Edit Profile (opens in new tab) Peng, Shige Co-Author Distance Author ID: peng.shige Published as: Peng, Shige; Peng, S.; Peng, ShiGe; Peng, S. G. more...less Homepage: https://web.archive.org/web/20080424003200/http://www.math.sdu.edu.cn/lab/main.h... External Links: MGP · Wikidata · dblp · GND · IdRef · theses.fr Documents Indexed: 145 Publications since 1983, including 1 Book and 18 Additional arXiv Preprints 2 Contributions as Editor Co-Authors: 71 Co-Authors with 107 Joint Publications 2,310 Co-Co-Authors all top 5 Co-Authors 36 single-authored 14 Hu, Ying 9 Buckdahn, Rainer 8 Hu, Mingshang 8 Song, Yongsheng 7 Xu, Mingyu 6 Ji, Shaolin 6 Li, Juan 4 Li, Hanwu 4 Mémin, Jean 4 Pardoux, Etienne 4 Yong, Jiongmin 3 Bensoussan, Alain 3 Chen, Zengjing 3 Coquet, François 3 El Karoui, Nicole 3 Li, Xunjing 3 Liu, Yazeng 3 Quenez, Marie-Claire 3 Wang, Falei 3 Zhang, Huilin 3 Zhu, Xuehong 2 Guo, Xin 2 Jia, Guangyan 2 Li, Xinpeng 2 Ma, Jin 2 Nagai, Hideo 2 Pan, Chen 2 Peng, Ying 2 Rainer, Catherine 2 Shi, Yufeng 2 Wu, Zhen 2 Yang, Shuzhen 2 Zhang, Xichuan 2 Zhao, Weidong 1 Briand, Philippe 1 Chen, Shuping 1 Chen, Zuhao 1 Cohen, Samuel N. 1 Delbaen, Freddy 1 Denis, Laurent 1 Djehiche, Boualem 1 Fang, Xiao 1 Frehse, Jens 1 Hamadene, Saïd 1 Han, Yuecai 1 Hu, Yaozhong 1 Ji, Xuan 1 Jiang, Lianzi 1 Jin, Hanqing 1 Kapoudjian, Christophe 1 Kloks, Ton 1 Lepeltier, Jean-Pierre 1 Liang, Gechun 1 Lin, Qingquan 1 Liu, Feng 1 Liu, Guomin 1 Quincampoix, Marc 1 Rosazza Gianin, Emanuela 1 Shao, Qi-Man 1 Shi, Yugfeng 1 Soumana Hima, Abdoulaye 1 Sung, Jaeyoung 1 Wang, Jinlei 1 Xu, Xiaoming 1 Yam, Sheung Chi Phillip 1 Yang, Feng 1 Yang, Zhe 1 Yao, Song 1 Zhang, Jianfeng 1 Zhou, Detang 1 Zhou, Quan 1 Zhou, Xunyu all top 5 Serials 11 Stochastic Processes and their Applications 7 SIAM Journal on Control and Optimization 6 Chinese Annals of Mathematics. Series B 6 Probability Theory and Related Fields 6 Comptes Rendus. Mathématique. Académie des Sciences, Paris 6 Probability, Uncertainty and Quantitative Risk 4 The Annals of Probability 4 Science China. Mathematics 3 Acta Mathematicae Applicatae Sinica. English Series 3 Stochastics and Stochastics Reports 2 Applied Mathematics and Optimization 2 Statistics & Probability Letters 2 Stochastic Analysis and Applications 2 Journal of Fudan University. Natural Science 2 The Annals of Applied Probability 2 Electronic Communications in Probability 2 Bernoulli 2 Comptes Rendus de l’Académie des Sciences. Série I. Mathématique 2 Mathematical Control and Related Fields 1 Journal of the Australian Mathematical Society, Series B 1 Theory of Probability and its Applications 1 Automatica 1 Information Sciences 1 Journal of Differential Equations 1 Journal of the Mathematical Society of Japan 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Optimal Control Applications & Methods 1 Systems & Control Letters 1 Acta Mathematicae Applicatae Sinica 1 Journal of Shandong University. Natural Science Edition 1 Applied Mathematics and Mechanics. (English Edition) 1 Acta Automatica Sinica 1 Advances in Mathematics (Beijing) 1 Journal of Theoretical Probability 1 Asymptotic Analysis 1 Journal of Scientific Computing 1 Science in China. Series A 1 Comptes Rendus de l’Académie des Sciences. Série I 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 RAIRO. Automatique-Productique, Informatique Industrielle 1 SUT Journal of Mathematics 1 Potential Analysis 1 SIAM Journal on Scientific Computing 1 NoDEA. Nonlinear Differential Equations and Applications 1 Electronic Journal of Probability 1 Finance and Stochastics 1 Mathematical Finance 1 Acta Mathematica Sinica. English Series 1 Progress in Natural Science 1 Discrete and Continuous Dynamical Systems. Series B 1 Journal of Systems Science and Complexity 1 Stochastics 1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 1 Studies in Probability, Optimization and Statistics 1 Mathematics and Financial Economics 1 Scientia Sinica. Mathematica 1 Numerical Algebra, Control and Optimization 1 Probability Theory and Stochastic Modelling all top 5 Fields 112 Probability theory and stochastic processes (60-XX) 34 Systems theory; control (93-XX) 20 Calculus of variations and optimal control; optimization (49-XX) 16 Partial differential equations (35-XX) 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Ordinary differential equations (34-XX) 9 Statistics (62-XX) 6 Numerical analysis (65-XX) 2 History and biography (01-XX) 2 Operator theory (47-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Biology and other natural sciences (92-XX) 1 General and overarching topics; collections (00-XX) 1 Real functions (26-XX) 1 Potential theory (31-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Computer science (68-XX) 1 Mechanics of particles and systems (70-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 112 Publications have been cited 9,853 times in 3,628 Documents Cited by ▼ Year ▼ Adapted solution of a backward stochastic differential equation. Zbl 0692.93064 Pardoux, E.; Peng, S. G. 1,292 1990 Backward stochastic differential equations in finance. Zbl 0884.90035 El Karoui, N.; Peng, S.; Quenez, M. C. 1,203 1997 Backward stochastic differential equations and quasilinear parabolic partial differential equations. Zbl 0766.60079 Pardoux, E.; Peng, S. 454 1992 \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type. Zbl 1131.60057 Peng, Shige 365 2007 Reflected solutions of backward SDE’s, and related obstacle problems for PDE’s. Zbl 0899.60047 El Karoui, N.; Kapoudjian, C.; Pardoux, E.; Peng, S.; Quenez, M. C. 356 1997 A general stochastic maximum principle for optimal control problems. Zbl 0712.93067 Peng, Shige 320 1990 Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation. Zbl 1158.60023 Peng, Shige 312 2008 Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths. Zbl 1225.60057 Denis, Laurent; Hu, Mingshang; Peng, Shige 291 2011 Probabilistic interpretation for systems of quasilinear parabolic partial differential equations. Zbl 0739.60060 Peng, Shige 266 1991 Fully coupled forward-backward stochastic differential equations and applications to optimal control. Zbl 0931.60048 Peng, Shige; Wu, Zhen 248 1999 Backward SDE and related \(g\)-expectation. Zbl 0892.60066 Peng, S. 241 1997 Backward stochastic differential equations and applications to optimal control. Zbl 0769.60054 Peng, Shige 208 1993 Solution of forward-backward stochastic differential equations. Zbl 0831.60065 Hu, Ying; Peng, S. 203 1995 Backward doubly stochastic differential equations and systems of quasilinear SPDEs. Zbl 0792.60050 Pardoux, Etienne; Peng, Shige 190 1994 Mean-field backward stochastic differential equations and related partial differential equations. Zbl 1183.60022 Buckdahn, Rainer; Li, Juan; Peng, Shige 185 2009 Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion. Zbl 1427.60004 Peng, Shige 175 2019 Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer’s type. Zbl 0953.60059 Peng, Shige 171 1999 Mean-field backward stochastic differential equations: A limit approach. Zbl 1176.60042 Buckdahn, Rainer; Djehiche, Boualem; Li, Juan; Peng, Shige 170 2009 Mean-field stochastic differential equations and associated PDEs. Zbl 1402.60070 Buckdahn, Rainer; Li, Juan; Peng, Shige; Rainer, Catherine 145 2017 A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation. Zbl 0756.49015 Peng, Shige 134 1992 Nonlinear expectations, nonlinear evaluations and risk measures. Zbl 1127.91032 Peng, Shige 133 2004 Anticipated backward stochastic differential equations. Zbl 1186.60053 Peng, Shige; Yang, Zhe 133 2009 Stochastic Hamilton-Jacobi-Bellman equations. Zbl 0747.93081 Peng, Shige 120 1992 Filtration-consistent nonlinear expectations and related \(g\)-expectations. Zbl 1007.60057 Coquet, François; Hu, Ying; Mémin, Jean; Peng, Shige 119 2002 Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations. Zbl 1184.60009 Peng, ShiGe 117 2009 Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations. Zbl 1096.60026 Peng, Shige; Zhu, Xuehong 115 2006 On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion. Zbl 1190.60043 Hu, Mingshang; Peng, Shige 109 2009 Adapted solution of a backward semilinear stochastic evolution equation. Zbl 0736.60051 Hu, Ying; Peng, Shige 102 1991 Stopping times and related Itô’s calculus with \(G\)-Brownian motion. Zbl 1225.60088 Li, Xinpeng; Peng, Shige 102 2011 Backward stochastic differential equations driven by \(G\)-Brownian motion. Zbl 1300.60074 Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng 101 2014 A converse comparison theorem for BSDEs and related properties of \(g\)-expectation. Zbl 0966.60054 Briand, Philippe; Coquet, François; Hu, Ying; Mémin, Jean; Peng, Shige 91 2000 Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion. Zbl 1300.60075 Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng 88 2014 Nonlinear expectations and nonlinear Markov chains. Zbl 1077.60045 Peng, Shige 85 2005 Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025 Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela 85 2010 A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038 El Karoui, N.; Peng, S.; Quenez, M. C. 77 2001 A new kind of accurate numerical method for backward stochastic differential equations. Zbl 1121.60072 Zhao, Weidong; Chen, Lifeng; Peng, Shige 70 2006 The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles. Zbl 1071.60049 Peng, Shige; Xu, Mingyu 69 2005 BSDEs with continuous coefficients and stochastic differential games. Zbl 0892.60062 Hamadene, S.; Lepeltier, J.-P.; Peng, S. 63 1997 Filtration consistent nonlinear expectations and evaluations of contingent claims. Zbl 1061.60063 Peng, Shige 61 2004 Backward stochastic differential equation, nonlinear expectation and their applications. Zbl 1233.60031 Peng, Shige 57 2011 Infinite horizon forward-backward stochastic differential equations. Zbl 0997.60062 Peng, Shige; Shi, Yufeng 49 2000 Maximum principle for semilinear stochastic evolution control systems. Zbl 0722.93080 Hu, Ying; Peng, Shige 49 1990 BSDE, path-dependent PDE and nonlinear Feynman-Kac formula. Zbl 1342.60108 Peng, ShiGe; Wang, FaLei 48 2016 Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. Zbl 1042.91048 Nagai, Hideo; Peng, Shige 46 2002 Backward stochastic differential equation driven by fractional Brownian motion. Zbl 1284.60117 Hu, Yaozhong; Peng, Shige 43 2009 Maximum principle for backward doubly stochastic control systems with applications. Zbl 1222.49040 Han, Yuecai; Peng, Shige; Wu, Zhen 41 2010 A type of time-symmetric forward-backward stochastic differential equations. Zbl 1031.60055 Peng, Shige; Shi, Yufeng 38 2003 Open problems on backward stochastic differential equations. Zbl 0981.93079 Peng, Shige 36 1999 On the comparison theorem for multidimensional BSDEs. Zbl 1098.60052 Hu, Ying; Peng, Shige 34 2006 Error estimates of the \(\theta\)-scheme for backward stochastic differential equations. Zbl 1185.60077 Zhao, Weidong; Wang, Jinlei; Peng, Shige 33 2009 A complete representation theorem for \(G\)-martingales. Zbl 1337.60130 Peng, Shige; Song, Yongsheng; Zhang, Jianfeng 33 2014 Existence of stochastic control under state constraints. Zbl 1036.49026 Buckdahn, Rainer; Peng, Shige; Quincampoix, Marc; Rainer, Catherine 32 1998 Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations. Zbl 1158.60354 Li, Juan; Peng, Shige 31 2009 Law of large numbers and central limit theorem under nonlinear expectations. Zbl 1434.60075 Peng, Shige 30 2019 Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations. Zbl 1155.60018 Hu, Ying; Ma, Jin; Peng, Shige; Yao, Song 22 2008 Reflected BSDE with a constraint and its applications in an incomplete market. Zbl 1284.60120 Peng, Shige; Xu, Mingyu 21 2010 \(G\)-Lévy processes under sublinear expectations. Zbl 1480.60158 Hu, Mingshang; Peng, Shige 21 2021 A general downcrossing inequality for \(g\)-martingales. Zbl 0954.60049 Chen, Zengjing; Peng, Shige 20 2000 Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection. Zbl 1152.60051 Ji, Shaolin; Peng, Shige 20 2008 Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion. Zbl 1390.60213 Li, Hanwu; Peng, Shige; Soumana Hima, Abdoulaye 20 2018 Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations. Zbl 1269.65008 Peng, Shige; Xu, Mingyu 19 2011 Limit theorems with rate of convergence under sublinear expectations. Zbl 1428.62096 Fang, Xiao; Peng, Shige; Shao, Qi-Man; Song, Yongsheng 19 2019 \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE. Zbl 1335.60098 Peng, Shige; Song, Yongsheng 19 2015 Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs. Zbl 0953.35017 Buckdahn, Rainer; Hu, Ying; Peng, Shige 18 1999 A general converse comparison theorem for backward stochastic differential equations. Zbl 0994.60064 Coquet, François; Hu, Ying; Mémin, Jean; Peng, Shige 18 2001 Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor agents. Zbl 1292.93144 Buckdahn, Rainer; Li, Juan; Peng, Shige 18 2014 On controllability for stochastic control systems when the coefficient is time-variant. Zbl 1197.93151 Liu, Feng; Peng, Shige 17 2010 Maximum principle for optimal control of stochastic system of functional type. Zbl 0863.93084 Hu, Ying; Peng, Shige 16 1996 Theory, methods and meaning of nonlinear expectation theory. Zbl 1499.60008 Peng, Shige 15 2017 Convergence of solutions of discrete reflected backward SDE’s and simulations. Zbl 1138.60049 Mémin, Jean; Peng, Shige; Xu, Mingyu 13 2008 Dynamical evaluations. Zbl 1065.60087 Peng, Shige 12 2004 Stationary backward stochastic differential equations and associated partial differential equations. Zbl 0948.60060 Buckdahn, Rainer; Peng, Shige 12 1999 A stability theorem of backward stochastic differential equations and its application. Zbl 0882.60053 Hu, Ying; Peng, Shige 11 1997 Infinite horizon backward stochastic differential equation and exponential convergence index assignment of stochastic control systems. Zbl 1006.93005 Liu, Yazeng; Peng, Shige 11 2002 Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions. Zbl 1045.60061 Peng, Shige 11 2000 The viability property of controlled jump diffusion processes. Zbl 1156.60317 Peng, Shige; Zhu, Xuehong 10 2008 Jensen’s inequality for \(g\)-convex function under \(g\)-expectation. Zbl 1188.60030 Jia, Guangyan; Peng, Shige 9 2010 Continuous properties of \(g\)-martingales. Zbl 0980.60084 Chen, Zengjing; Peng, Shige 9 2001 Martingale problem under nonlinear expectations. Zbl 1391.60094 Guo, Xin; Pan, Chen; Peng, Shige 7 2018 Extended conditional \(G\)-expectations and related stopping times. Zbl 1491.60083 Hu, Mingshang; Peng, Shige 7 2021 Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle. Zbl 1454.60081 Li, Hanwu; Peng, Shige 7 2020 Real options, ambiguity, risk and insurance. Zbl 1272.91002 6 2013 Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths. Zbl 1367.60061 Peng, ShiGe; Zhang, HuiLin 6 2017 Ergodic backward SDE and associated PDE. Zbl 0937.60062 Buckdahn, Rainer; Peng, Shige 5 1999 Constrained BSDEs, viscosity solutions of variational inequalities and their applications. Zbl 1262.60054 Peng, Shige; Xu, Mingyu 5 2013 BSDEs with random default time and related zero-sum stochastic differential games. Zbl 1200.60047 Peng, Shige; Xu, Xiaoming 5 2010 A hypothesis-testing perspective on the \(G\)-normal distribution theory. Zbl 1459.62027 Peng, Shige; Zhou, Quan 5 2020 Supermartingale decomposition theorem under \(G\)-expectation. Zbl 1430.60050 Li, Hanwu; Peng, Shige; Song, Yongsheng 5 2018 The backward stochastic differential equations and its applications. Zbl 0906.60047 Peng, Shige 4 1997 Optimal unbiased estimation for maximal distribution. Zbl 1493.62057 Jin, Hanqing; Peng, Shige 4 2021 A linear quadratic optimal control problem with disturbances – an algebraic Riccati equation and differential games approach. Zbl 0819.49020 Chen, Shuping; Li, Xunjing; Peng, Shige; Yong, Jiongmin 3 1994 Singular perturbations in optimal control problems. Zbl 0592.49015 Bensoussan, A.; Peng, S. G. 3 1986 Smallest \(g\)-supersolution for BSDE with continuous drift coefficients. Zbl 0981.60058 Lin, Qingquan; Peng, Shige 3 2000 Stein type characterization for \(G\)-normal distributions. Zbl 1370.60020 Hu, Mingshang; Peng, Shige; Song, Yongsheng 3 2017 A stochastic Laplace transform for adapted processes and related BSDEs. Zbl 1054.60508 Peng, Shige 2 2001 A decomposition theorem of \(g\)-martingales. Zbl 0924.60037 Chen, Zengjing; Peng, Shige 2 1998 Duality of stochastic Hamiltonian systems. Zbl 0962.60050 Peng, Shige 2 1999 Viability property on Riemannian manifolds. Zbl 1211.58022 Peng, Shige; Zhu, Xuehong 2 2009 On the set of solutions of a BSDE with continuous coefficient. Zbl 1112.60045 Jia, Guangyan; Peng, Shige 2 2007 Infinite horizon boundary value problems and applications. Zbl 0934.34020 Peng, Shige; Shi, Yugfeng 2 1999 A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation. Zbl 1512.60015 Hu, Mingshang; Jiang, Lianzi; Liang, Gechun; Peng, Shige 1 2023 G-Gaussian processes under sublinear expectations and \(q \)-Brownian motion in quantum mechanics. Zbl 1515.60160 Peng, Shige 1 2023 Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion. Zbl 1498.60234 Peng, Shige; Zhang, Huilin 1 2022 Distributional uncertainty of the financial time series measured by \(G\)-expectation. Zbl 07481235 Peng, S.; Yang, S. 1 2022 \(G\)-Lévy processes under sublinear expectations. Zbl 1480.60158 Hu, Mingshang; Peng, Shige 21 2021 Extended conditional \(G\)-expectations and related stopping times. Zbl 1491.60083 Hu, Mingshang; Peng, Shige 7 2021 Optimal unbiased estimation for maximal distribution. Zbl 1493.62057 Jin, Hanqing; Peng, Shige 4 2021 Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle. Zbl 1454.60081 Li, Hanwu; Peng, Shige 7 2020 A hypothesis-testing perspective on the \(G\)-normal distribution theory. Zbl 1459.62027 Peng, Shige; Zhou, Quan 5 2020 Spatial and temporal white noises under sublinear \(G\)-expectation. Zbl 1456.60133 Ji, Xiaojun; Peng, Shige 1 2020 Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion. Zbl 1427.60004 Peng, Shige 175 2019 Law of large numbers and central limit theorem under nonlinear expectations. Zbl 1434.60075 Peng, Shige 30 2019 Limit theorems with rate of convergence under sublinear expectations. Zbl 1428.62096 Fang, Xiao; Peng, Shige; Shao, Qi-Man; Song, Yongsheng 19 2019 Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion. Zbl 1390.60213 Li, Hanwu; Peng, Shige; Soumana Hima, Abdoulaye 20 2018 Martingale problem under nonlinear expectations. Zbl 1391.60094 Guo, Xin; Pan, Chen; Peng, Shige 7 2018 Supermartingale decomposition theorem under \(G\)-expectation. Zbl 1430.60050 Li, Hanwu; Peng, Shige; Song, Yongsheng 5 2018 Mean-field stochastic differential equations and associated PDEs. Zbl 1402.60070 Buckdahn, Rainer; Li, Juan; Peng, Shige; Rainer, Catherine 145 2017 Theory, methods and meaning of nonlinear expectation theory. Zbl 1499.60008 Peng, Shige 15 2017 Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths. Zbl 1367.60061 Peng, ShiGe; Zhang, HuiLin 6 2017 Stein type characterization for \(G\)-normal distributions. Zbl 1370.60020 Hu, Mingshang; Peng, Shige; Song, Yongsheng 3 2017 BSDE, path-dependent PDE and nonlinear Feynman-Kac formula. Zbl 1342.60108 Peng, ShiGe; Wang, FaLei 48 2016 \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE. Zbl 1335.60098 Peng, Shige; Song, Yongsheng 19 2015 Backward stochastic differential equations driven by \(G\)-Brownian motion. Zbl 1300.60074 Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng 101 2014 Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion. Zbl 1300.60075 Hu, Mingshang; Ji, Shaolin; Peng, Shige; Song, Yongsheng 88 2014 A complete representation theorem for \(G\)-martingales. Zbl 1337.60130 Peng, Shige; Song, Yongsheng; Zhang, Jianfeng 33 2014 Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor agents. Zbl 1292.93144 Buckdahn, Rainer; Li, Juan; Peng, Shige 18 2014 Real options, ambiguity, risk and insurance. Zbl 1272.91002 6 2013 Constrained BSDEs, viscosity solutions of variational inequalities and their applications. Zbl 1262.60054 Peng, Shige; Xu, Mingyu 5 2013 Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths. Zbl 1225.60057 Denis, Laurent; Hu, Mingshang; Peng, Shige 291 2011 Stopping times and related Itô’s calculus with \(G\)-Brownian motion. Zbl 1225.60088 Li, Xinpeng; Peng, Shige 102 2011 Backward stochastic differential equation, nonlinear expectation and their applications. Zbl 1233.60031 Peng, Shige 57 2011 Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations. Zbl 1269.65008 Peng, Shige; Xu, Mingyu 19 2011 Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025 Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela 85 2010 Maximum principle for backward doubly stochastic control systems with applications. Zbl 1222.49040 Han, Yuecai; Peng, Shige; Wu, Zhen 41 2010 Reflected BSDE with a constraint and its applications in an incomplete market. Zbl 1284.60120 Peng, Shige; Xu, Mingyu 21 2010 On controllability for stochastic control systems when the coefficient is time-variant. Zbl 1197.93151 Liu, Feng; Peng, Shige 17 2010 Jensen’s inequality for \(g\)-convex function under \(g\)-expectation. Zbl 1188.60030 Jia, Guangyan; Peng, Shige 9 2010 BSDEs with random default time and related zero-sum stochastic differential games. Zbl 1200.60047 Peng, Shige; Xu, Xiaoming 5 2010 Mean-field backward stochastic differential equations and related partial differential equations. Zbl 1183.60022 Buckdahn, Rainer; Li, Juan; Peng, Shige 185 2009 Mean-field backward stochastic differential equations: A limit approach. Zbl 1176.60042 Buckdahn, Rainer; Djehiche, Boualem; Li, Juan; Peng, Shige 170 2009 Anticipated backward stochastic differential equations. Zbl 1186.60053 Peng, Shige; Yang, Zhe 133 2009 Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations. Zbl 1184.60009 Peng, ShiGe 117 2009 On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion. Zbl 1190.60043 Hu, Mingshang; Peng, Shige 109 2009 Backward stochastic differential equation driven by fractional Brownian motion. Zbl 1284.60117 Hu, Yaozhong; Peng, Shige 43 2009 Error estimates of the \(\theta\)-scheme for backward stochastic differential equations. Zbl 1185.60077 Zhao, Weidong; Wang, Jinlei; Peng, Shige 33 2009 Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations. Zbl 1158.60354 Li, Juan; Peng, Shige 31 2009 Viability property on Riemannian manifolds. Zbl 1211.58022 Peng, Shige; Zhu, Xuehong 2 2009 Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation. Zbl 1158.60023 Peng, Shige 312 2008 Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations. Zbl 1155.60018 Hu, Ying; Ma, Jin; Peng, Shige; Yao, Song 22 2008 Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection. Zbl 1152.60051 Ji, Shaolin; Peng, Shige 20 2008 Convergence of solutions of discrete reflected backward SDE’s and simulations. Zbl 1138.60049 Mémin, Jean; Peng, Shige; Xu, Mingyu 13 2008 The viability property of controlled jump diffusion processes. Zbl 1156.60317 Peng, Shige; Zhu, Xuehong 10 2008 \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type. Zbl 1131.60057 Peng, Shige 365 2007 On the set of solutions of a BSDE with continuous coefficient. Zbl 1112.60045 Jia, Guangyan; Peng, Shige 2 2007 Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations. Zbl 1096.60026 Peng, Shige; Zhu, Xuehong 115 2006 A new kind of accurate numerical method for backward stochastic differential equations. Zbl 1121.60072 Zhao, Weidong; Chen, Lifeng; Peng, Shige 70 2006 On the comparison theorem for multidimensional BSDEs. Zbl 1098.60052 Hu, Ying; Peng, Shige 34 2006 Nonlinear expectations and nonlinear Markov chains. Zbl 1077.60045 Peng, Shige 85 2005 The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles. Zbl 1071.60049 Peng, Shige; Xu, Mingyu 69 2005 Nonlinear expectations, nonlinear evaluations and risk measures. Zbl 1127.91032 Peng, Shige 133 2004 Filtration consistent nonlinear expectations and evaluations of contingent claims. Zbl 1061.60063 Peng, Shige 61 2004 Dynamical evaluations. Zbl 1065.60087 Peng, Shige 12 2004 A type of time-symmetric forward-backward stochastic differential equations. Zbl 1031.60055 Peng, Shige; Shi, Yufeng 38 2003 Determination of a controllable set for a class of nonlinear stochastic control systems. Zbl 1073.93569 Liu, Yazeng; Peng, Shige 1 2003 Filtration-consistent nonlinear expectations and related \(g\)-expectations. Zbl 1007.60057 Coquet, François; Hu, Ying; Mémin, Jean; Peng, Shige 119 2002 Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. Zbl 1042.91048 Nagai, Hideo; Peng, Shige 46 2002 Infinite horizon backward stochastic differential equation and exponential convergence index assignment of stochastic control systems. Zbl 1006.93005 Liu, Yazeng; Peng, Shige 11 2002 Risk-sensitivity optimal investment problems with partial information on infinite time horizon. Zbl 1069.91058 Nagai, Hideo; Peng, Shige 1 2002 A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038 El Karoui, N.; Peng, S.; Quenez, M. C. 77 2001 A general converse comparison theorem for backward stochastic differential equations. Zbl 0994.60064 Coquet, François; Hu, Ying; Mémin, Jean; Peng, Shige 18 2001 Continuous properties of \(g\)-martingales. Zbl 0980.60084 Chen, Zengjing; Peng, Shige 9 2001 A stochastic Laplace transform for adapted processes and related BSDEs. Zbl 1054.60508 Peng, Shige 2 2001 A converse comparison theorem for BSDEs and related properties of \(g\)-expectation. Zbl 0966.60054 Briand, Philippe; Coquet, François; Hu, Ying; Mémin, Jean; Peng, Shige 91 2000 Infinite horizon forward-backward stochastic differential equations. Zbl 0997.60062 Peng, Shige; Shi, Yufeng 49 2000 A general downcrossing inequality for \(g\)-martingales. Zbl 0954.60049 Chen, Zengjing; Peng, Shige 20 2000 Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions. Zbl 1045.60061 Peng, Shige 11 2000 Smallest \(g\)-supersolution for BSDE with continuous drift coefficients. Zbl 0981.60058 Lin, Qingquan; Peng, Shige 3 2000 Fully coupled forward-backward stochastic differential equations and applications to optimal control. Zbl 0931.60048 Peng, Shige; Wu, Zhen 248 1999 Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer’s type. Zbl 0953.60059 Peng, Shige 171 1999 Open problems on backward stochastic differential equations. Zbl 0981.93079 Peng, Shige 36 1999 Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs. Zbl 0953.35017 Buckdahn, Rainer; Hu, Ying; Peng, Shige 18 1999 Stationary backward stochastic differential equations and associated partial differential equations. Zbl 0948.60060 Buckdahn, Rainer; Peng, Shige 12 1999 Ergodic backward SDE and associated PDE. Zbl 0937.60062 Buckdahn, Rainer; Peng, Shige 5 1999 Duality of stochastic Hamiltonian systems. Zbl 0962.60050 Peng, Shige 2 1999 Infinite horizon boundary value problems and applications. Zbl 0934.34020 Peng, Shige; Shi, Yugfeng 2 1999 Problem of eigenvalues of deterministic and stochastic Hamiltonian systems with boundary conditions. Zbl 0961.60058 Peng, Shige 1 1999 Existence of stochastic control under state constraints. Zbl 1036.49026 Buckdahn, Rainer; Peng, Shige; Quincampoix, Marc; Rainer, Catherine 32 1998 A decomposition theorem of \(g\)-martingales. Zbl 0924.60037 Chen, Zengjing; Peng, Shige 2 1998 Backward stochastic differential equations in finance. Zbl 0884.90035 El Karoui, N.; Peng, S.; Quenez, M. C. 1,203 1997 Reflected solutions of backward SDE’s, and related obstacle problems for PDE’s. Zbl 0899.60047 El Karoui, N.; Kapoudjian, C.; Pardoux, E.; Peng, S.; Quenez, M. C. 356 1997 Backward SDE and related \(g\)-expectation. Zbl 0892.60066 Peng, S. 241 1997 BSDEs with continuous coefficients and stochastic differential games. Zbl 0892.60062 Hamadene, S.; Lepeltier, J.-P.; Peng, S. 63 1997 A stability theorem of backward stochastic differential equations and its application. Zbl 0882.60053 Hu, Ying; Peng, Shige 11 1997 The backward stochastic differential equations and its applications. Zbl 0906.60047 Peng, Shige 4 1997 Maximum principle for optimal control of stochastic system of functional type. Zbl 0863.93084 Hu, Ying; Peng, Shige 16 1996 Solution of forward-backward stochastic differential equations. Zbl 0831.60065 Hu, Ying; Peng, S. 203 1995 Backward doubly stochastic differential equations and systems of quasilinear SPDEs. Zbl 0792.60050 Pardoux, Etienne; Peng, Shige 190 1994 A linear quadratic optimal control problem with disturbances – an algebraic Riccati equation and differential games approach. Zbl 0819.49020 Chen, Shuping; Li, Xunjing; Peng, Shige; Yong, Jiongmin 3 1994 Backward stochastic differential equations and applications to optimal control. Zbl 0769.60054 Peng, Shige 208 1993 Backward stochastic differential equations and quasilinear parabolic partial differential equations. Zbl 0766.60079 Pardoux, E.; Peng, S. 454 1992 ...and 12 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,589 Authors 107 Wu, Zhen 63 Hu, Ying 63 Peng, Shige 55 Ren, Yong 51 Ji, Shaolin 50 Fan, Shengjun 50 Yong, Jiongmin 48 Tang, Shanjian 47 Zhang, Jianfeng 40 Ouknine, Youssef 39 Jiang, Long 38 Li, Juan 38 Zhao, Weidong 35 Hu, Mingshang 35 Yu, Zhiyong 34 Chen, Zengjing 34 Hamadene, Saïd 31 Buckdahn, Rainer 30 Bahlali, Khaled 30 Shi, Yufeng 28 Jiang, Daqing 28 Ma, Jin 28 Possamaï, Dylan 28 Touzi, Nizar 27 El Otmani, Mohamed 27 Huang, Jianhui 26 Djehiche, Boualem 26 Wang, Falei 26 Xiong, Jie 25 Elliott, Robert James 24 Hu, Feng 24 Meng, Qingxin 24 Pham, Huyên 24 Wu, Qunying 23 Klimsiak, Tomasz 23 Matoussi, Anis 23 Shi, Jingtao 22 Liu, Qun 22 Øksendal, Bernt Karsten 22 Yang, Shuzhen 21 Mezerdi, Brahim 21 Nie, Tianyang 21 Wang, Guangchen 20 Shen, Yang 19 Kupper, Michael 19 Li, Xun 19 Luo, Peng 18 Bayraktar, Erhan 18 Qiu, Jinniao 18 Russo, Francesco 18 Song, Yongsheng 18 Sulem, Agnès 18 Zhang, Li-Xin 18 Zhang, Qi 18 Zhou, Chao 17 Delarue, François 17 Feng, Xinwei 17 Goreac, Dan 17 Liu, Bin 17 Tian, Dejian 16 Chassagneux, Jean-François 16 Cosso, Andrea 16 Fuhrman, Marco 16 Hayat, Tasawar 16 Jia, Guangyan 16 Siu, Tak Kuen 16 Wang, Tianxiao 16 Zhang, Liangquan 15 Agram, Nacira 15 Cohen, Samuel N. 15 dos Reis, Gonçalo 15 Hu, Lanying 15 Imkeller, Peter 15 Li, Hanwu 15 Lin, Qian 15 Popier, Alexandre 15 Quenez, Marie-Claire 15 Tangpi, Ludovic 15 Warin, Xavier 15 Wong, Hoi Ying 15 Yam, Sheung Chi Phillip 14 Al-saedi, Ahmed Eid Salem 14 Bensoussan, Alain 14 Briand, Philippe 14 Chala, Adel 14 Du, Kai 14 Fei, Weiyin 14 Kharroubi, Idris 14 Liang, Gechun 14 Ren, Zhenjie 14 Stadje, Mitja 14 Wei, Qingmeng 14 Yin, Wensheng 14 Zhang, Defei 14 Zhang, Xu 14 Zhao, Huaizhong 13 Aman, Auguste 13 Bao, Feng 13 Bouchard, Bruno 13 Elie, Romuald ...and 2,489 more Authors all top 5 Cited in 338 Serials 260 Stochastic Processes and their Applications 131 Statistics & Probability Letters 117 SIAM Journal on Control and Optimization 108 Journal of Mathematical Analysis and Applications 102 Applied Mathematics and Optimization 95 The Annals of Applied Probability 90 Stochastic Analysis and Applications 72 Probability, Uncertainty and Quantitative Risk 70 Systems & Control Letters 64 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 61 Stochastics and Dynamics 58 Communications in Statistics. 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Series B (English Edition) 13 Computers & Mathematics with Applications 13 Mathematics of Operations Research 13 European Journal of Operational Research 13 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 13 Mathematical Methods of Operations Research 13 Discrete Dynamics in Nature and Society 13 Acta Mathematica Scientia. Series B. (English Edition) 13 Asia-Pacific Financial Markets 13 Afrika Matematika 12 Physica A 12 Journal of Economic Dynamics & Control 12 Journal of Scientific Computing 12 SIAM Journal on Mathematical Analysis 11 Applicable Analysis 11 Theory of Probability and its Applications 11 Journal of Applied Probability 11 Transactions of the American Mathematical Society 11 Communications in Nonlinear Science and Numerical Simulation 11 Journal of Evolution Equations 11 Dynamic Games and Applications 11 Numerical Algebra, Control and Optimization 10 Journal of Mathematical Economics 10 Applied Mathematics Letters 10 Journal de Mathématiques Pures et Appliquées. Neuvième Série 10 Frontiers of Mathematics in China 10 Discrete and Continuous Dynamical Systems. Series S 10 Communications in Mathematics and Statistics 9 Journal of Economic Theory 9 Electronic Communications in Probability 9 Methodology and Computing in Applied Probability 8 Journal of Computational Physics 8 Chaos, Solitons and Fractals 8 SIAM Journal on Numerical Analysis 8 Japan Journal of Industrial and Applied Mathematics 8 Communications in Statistics. Simulation and Computation 8 Monte Carlo Methods and Applications 8 European Journal of Control 8 Decisions in Economics and Finance 8 ALEA. Latin American Journal of Probability and Mathematical Statistics 7 Optimization 7 NoDEA. Nonlinear Differential Equations and Applications 7 Applied Mathematical Finance 7 Infinite Dimensional Analysis, Quantum Probability and Related Topics 7 Qualitative Theory of Dynamical Systems ...and 238 more Serials all top 5 Cited in 39 Fields 2,898 Probability theory and stochastic processes (60-XX) 1,151 Systems theory; control (93-XX) 1,076 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 737 Calculus of variations and optimal control; optimization (49-XX) 510 Partial differential equations (35-XX) 297 Numerical analysis (65-XX) 225 Ordinary differential equations (34-XX) 117 Biology and other natural sciences (92-XX) 115 Statistics (62-XX) 88 Operations research, mathematical programming (90-XX) 54 Operator theory (47-XX) 47 Computer science (68-XX) 44 Dynamical systems and ergodic theory (37-XX) 39 Integral equations (45-XX) 30 Measure and integration (28-XX) 26 Functional analysis (46-XX) 22 Real functions (26-XX) 20 Fluid mechanics (76-XX) 18 Global analysis, analysis on manifolds (58-XX) 15 Difference and functional equations (39-XX) 12 Mechanics of particles and systems (70-XX) 12 Statistical mechanics, structure of matter (82-XX) 11 Potential theory (31-XX) 8 Approximations and expansions (41-XX) 5 General and overarching topics; collections (00-XX) 5 History and biography (01-XX) 5 Combinatorics (05-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Quantum theory (81-XX) 3 Information and communication theory, circuits (94-XX) 2 Mathematical logic and foundations (03-XX) 2 Convex and discrete geometry (52-XX) 2 Differential geometry (53-XX) 2 Geophysics (86-XX) 2 Mathematics education (97-XX) 1 Functions of a complex variable (30-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Abstract harmonic analysis (43-XX) 1 Integral transforms, operational calculus (44-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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