Peng Shige
Peng Shige ( Chinese 彭 实 戈 , Pinyin Péng Shígē ; * December 8, 1947 in the Bincheng district of the city of Binzhou in the Chinese province of Shandong ) is a Chinese mathematician who is particularly concerned with financial mathematics .
Peng first studied physics at Shandong University from 1971 to 1974 . From 1978 he worked there at the Mathematics Institute. In 1983 he went to France, where he graduated from the University of Paris-Dauphine (University of Paris IX) with Alain Bensoussan in 1985 ( Thèse de 3ème Cycle ) (title: Étude de Perturbations Singulières en Contrôle Optimal Déterministe ) and in 1986 at the University of the Provence Aix-Marseille I received his doctorate ( Etude de perturbations et d´ homogenisations des systemes stochastiques et des systemes periodiques ). As a post-doc he was in China at Fudan University . In 1989 he became an assistant professor and in 1991 he became a professor at Shandong University, where he was appointed Distinguished Professor of Ministry of Education in 1999 . In 1992 he received his habilitation at the University of Provence . Among other things, he was visiting professor at the University of Provence Aix-Marseille I, the Courant Institute of Mathematical Sciences of New York University (1987), Brown University and the University of Paris VI .
Peng generalized the maximum principle in stochastic optimal control theory. Together with Étienne Pardoux, he founded the Backward Stochastic Differential Equations (BSDE) method in 1990 . These have applications in financial mathematics, for example the solution of the Black-Scholes equation can be interpreted as the solution of a simple linear BDSE. In this context he also developed a theory of non-linear expected values with applications in actuarial mathematics and economics .
In 2005 he was admitted to the Chinese Academy of Sciences . He has been selected for a plenary lecture at the ICM 2010 ( Backward stochastic differential equations, nonlinear expectations and their applications ).
Web links
- Shandong University website ( April 24, 2008 memento on Internet Archive )
- Presentation of the research of the Mathematical Faculty of Shandong University ( Memento of August 4, 2008 in the Internet Archive )
Individual evidence
- ↑ Shige Peng: A generalized stochastic maximum principle for optimal control problems , SIAM Journal of Control and Optimization , Vol. 28, 1990, pp. 966-979
- ↑ Shige Peng, Étienne Pardoux: Adapted solution of a backward stochastic differential equation , Systems and Control Letters, Vol. 14, 1990, pp. 55-61
| personal data | |
|---|---|
| SURNAME | Bang, Shige |
| ALTERNATIVE NAMES | 彭 实 戈 |
| BRIEF DESCRIPTION | Chinese mathematician |
| DATE OF BIRTH | December 8, 1947 |
| PLACE OF BIRTH | Bincheng , Binzhou , Shandong Province, China |