S. Peng

发表

A general stochastic maximum principle for optimal control problems

S. Peng, 1990 .

Adapted solution of a backward stochastic differential equation

S. Peng, É. Pardoux, 1990 .

Reflected solutions of backward SDE's, and related obstacle problems for PDE's

S. Peng, N. Karoui, É. Pardoux, 1997 .

Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

S. Peng, Zhen Wu, 1999 .

Backward stochastic differential equations and quasilinear parabolic partial differential equations

S. Peng, É. Pardoux, 1992 .

G -Expectation, G -Brownian Motion and Related Stochastic Calculus of Itô Type

S. Peng, 2006, math/0601035.

Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation

S. Peng, 2006, math/0601699.

Backward Stochastic Differential Equations in Finance

S. Peng, N. El Karoui, N. Karoui, 1997 .

PR ] 1 5 M ay 2 01 8 On the exit times for SDEs driven by G-Brownian motion

S. Peng, Falei Wang, Guomin Liu, 2018 .

On the exit times of SDEs driven by $G$-Brownian motion

S. Peng, Falei Wang, Guomin Liu, 2018, 1804.05610.

Reflected BSDE with a constraint and its applications in an incomplete market

Shige Peng, Mingyu Xu, S. Peng, 2010 .

Anticipated backward stochastic differential equations

Shige Peng, S. Peng, Zhenliu Yang, 2007, 0705.1822.

Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection

S. Peng, Shaolin Ji, 2008 .

Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

Shige Peng, S. Peng, 1991 .

A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

S. Peng, 1992 .

Stochastic Hamilton-Jacobi-Bellman equations

Shige Peng, S. Peng, 1992 .

Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications

S. Peng, 2011 .

Nonlinear Expectations and Stochastic Calculus under Uncertainty

S. Peng, 2010, Probability Theory and Stochastic Modelling.

Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon

S. Peng, H. Nagai, 2002 .

BSDE, path-dependent PDE and nonlinear Feynman-Kac formula

S. Peng, Falei Wang, 2011, 1108.4317.

Solution of forward-backward stochastic differential equations

S. Peng, Ying Hu, Y. Hu, 1995 .

Filtration-consistent nonlinear expectations and related g-expectations

S. Peng, Ying Hu, F. Coquet, 2002 .

Nonlinear Expectations, Nonlinear Evaluations and Risk Measures

S. Peng, 2004 .

Mean-field backward stochastic differential equations and related partial differential equations

S. Peng, Juan Li, R. Buckdahn, 2007, 0711.2167.

Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type

S. Peng, 1999 .

A dynamic maximum principle for the optimization of recursive utilities under constraints

S. Peng, N. Karoui, M. Quenez, 2001 .

The smallest g-supermartingale and reflected BSDE with single and double L2 obstacles

S. Peng, Mingyu Xu, 2005 .

Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

S. Peng, Zhen Wu, 1999 .

G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty

S. Peng, 2007, 0711.2834.

Mean-field stochastic differential equations and associated PDEs

Juan Li, S. Peng, R. Buckdahn, 2014, 1407.1215.

Stochastics An International Journal of Probability and Stochastic Processes : formerly Stochastics and Stochastics Reports

Shige Peng, Yongsheng Song, Jianfeng Zhang, 2014 .

Maximum principle for optimal control of stochastic system of functional type

Ying Hu, Shige Peng, S. Peng, 1996 .

Backward doubly stochastic differential equations and systems of quasilinear SPDEs

Shige Peng, Etienne Pardoux, S. Peng, 1994 .

Numerical Algorithms for 1-d Backward Stochastic Differential Equations: Convergence and Simulations

S. Peng, Mingyu Xu, 2006, math/0611864.

A linear approximation algorithm using BSDE

S. Peng, 1999 .

G-Gaussian Processes under Sublinear Expectations and q-Brownian Motion in Quantum Mechanics

S. Peng, 2011, 1105.1055.

A linear quadratic optimal control problem with disturbances—An algebraic Riccati equation and differential games approach

J. Yong, S. Peng, Shuping Chen, 1994 .

Supermartingale Decomposition Theorem under G-expectation

S. Peng, Yongsheng Song, Hanwu Li, 2017, 1703.02730.

Stochastic Methods in Finance

Walter Schachermayer, Tomasz R. Bielecki, Shige Peng, 2004 .

New developments in stochastic maximum principle and related backward stochastic differential equations

S. Peng, S. Peng, 1992, [1992] Proceedings of the 31st IEEE Conference on Decision and Control.

Modelling Derivatives Pricing Mechanisms with Their Generating Functions

S. Peng, 2006, math/0605599.

Backward Stochastic Differential Equations and Related Control Problems

S. Peng, 2015, Encyclopedia of Systems and Control.

Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation

S. Peng, 2006, math/0601699.

A universal robust limit theorem for nonlinear L\'evy processes under sublinear expectation

S. Peng, Mingshang Hu, Gechun Liang, 2022, 2205.00203.

A complete representation theorem for G-martingales

S. Peng, Jianfeng Zhang, Yongsheng Song, 2012, 1201.2629.

Jensen’s inequality for g-convex function under g-expectation

S. Peng, Guangyan Jia, 2008, 0802.0373.

A DECOMPOSITION THEOREM OF g-MARTINGALES *

S. Peng, Zengjing Chen, 1998, SUT Journal of Mathematics.

Spatial and temporal white noises under sublinear G-expectation

S. Peng, Xiaojun Ji, 2019, Science China Mathematics.

Martingale problem under nonlinear expectations

S. Peng, Xin Guo, Chen Pan, 2012, 1211.2869.

Parabolic Equations with Quadratic Growth in $$\mathbb {R}^{n}$$

A. Bensoussan, S. Peng, J. Frehse, 2018, Computational Methods in Applied Sciences.

A hypothesis-testing perspective on the G-normal distribution theory

S. Peng, Quan Zhou, 2019, Statistics & Probability Letters.

Representation of the penalty term of dynamic concave utilities

Freddy Delbaen, Shige Peng, Emanuela Rosazza Gianin, 2008, Finance Stochastics.

Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths

Shige Peng, Mingshang Hu, S. Peng, 2008, 0802.1240.

Imbalanced binary classification under distribution uncertainty

S. Peng, Xuan Ji, Shuzhen Yang, 2022, Inf. Sci..

Autoregressive models of the time series under volatility uncertainty and application to VaR model.

S. Peng, Shuzhen Yang, 2020 .

Improving Value-at-Risk Prediction Under Model Uncertainty

Jianfeng Yao, S. Peng, Shuzhen Yang, 2018, Journal of Financial Econometrics.

Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations

Shige Peng, S. Peng, Xuehong Zhu, 2006 .

Tightness, weak compactness of nonlinear expectations and application to CLT

S. Peng, 2010, 1006.2541.

Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations

Shige Peng, S. Peng, 2009 .

A New Central Limit Theorem under Sublinear Expectations

Shige Peng, S. Peng, 2008, 0803.2656.

G -Expectation, G -Brownian Motion and Related Stochastic Calculus of Itô Type

S. Peng, 2006, math/0601035.

Three Algorithms for Solving High-Dimensional Fully Coupled FBSDEs Through Deep Learning

Ying Peng, Shaolin Ji, Xichuan Zhang, 2019, IEEE Intelligent Systems.

A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

Weidong Zhao, Lifeng Chen, Shige Peng, 2006, SIAM J. Sci. Comput..

Reflected solutions of backward stochastic differential equations driven by G-Brownian motion

S. Peng, Hanwu Li, Abdoulaye Soumana Hima, 2018 .

Backward Stochastic Differential Equation Driven by Fractional Brownian Motion

Yaozhong Hu, Shige Peng, S. Peng, 2009, SIAM J. Control. Optim..

Mean-Field Backward Stochastic Differential Equations . A Limit Approach ∗

Boualem Djehiche, Shige Peng, Rainer Buckdahn, 2007 .

A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation

Ying Hu, Shige Peng, Philippe Briand, 2000 .

Sublinear Expectations and Martingales in discrete time

Samuel N. Cohen, S. Peng, Shaolin Ji, 2011, 1104.5390.

NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS

Shige Peng, S. Peng, 2005 .

On controllability for stochastic control systems when the coefficient is time-variant

Feng Liu, Shige Peng, S. Peng, 2010, J. Syst. Sci. Complex..

Infinite horizon backward stochastic differential equation and exponential convergence index assignment of stochastic control systems

Shige Peng, Yazeng Liu, S. Peng, 2002, Autom..

Backward Stochastic Differential Equations and Related Control Problems

Shige Peng, S. Peng, 2015, Encyclopedia of Systems and Control.

Wong-Zakai Approximation through Rough Paths in the G-expectation Framework

S. Peng, Huilin Zhang, 2015 .

Dynamically Consistent Nonlinear Evaluations and Expectations

S. Peng, Shi-Ge Peng, 2005, math/0501415.

Stopping times and related Itô's calculus with G-Brownian motion

Shige Peng, Xinpeng Li, S. Peng, 2009, 0910.3871.

G-Lévy processes under sublinear expectations

Shige Peng, Mingshang Hu, S. Peng, 2009, Probability, Uncertainty and Quantitative Risk.

Solving Stochastic Optimal Control Problem via Stochastic Maximum Principle with Deep Learning Method

S. Peng, Shaolin Ji, Ying Peng, 2020, Journal of Scientific Computing.

Singular perturbations in optimal control problems

A. Bensoussan, S. Peng, 1986 .

Infinite Horizon Boundary Value Problems and Applications

S. Peng, Yufeng Shi, 1999 .

Infinite horizon forward–backward stochastic differential equations

Yufeng Shi, Shige Peng, S. Peng, 2000 .

Convergence of solutions of discrete reflected backward SDE’s and simulations

S. Peng, Mingyu Xu, J. Mémin, 2008 .

About the editors and authors

T. Bielecki, S. Peng, M. Frittelli, 2020, Der Donauraum.

BSDEs with random default time and related zero-sum stochastic differential games

S. Peng, Xiaoming Xu, 2010 .

BSDEs with random default time and their applications to default risk

S. Peng, Xiaoming Xu, 2009, 0910.2091.

Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition

S. Peng, Mingyu Xu, 2006, math/0611869.

Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims

Shige Peng, S. Peng, 2004 .

Open Problems on Backward Stochastic Differential Equations

Shige Peng, S. Peng, 1998, Control of Distributed Parameter and Stochastic Systems.

On the comparison theorem for multidimensional BSDEs

Ying Hu, Shige Peng, S. Peng, 2006 .

Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs

Ying Hu, Shige Peng, Rainer Buckdahn, 1999 .

A novel control method for solving high-dimensional Hamiltonian systems through deep neural networks

Shaolin Ji, Shige Peng, Xichuan Zhang, 2021, 2111.02636.

Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations

S. Peng, Mingyu Xu, 2011 .

A control method for solving high-dimensional Hamiltonian systems through deep neural networks pdf

Shaolin Ji, Shige Peng, Ying Peng, 2021, ArXiv.

A deep learning method for solving stochastic optimal control problems driven by fully-coupled FBSDEs

S. Peng, Shaolin Ji, Ying Peng, 2022, ArXiv.

Adapted solution of a backward semilinear stochastic evolution equation

Ying Hu, Shige Peng, S. Peng, 1991 .

Limit theorems with rate of convergence under sublinear expectations

Q. Shao, S. Peng, Xiao Fang, 2017, Bernoulli.

Law of large numbers and central limit theorem under nonlinear expectations

Shige Peng, S. Peng, 2007, Probability, Uncertainty and Quantitative Risk.

Maximum principle for viscosity solutions on Riemannian manifolds

S. Peng, Detang Zhou, 2008, 0806.4768.

Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations

Shige Peng, S. Peng, Juan Li, 2009 .

Optimal unbiased estimation for maximal distribution

Hanqing Jin, Shige Peng, S. Peng, 2016, Probability, Uncertainty and Quantitative Risk.

$G$-expectation weighted Sobolev spaces, backward SDE and path dependent PDE

S. Peng, Yongsheng Song, 2013, 1305.4722.

Stochastic calculus with respect to G-Brownian motion viewed through rough paths

S. Peng, Huilin Zhang, 2016, Science China Mathematics.

Stochastic calculus with respect to G-Brownian motion viewed through rough paths

S. Peng, Huilin Zhang, 2015, 1510.01851.

Backward stochastic differential equations driven by G-Brownian motion

S. Peng, Mingshang Hu, Shaolin Ji, 2012, 1206.5889.

Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon

S. Peng, H. Nagai, 2001 .

Stationary backward stochastic differential equations and associated partial differential equations

Shige Peng, Rainer Buckdahn, S. Peng, 1999 .

Ergodic Backward SDE and Associated PDE

S. Peng, R. Buckdahn, 1999 .

Mean-field backward stochastic differential equations and related partial differential equations

S. Peng, Juan Li, R. Buckdahn, 2007, 0711.2167.

Nonlinear Stochastic Differential Games Involving a Major Player and a Large Number of Collectively Acting Minor Agents

Juan Li, Shige Peng, Rainer Buckdahn, 2013, SIAM J. Control. Optim..

Mean-field backward stochastic differential equations: A limit approach

Juan Li, S. Peng, Boualem Djehiche, 2007, 0711.2162.

Three Algorithms for Solving High-Dimensional Fully Coupled FBSDEs Through Deep Learning

S. Peng, Shaolin Ji, Ying Peng, 2019, IEEE Intelligent Systems.

On representation theorem of G-expectations and paths of G-Brownian motion

Shige Peng, Mingshang Hu, S. Peng, 2009, 0904.4519.

Maximum principle for semilinear stochastic evolution control systems

Ying Hu, Shige Peng, S. Peng, 1990 .

Distributional uncertainty of the financial time series measured by $G$-expectation

S. Peng, Shuzhen Yang, 2020, Teoriya Veroyatnostei i ee Primeneniya.

Stein Type Characterization for $G$-normal Distributions

S. Peng, Mingshang Hu, Yongsheng Song, 2016, 1603.04611.

Determination of a controllable set for a controlled dynamic system

J. Yong, S. Peng, 1991, The Journal of the Australian Mathematical Society. Series B. Applied Mathematics.

Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle

S. Peng, Hanwu Li, 2020 .

Comparison Theorem, Feynman-Kac Formula and Girsanov Transformation for BSDEs Driven by G-Brownian Motion

S. Peng, Mingshang Hu, Shaolin Ji, 2012, 1212.5403.

Backward stochastic differential equations and applications to optimal control

S. Peng, 1993 .

Deep learning method for solving stochastic optimal control problem via stochastic maximum principle pdf

Shaolin Ji, Shige Peng, Ying Peng, 2020, ArXiv.

Nonlinear Expectations and Risk Measures

S. Peng, 2003 .

Viability property on Riemannian manifolds

S. Peng, Xuehong Zhu, 2009 .

A generalized Hamilton-Jacobi-Bellman equation

S. Peng, 1991 .

Note on Viscosity Solution of Path-Dependent PDE and G-Martingales

Shige Peng, S. Peng, 2011, 1106.1144.

A type of time-symmetric forward–backward stochastic differential equations

Yufeng Shi, Shige Peng, S. Peng, 2003 .

Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions

Shige Peng, S. Peng, 2000 .

Backward Stochastic Differential Equations and Related Control Problems

S. Peng, 2021, Encyclopedia of Systems and Control.

Maximum Principle for Backward Doubly Stochastic Control Systems with Applications

Zhen Wu, Shige Peng, Yuecai Han, 2010, SIAM J. Control. Optim..