Shige Peng - Curriculum Vitae#

  • University diploma, Department of Physics, Shandong University, Jinan, China, 1971 - 1974
  • Thèse de 3ème Cycle de l’Université de Paris-IX, France, Nov. 1985
  • Thèse de Docteur de l’Université de Provence, France, 12, Dec. 1986
  • Diplôme d’Habilitation à Diriger des Recherches, Université de Provence, France, 1992

Full-time Position held:
  • 1971 - 1974 University diploma, Department of Physics, Shandong University, Jinan, China
  • 1987 - 1989 Post Doctor, Institute of Mathematics, Fudan University, China
  • 1989 - 1990 Assistant Professor of Institute of Mathematics, Shandong University, China
  • 1990 - 1991 Associated Professor of Institute of Mathematics Shandong University, China
  • 1999 - 2023 Distinguished Professor of Ministry of Education of China, (Cheung Kong Scholarship)
  • 2010 - 2023 Professor of 1st class, School of Mathematics, Shandong University, China

In 1990, Peng established the full general stochastic maximum principle, which solved a long-standing unsolved problems in stochastic control theory; in the same year, he, cooperated with French mathematician Pardoux, and proved, for the first time, the existence and uniqueness theorem of the solution of general backward stochastic differential equations. This work was widely recognized as the foundational work for the field. Shortly there-after, Peng Shige proved that the solutions of a large class of second- order nonlinear partial differential equations, or system of equations, can be represented by the solution of backward stochastic differential equations, which provides a novel non-linear Feynman-Kac formula, which largely generalized the classical Feynman-Kac formula promotion.

Peng introduced the concept of g-expectation and conditional g-expectation in 1997, which is the first dynamic nonlinear mathematical expectation. This is an important new concept which can be widely used in many research fields such as mathematical finance. In fact, in 2002, Peng and his collaborators proved that a dynamically compatible nonlinear mathematical expectation satisfying certain smooth conditions must be a g-expectation.

Since 2005, Peng has established the nonlinear expectation (G-expectation) theory and the theoretical foundation of the corresponding stochastic analysis, extended the classic Kolmogrove probability theory axiom system to nonlinear cases, and established the law of large numbers and the central limit theorem under nonlinear expectation. This theory has important applications in financial mathematics.

The above research works of Peng are original, which have been widely cited. They significantly advanced the development of stochastic control theory, financial mathematics, stochastic analysis, mathematical statistics and other related disciplines. In 2010, he was invited to give a plenary lecture at the 26th International Congress of Mathematicians. He was also awarded to be Princeton Global Scholar 2011 - 2013. In 2005 he was elected an Academician of the Chinese Academy of Sciences.

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