In a series of papers published between 1918 and 1928, he developed and expanded a generalized theory of integration and differentiation, which is today known as the Daniell integral. In the setting of integration, he also worked on results that lead to the Daniell-Kolmogorov extension theorem in the theory of stochastic processes, independently of Andrey Kolmogorov.[1] He was an Invited Speaker of the ICM in 1920 at Strasbourg.[2]
Death
During World War II Daniell advised the British Ministry of Supply. The strain of work during the war took a heavy toll on his health. He died on 25 May 1946, after having collapsed at his home a few weeks earlier.
Stewart, C.A. (1947), "P. J. Daniell", J. London Math. Soc.s1-22: 75–80.
Daniell, Percy John (1918), "A general form of integral", Annals of Mathematics19: 279–94.
–––––– (1919a), "Integrals in an infinite number of dimensions", Annals of Mathematics20: 281–88.
–––––– (1919b), "Functions of limited variation in an infinite number of dimensions", Annals of Mathematics21: 30–38.
–––––– (1920), "Further properties of the general integral", Annals of Mathematics21: 203–20.
–––––– (1921), "Integral products and probability", American Journal of Mathematics43: 143–62.
–––––– (1946), "Discussion on the Symposium on Autocorrelation in Time Series", Supplement to the Journal of the Royal Statistical Society8-1: 88–90.
Shilov, G. E., and Gurevich, B. L. (1978), Integral, Measure, and Derivative: A Unified Approach, Richard A. Silverman, trans., Dover Publications. ISBN0-486-63519-8