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Author
Shige Peng A
61 works
· latest 2020
· 3 institutions
cluster: provisional
Works
60 shown
Improving Value-at-Risk Prediction Under Model Uncertainty
Journal of Financial Econometrics
·
2020
·
3 authors
·
Open access
54
citations
Three Algorithms for Solving High-Dimensional Fully Coupled FBSDEs Through Deep Learning
IEEE Intelligent Systems
·
2020
·
4 authors
·
Open access
61
citations
Nonlinear Expectations and Stochastic Calculus under Uncertainty: with Robust CLT and G-Brownian Motion
·
2019
·
1 author
·
book
64
citations
Limit theorems with rate of convergence under sublinear expectations
Bernoulli
·
2019
·
4 authors
·
Open access
53
citations
Law of large numbers and central limit theorem under nonlinear expectations
Probability Uncertainty and Quantitative Risk
·
2019
·
1 author
·
Open access
68
citations
Nonlinear Expectations and Stochastic Calculus under Uncertainty
Probability theory and stochastic modelling
·
2019
·
1 author
·
book
594
citations
Reflected solutions of backward stochastic differential equations driven by G-Brownian motion
Science China Mathematics
·
2017
·
3 authors
55
citations
Mean-field stochastic differential equations and associated PDEs
The Annals of Probability
·
2017
·
4 authors
·
Open access
275
citations
BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
Science China Mathematics
·
2015
·
2 authors
·
Open access
83
citations
Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G -Brownian motion
Stochastic Processes and their Applications
·
2013
·
4 authors
·
Open access
152
citations
Backward stochastic differential equations driven by G -Brownian motion
Stochastic Processes and their Applications
·
2013
·
4 authors
·
Open access
148
citations
ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1
·
2012
·
2 authors
·
preprint
203
citations
Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications
International Congress of Mathematicians (ICM)
·
2011
·
1 author
·
other
121
citations
Stopping times and related Itô’s calculus with G -Brownian motion
Stochastic Processes and their Applications
·
2011
·
2 authors
·
Open access
176
citations
Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths
Potential Analysis
·
2010
·
2 authors
570
citations
Nonlinear Expectations and Stochastic Calculus under Uncertainty
arXiv (Cornell University)
·
2010
·
1 author
·
preprint
·
Open access
81
citations
Maximum Principle for Backward Doubly Stochastic Control Systems with Applications
SIAM Journal on Control and Optimization
·
2010
·
3 authors
71
citations
Representation of the penalty term of dynamic concave utilities
Finance and Stochastics
·
2009
·
2 authors
·
Open access
149
citations
Mean-field backward stochastic differential equations: A limit approach
The Annals of Probability
·
2009
·
4 authors
·
Open access
324
citations
Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
Science in China Series A Mathematics
·
2009
·
1 author
220
citations
On representation theorem of G-expectations and paths of G-Brownian motion
Acta Mathematicae Applicatae Sinica English Series
·
2009
·
2 authors
179
citations
Mean-field backward stochastic differential equations and related partial differential equations
Stochastic Processes and their Applications
·
2009
·
3 authors
·
Open access
342
citations
Anticipated backward stochastic differential equations
The Annals of Probability
·
2009
·
1 author
·
Open access
192
citations
Backward Stochastic Differential Equation Driven by Fractional Brownian Motion
SIAM Journal on Control and Optimization
·
2009
·
2 authors
80
citations
Error estimates of the $\theta$-scheme for backward stochastic differentialequations
Discrete and Continuous Dynamical Systems - B
·
2009
·
2 authors
58
citations
A New Central Limit Theorem under Sublinear Expectations
arXiv (Cornell University)
·
2008
·
1 author
·
preprint
·
Open access
149
citations
Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations
Nonlinear Analysis
·
2008
·
2 authors
56
citations
Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
Stochastic Processes and their Applications
·
2008
·
1 author
·
Open access
556
citations
G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty
arXiv (Cornell University)
·
2007
·
1 author
·
preprint
·
Open access
143
citations
Law of Large Numbers and Central Limit Theorem under Nonlinear Expectations
arXiv (Cornell University)
·
2007
·
1 author
·
preprint
·
Open access
55
citations
G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type
Springer eBooks
·
2007
·
1 author
·
chapter
621
citations
On the comparison theorem for multidimensional BSDEs
Comptes Rendus Mathématique
·
2006
·
2 authors
67
citations
A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
SIAM Journal on Scientific Computing
·
2006
·
3 authors
151
citations
Backward stochastic differential equations and quasilinear parabolic partial differential equations
Springer eBooks
·
2005
·
2 authors
·
chapter
782
citations
Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations
Stochastic Processes and their Applications
·
2005
·
2 authors
·
Open access
166
citations
The smallest g-supermartingale and reflected BSDE with single and double L2L2 obstacles
Annales de l Institut Henri Poincaré Probabilités et Statistiques
·
2005
·
1 author
108
citations
NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS
Chinese Annals of Mathematics Series B
·
2005
·
1 author
159
citations
Dynamically Consistent Nonlinear Evaluations and Expectations
arXiv (Cornell University)
·
2005
·
1 author
·
preprint
·
Open access
45
citations
Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims
Acta Mathematicae Applicatae Sinica English Series
·
2004
·
1 author
133
citations
Nonlinear Expectations, Nonlinear Evaluations and Risk Measures
Lecture notes in mathematics
·
2004
·
1 author
·
chapter
278
citations
Stochastic Methods in Finance
Lecture notes in mathematics
·
2004
·
5 authors
·
book
56
citations
A type of time-symmetric forward–backward stochastic differential equations
Comptes Rendus Mathématique
·
2003
·
2 authors
·
Open access
61
citations
Filtration-consistent nonlinear expectations and related g-expectations
Probability Theory and Related Fields
·
2002
·
4 authors
·
Open access
256
citations
Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon
The Annals of Applied Probability
·
2002
·
2 authors
·
Open access
115
citations
A dynamic maximum principle for the optimization of recursive utilities under constraints
The Annals of Applied Probability
·
2001
·
3 authors
·
Open access
155
citations
A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation
Electronic Communications in Probability
·
2000
·
5 authors
·
Open access
157
citations
Infinite horizon forward–backward stochastic differential equations
Stochastic Processes and their Applications
·
2000
·
2 authors
·
Open access
91
citations
Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type
Probability Theory and Related Fields
·
1999
·
1 author
·
Open access
347
citations
Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
SIAM Journal on Control and Optimization
·
1999
·
2 authors
494
citations
Open Problems on Backward Stochastic Differential Equations
IFIP advances in information and communication technology
·
1999
·
1 author
·
chapter
53
citations
Existence of stochastic control under state constraints
Comptes Rendus de l Académie des Sciences - Series I - Mathematics
·
1998
·
4 authors
54
citations
Reflected solutions of backward SDE's, and related obstacle problems for PDE's
The Annals of Probability
·
1997
·
5 authors
·
Open access
704
citations
Backward Stochastic Differential Equations in Finance
Mathematical Finance
·
1997
·
3 authors
2,339
citations
Solution of forward-backward stochastic differential equations
Probability Theory and Related Fields
·
1995
·
2 authors
·
Open access
402
citations
Backward doubly stochastic differential equations and systems of quasilinear SPDEs
Probability Theory and Related Fields
·
1994
·
2 authors
·
Open access
337
citations
Backward stochastic differential equations and applications to optimal control
Applied Mathematics & Optimization
·
1993
·
1 author
401
citations
Stochastic Hamilton–Jacobi–Bellman Equations
SIAM Journal on Control and Optimization
·
1992
·
1 author
307
citations
A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
Stochastics and stochastics reports
·
1992
·
1 author
296
citations
Adapted solution of a backward semilinear stochastic evolution equation
Stochastic Analysis and Applications
·
1991
·
2 authors
172
citations
A General Stochastic Maximum Principle for Optimal Control Problems
SIAM Journal on Control and Optimization
·
1990
·
1 author
800
citations