professor, reaching the rank of full Professor in 1978.
In the 1970s, Harrison’s research largely dealt with investor behavior and the mathematics of market finance. In the years leading up to and following 1980, he developed the mathematical foundations of option theory using stochastic models of business systems. With his Stanford colleague David Kreps, Harrison introduced the notion of equivalent martingale measures, today’s standard tool in theoretical analysis. He showed that a price process is arbitrage free if and only it is a martingale for some equivalent probability measure. In the mid-1980s, he began research on performance analysis and control in Brownian networks, leading to a series of publications in the subject. Some of this work came together in his 1985 textbook, Brownian Motion and Stochastic Flow Systems.
In 1998, Harrison first received the INFORMS Expository Writing Award for his complete and informative works on the subjects of stochastic networks and Brownian Models. Three years later, he was presented with the Frederick W. Lanchester Prize in recognition of his later Brownian publications, starting with his chapter “Brownian Models of Queueing Networks” in P. L. Lions and W. Flemming’s Stochastic Differential Systems, Stochastic Control Theory and Applications (1988). The Lanchester Prize committee included three other articles Harrison had published between 1996 and 2000 in their citation.
Harrison received the John von Neumann Theory Prize in 2004 for his thirty plus years as a leader in the formulation, development, and application of Brownian network theory for performance analysis and the control of stochastic processing networks. The following year, he was named a Fellow of the Institute for Operations Research and the Management Sciences. Among his other honors, Harrison is an elected Member of the National Academy of Engineering and a Distinguished Fellow of the Manufacturing and Service Operations Management Society.
Other Biographies
Wikipedia Entry for J. Michael Harrison
Stanford Graduate School of Business. Faculty & Research: J. Michael Harrison. Accessed May 27, 2015. (link)
Education
Lehigh University, BS 1966
Stanford University, MS 1967
Stanford University, PhD 1971 (Mathematics Genealogy)
Affiliations
Academic Affiliations
- Stanford University
- Lehigh University
Non-Academic Affiliations
Key Interests in OR/MS
Methodologies
- Dynamic Programming /Optimal Control
- Networks and Graphs
- Optimization/Mathematical Programming
- Probability and Stochastic Models
- Queueing Models
- Systems thinking
Application Areas
Awards and Honors
INFORMS Expository Writing Award 1998
Frederick W. Lanchester Prize 2001
John von Neumann Theory Prize 2004
Institute for Operations Research and the Management Sciences Fellow 2005
Manufacturing and Service Operations Management Fellow 2008
National Academy of Engineering 2008
Selected Publications
Harrison J. M. & Kreps, D. M. (1978) Speculative investor behavior in a stock market with heterogeneous expectations. The Quarterly Journal of Economics, 92(2): 323-336.
Harrison J. M. & Kreps D. M. (1979) Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3): 381-408.
Harrison J. M. (1981) Martingales and stochastic integrals in the theory of trading stochastic processes. Stochastic Processes and Their Applications, 11(3): 215-260.
Harrison J. M., Sellke T. M., & Taylor A. J. (1983) Impulse control of Brownian motion. Mathematics of Operations Research, 8(3): 454-466.
Harrison J. M. (1985) Brownian Motion and Stochastic Flow Systems, Wiley and Sons: New York.
Harrison J. M. & Williams R. J. (1987) Brownian models of open queueing networks with homogeneous customer populations. Stochastics: An International Journal of Probability and Stochastic Processes, 22(2): 77-115.
Harrison J. M. (1988) Brownian models of queueing networks with heterogeneous customer populations. Fleming W. & Lions P., eds. in Stochastic Differential Systems, Stochastic Control Theory and Applications, 147-186. Springer: New York.
Harrison J. M. & Nguyen V. (1993) Brownian models of multiclass queueing networks: Current status and open problems. Queueing Systems, 13(1-3): 5-40.
Harrison J. M. (1996) The BIGSTEP Approach to flow management in stochastic processing networks. Kelly F. P., Zachary S., & Ziedins I., eds. in Stochastic Networks: Theory and Applications, 57-90. Oxford University Press: London.
Harrison J. M. & Van Miegham J. A. (1997) Dynamic control of brownian networks: state space collapse and equivalent workload formulations. Annals of Applied Probability, 7(2): 747-771.
Harrison J. M. (2000) Brownian models of open processing networks: canonical representation of workload. Annals of Applied Probability, 10(1): 75-103.
Harrison J. M. (2003) A broader view of Brownian networks. Annals of Applied Probability, 13(3): 1119-1150.
Harrison J. M. & Zeevi A. (2005) A method for staffing large call center based on stochastic fluid models. Manufacturing & Service Operations Management, 7(1): 20-36.