Do I need to ask a permission to acknowledge a respected mathematician in my paper?
I don't think it's necessary to ask permission for something like this - there's really nothing he could do to stop you from acknowledging him if he did take issue with it, so the permission isn't even his to give to begin with.

That said, you're acknowledging him because you respect and appreciate his comments, and want to formally recognize the working relationship you have with him. It couldn't hurt to send him an email thanking him for his contribution, and mention that you will be acknowledging him in the paper. If he really has a problem with it, he'll have the opportunity to ask you to do otherwise at that time.