Peng Shige

Shige Peng (Chinese彭 实 戈, Pinyin Peng Shige; * December 8, 1947 in the Municipality Bincheng Binzhou City in Shandong Province, China ) is a Chinese mathematician who is particularly concerned with financial mathematics.

Peng studied physics from 1971 to 1974 at the University of Shandong. From 1978 he worked at the Mathematics Institute. In 1983 he went to France, where he attended the University of Paris -Dauphine ( Paris IX University ) with Alain Bensoussan in 1985 was awarded a degree ( Thèse de 3ème Cycle ) (title: Étude de Contrôle Optimal Perturbations singulières s Déterministe ) and 1986 at the University of Provence Aix -Marseille I received his doctorate ( Etude de perturbations et d ' homogenization of systemes stochastiques et des systemes Periodiques ). As a post-doc, he was in China at Fudan University. He became assistant professor in 1989 and 1991 he was a professor at Shandong University, where he was appointed Distinguished Professor of Ministry of Education, 1999. In 1992 he received his habilitation at the University of Provence. He has been a visiting professor at the University of Provence Aix -Marseille I, at the Courant Institute of Mathematical Sciences of New York University ( 1987), at Brown University and at the University of Paris VI.

Peng generalized the maximum principle in stochastic optimal control theory. He reasoned with Étienne Pardoux 1990, the method of Backward Stochastic Differential Equations ( BSDE ). These have applications in financial mathematics, for example, can be the solution to the Black-Scholes equation as a solution of a simple linear BDSE interpret. In this context, he also developed a theory of nonlinear expectation values ​​with applications in actuarial science and economics.

He was inducted into the Chinese Academy of Sciences, 2005. He has been selected for a plenary lecture at the ICM 2010 ( Backward stochastic differential equations, nonlinear expectations and their applications ).