Pierre Fatou was born on 28 February 1878 in Lorient France. He was educated an École Normale Supérieure, graduating in 1901. Fatou's entire career was spent at the Paris Observatory, where he was appointed head astronomer in 1928. He died on 10 August 1929 in Pornichet, France at the age of just 51.
Fatou made enormous contributions in real and complex analysis, particularly in the theory of integration, analytic functions, and topological dynamics.
Fatou did not work in probability, but his name is known to all serious student of mathematics through Fatou's lemma, a basic inequality involving integrals with respect to a measure. This lemma is important in all areas of mathematics involving measure theory, including probability. In addition to his famous lemma, the Fatou theorem on bounded analytic functions and the Fatou set in topological dynamics are named for him.