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.
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Numerical Algorithms for 1-d Backward Stochastic Differential Equations: Convergence and Simulations
Shige Peng,Mingyu Xu +1 more
TL;DR: In this paper, different algorithms for backward stochastic differential equations (BSDEs) based on random walk framework for 1-dimensional Brownian motion are studied and convergence results for different types of BSDEs are presented.
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The Pricing Mechanism of Contingent Claims and its Generating Function
TL;DR: In this paper, a dynamic pricing mechanism of contingent claims is studied and the main result is that if a given pricing mechanism is $E^{g_\mu}$-dominated, i.e.
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The Numerical Algorithms and simulations for BSDEs
Shige Peng,Mingyu Xu +1 more
TL;DR: In this paper, different algorithms for backward stochastic differential equations (BSDEs) based on random walk framework for 1-dimensional Brownian motion are studied and convergence results for different types of BSDEs are presented.
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Wong-Zakai Approximation for SDEs Driven by $G-$Brownian Motion.
Shige Peng,Huilin Zhang +1 more
TL;DR: The equivalence between rough differential equations driven by the lifted $G-Brownian motion and the corresponding Stratonovich type SDE is built through the Wong-Zakai approximation through the quasi-surely continuity of the above RDEs with respect to uniform norm.
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A hypothesis-testing perspective on the G-normal distribution theory.
Shige Peng,Quan Zhou +1 more
TL;DR: In this article, the authors studied the tail behavior of the G-normal distribution through analyzing a nonlinear heat equation and provided asymptotic results so that the tail probabilities can be easily evaluated with high accuracy.