Mathematician Wolfgang Doeblin (1915–1940) was the son of the German writer Alfred Döblin. In 1933 the family fl ed from Nazi Germany to France. Wolfgang completed his mathematical education in Paris, took French citizenship, and changed his name to Vincent Doblin. In the short period before his untimely death during the war, he made important contributions to the theory of probability and stochastic processes. His unpublished manuscripts discovered in 1999 in the archive of the University of Paris contain the foundations for a new fi eld – the theory of stochastic differential equations. Doeblin defi ned the stochastic integral and proved the formula now known as the Itô lemma (it was fi rst published by Kiyoshi Itô in 1942). Doeblin’s results helped establish the modern theory of probability, together with the works by A. N. Kolmogorov, A. Ya. Khinchin, and Paul Pierre Lévy. Keywords: Wolfgang Doeblin (Vincent Doblin), biography, probability theory, the theory of stochastic processes, Markov processes.