Shige Peng - Selected Publications#

Professor Shige Peng is cited 7963 times by 1851 according to MR Citation database as of January 2023.

[1] S. Peng (1990) A general stochastic maximum principle for optimal control problems. SIAM J. Control Optim. 28, no. 4, 96- 979. https://doi.org/10.1137/0328054

[2] E. Pardoux and S. Peng (1990), Adapted Solution of a Backward Stochastic Differential Equation, Systems and Control Letters, 14, 55-61. https://doi.org/10.1016/0167-6911(90)90082-6

[3] S. Peng (1991), Probabilistic Interpretation for Systems of Quasilin- ear Parabolic Partial Differential Equations, Stochastics, 37, 61-74, MR0532498. doi10.1080/17442509108833727.

[4] N. El Karoui S. Peng and M.-C., Quenez (1997), Backward Stochastic Differential Equation in Finance, Mathematical Finance, 7, 1- 71. https://doi.org/10.1111/1467-9965.00022

[5] S. Peng (1997), Backward SDE and Related g-Expectation, in Back- ward Stochastic Differential Equations, Pitman Research Notes in Math. Series, No.364, El Karoui Mazliak edit (MR1752672). 141- 159.

[6] S. Peng, Nonlinear expectations, nonlinear evaluations and risk measures. Stochastic Methods in Finance, 165-253, Lecture Notes in Math., 1856, Fond. CIME/CIME Found.

[7] S. Peng (2007), G-expectation, G-Brownian motion and related stochastic calculus of Itos type, in Stochastic Analysis and Applications, The Abel Symposium 2005, Abel Symposia , 2, Edit.

Benth et. al., 541-567, Springer-Verlag, 2007. https://doi.org/ 10.1007/978-3-540-70847-6-25

[8] S. Peng (2010), Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications, Lecture of Plenary lecture of ICM2010, in Proceedings of the International Congress of Mathematicians Hyderabad, https://doi.org/10. 1142/9789814324359-0019.

[9] S. Peng (2019) Monograph: Nonlinear Expectations and Stochastic Calculus under Uncertainty, Springer. https://doi.org/10. 1007/978-3-662-59903-7.

[10] F. Coquet, Y. Hu, J. Mmin and S. Peng(2002), Filtration-consistent nonlinear expectations and related g- expectations. Probab. Theory Related Fields 123, no. 1, 127. https://doi.org/10.1007/s004400100172