In Memory of Professor Tze Leung Lai (1945-2023)

It is with great sadness that Professor Tze Leung LAI, a distinguished alumnus of the Department of Mathematics at The University of Hong Kong (HKU) and a world-renowned statistician, who held the position of Ray Lyman Wilbur Professor at Stanford University, passed away on 21 May 2023.

Born on June 28, 1945, Prof. Tze Leung Lai earned his B.A. (in Mathematics, 9-Papers) with First Class Honors at The University of Hong Kong in 1967. In addition, Prof. Lai received the Chan Kai Ming Prize and Walter Brown Memorial Prize in Mathematics in 1967.  Prof. Lai then spent one year as a demonstrator of the Department of Mathematics, HKU before he went on to study at Columbia University, where he earned both a M.A. in 1970 and a Ph.D. in 1971 under the supervision of David Siegmund.

The class of BA3 and BSC Special of 1966-67

Right after he has completed his PhD degree, he was appointed as an Assistant Professor of Mathematical Statistics, Columbia University, then promoted to associate professor and professor in 1974 and 1977 respectively. He was the Higgins Professor of Mathematical Statistics, Columbia University for the period 1986-1987 before he moved to the Department of Statistics, Stanford in 1987 and became the Chair in 2001-2004. He has been the Director of the Financial and Risk Modeling Institute, Stanford University, the Professor, by courtesy, of the Institute of Computational and Mathematical Engineering, Stanford School of Engineering and the Professor, by courtesy, of Biomedical Data Science, Stanford School of Medicine since 2012, 2009 and 2015 respectively. Prof. Lai was also a Professor, by courtesy, of Health Research and Policy, Stanford School of Medicine from 2007 to 2015. 

Tze Leung Lai, June 1972, New York

Prof.  Lai has made fundamental contributions to mathematical statistics (including probability theory) and sequential statistical analysis, especially the development of a comprehensive theory of sequential tests of composite hypotheses. He has done ground-breaking work in (i) the solution of the long-standing "multi-armed bandit problem", (ii) stochastic approximation and recursive estimation, (iii) adaptive control of linear stochastic systems and Markov decision processes, (iv) saddlepoint approximations and boundary-crossing probabilities in Markov random walks and random fields, and (v) survival analysis. He has published over 300 papers and 12 books, and has supervised at least 74 Ph.D. theses at Columbia, Stanford, and Stony Brook and University of Padova in Italy (where he visited).

In 1983, Prof. Lai received the prestigious COPSS Presidents’ Award, the annual award given by the Committee of Presidents of Statistical Societies (COPSS) to statisticians below the age of 41 and sometimes referred as the “Nobel Prize of Statistics”. In 1994, Prof. Lai was elected to Academia Sinica and in 2005, he received the International Chinese Statistical Association Distinguished Achievement Award and the Abraham Wald Prize in Sequential Analysis.

Tze Leung Lai, 9 June, 2019, ICCM2019, Beijing

Together with his PhD student Chin-Shan Chuang at that time, Prof. Lai invented the hybrid resampling method around 2000, for which they developed a comprehensive statistical theory and which was independently discovered by physicists to analyze CERN’s ATLAS and CMS experiments that confirmed the existence of the Higgs boson. He has recently developed a novel Markov Chain Monte Carlo scheme that can be fully automated and has optimal statistical properties. It has many applications in science, engineering and economics.

Throughout his career, Prof. Lai maintained a strong connection to The University of Hong Kong, delivering the Y.C. Wong Lectures in Mathematical Sciences in 1989 and the C.V. Starr Lecture in Financial Mathematics in 2001. From 2003 to 2008, as C.V. Starr Visiting Professor at HKU, Prof. Lai was taking charge of the academic programs in Mathematical Finance, and very much involved with the application of statistical methods in Mathematical Statistics. During his visits through his many lectures and through conferences and workshops very often co-organized by the Institute of Mathematical Research (IMR) and the Department of Statistics and Actuarial Sciences (SAAS) at HKU, Prof. Lai brought together researchers from the mathematical and statistical communities and those working in quantitative finance, to co-develop research programs in Mathematical Statistics and Mathematical Finance. Prof. Lai continues to interact with IMR and SAAS as an advisor in proposing, coordinating and taking part in multi-disciplinary research conferences even after finishing his tenureship as C.V. Starr Visiting Professor in 2008. For example, Prof. Lai has helped IMR and SAAS to organize the HKU-HKUST-Stanford Conference in Quantitative Finance, December 9-10, 2011. Since 2011, Prof. Lai has been a member of the Advisory Committee of the Institute of Mathematical Research (IMR) and an Advisory Board Member of the Department of Statistics and Actuarial Sciences (SAAS) at HKU and played a pivotal role in fostering interdisciplinary research and collaboration in the fields of mathematical statistics and mathematical finance.

Tze Leung Lai, 6 December, 2017, HKU

Through his many visits to HKU to help with developing research programs in Mathematics and Statistics, Prof. Lai had repeatedly expressed his love of his alma mater and Hong Kong, his reminiscence of happy times as an undergraduate here (repeated also in the interview: https://tzelai.ckirby.su.domains/pubs/Imprints-Interview_17-Apr-2019.pdf), and his selfless dedication to help promote research in these subjects in Hong Kong.

Prof. Tze Leung Lai will be remembered for his extraordinary contributions to the field of statistics, his unwavering dedication to nurturing young statisticians, and his enduring impact on the statistics and scientific community. Although his passing leaves an immense void in the statistics community, his pioneering work and legacy will continue to inspire future generations of scholars. Our thoughts and condolences go out to his family, friends, and countless colleagues and students who had the privilege of knowing and working with him.

For more photos of Prof. Lai, please click https://photos.app.goo.gl/GZ4iZreeyxdUdaGX7.

Department of Mathematics         Department of Statistics & Actuarial Science
The University of Hong Kong

23 May, 2023

(The obituary was written by Professor Patrick Ng, Department of Mathematics, HKU.)