S
Shige Peng
Researcher at Shandong University
Publications - 149
Citations - 20721
Shige Peng is an academic researcher from Shandong University. The author has contributed to research in topics: Stochastic differential equation & Nonlinear expectation. The author has an hindex of 56, co-authored 143 publications receiving 18621 citations. Previous affiliations of Shige Peng include Rutgers University & University of Provence.
Papers
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Adapted solution of a backward stochastic differential equation
TL;DR: In this paper, the authors considered the problem of finding an adapted pair of processes with values in Rd and Rd×k, respectively, which solves an equation of the form: x(t) + ∫ t 1 f(s, x(s), y(s)) ds + ∪ t 1 [g(m, x, s, g(m)) + y(m)] dW s = X.
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Backward Stochastic Differential Equations in Finance
TL;DR: In this article, different properties of backward stochastic differential equations and their applications to finance are discussed. But the main focus of this paper is on the theory of contingent claim valuation, especially cases with constraints.
Book ChapterDOI
Backward stochastic differential equations and quasilinear parabolic partial differential equations
Etienne Pardoux,Shige Peng +1 more
Journal ArticleDOI
Reflected solutions of backward SDE's, and related obstacle problems for PDE's
TL;DR: In this article, reflected solutions of one-dimensional backward stochastic differential equations are studied and the authors prove uniqueness and existence both by a fixed point argument and by approximation via penalization.
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A general stochastic maximum principle for optimal control problems
TL;DR: The maximum principle for nonlinear stochastic optimal control problems in the general case was proved in this article, where the control domain need not be convex, and the diffusion coefficient can contain a control variable.