Peng Shige

Peng Shige (Chinese: 彭实戈, born December 8, 1947 in Binzhou, Shandong) is a Chinese mathematician noted for his contributions in stochastic analysis and mathematical finance.

This is a Chinese name; the family name is Peng.
Peng Shige
Born (1947-12-08) December 8, 1947
Binzhou, Shandong, China
Alma materShandong University
Paris Dauphine University
University of Provence
Fudan University
Known forBSDE
Mathematical Finance
Scientific career
FieldsMathematics
Mathematical Finance
InstitutionsShandong University
Fudan University
Chinese Academy of Sciences
Chinese name
Traditional Chinese彭實戈
Simplified Chinese彭实戈

Biography

Peng Shige was born in Binzhou and raised in Shandong, while his parents' hometown is Haifeng County in south-eastern Guangdong, he is a grandnephew of the famous revolutionary Peng Pai, and his grandfather (Peng Pai's brother) is also recognized a "revolutionary martyr" by the nation.[1][2][3] He went to a countryside working with farmers as an "Educated youth" from 1968 to 1971, and studied in the Department of Physics, Shandong University from 1971 to 1974 and went to work at the Institute of Mathematics, Shandong University in 1978. In 1983 he took an opportunity to enter Paris Dauphine University, France under the supervision of Alain Bensoussan, who was a student of Jacques-Louis Lions. He obtained his PhDs from Paris Dauphine University in 1985[4] and from University of Provence in 1986. Then he returned to China and did postdoctoral research at Fudan University before becoming a professor at Shandong University in 1990. In 1992 he was awarded the Habilitation à Diriger des Recherches by the University of Provence. He was promoted to Distinguished Professor of the Ministry of Education of China (Cheung Kong Scholarship Programme) in 1999.[2][3]

Academic contributions

Professor Peng generalized the stochastic maximum principle in stochastic optimal control. In a paper published in 1990 with Étienne Pardoux, Peng founded the general theory (including nonlinear expectation) of backward stochastic differential equations (BSDEs), though linear BSDEs had been introduced by Jean-Michel Bismut in 1973.[5] Soon Feynman–Kac type connections of BSDEs and certain kinds of elliptic and parabolic partial differential equations (PDEs), e.g., Hamilton–Jacobi–Bellman equation, were obtained, where the solutions of these PDEs can be interpreted in the classical or viscosity senses. As a particular case the solution of the Black–Scholes equation can be represented as the solution of a simple linear BSDE, which can be regarded as a starting point of the BSDEs' applications in mathematical finance. A type of nonlinear expectation, called the g-expectation, was also derived from the theory of BSDEs. General theories of nonlinear expectations were developed later. These have various applications in utility theory, and the theory of dynamic risk measures.

Honours

Peng was elected as an academician of the Chinese Academy of Sciences in 2005. As one of the invited speakers, he gave a one-hour plenary lecture[6] at the International Congress of Mathematicians at Hyderabad, India on August 24, 2010.[7][8][9][10] He has been appointed as "Global Scholars" for academic years 2011–2014 by Princeton University, hosted by the university's departments of mathematics, operations research and financial engineering, and the Program in Applied and Computational Mathematics, as he "is a global leader in the field of probability theory and financial mathematics." [11][12][13] In March 2015, as one of six or seven nominees, Peng was nominated for Abel Prize by Norwegian mathematician Bernt Øksendal.[5]

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References
  1. Gu, Shengnan (谷胜男) (October 16, 2012). "彭实戈：数学家的荣誉与责任 (Peng Shige: The honors and responsibilities of mathematicians)". People.com (in Chinese). Beijing, China: People's Daily. Retrieved 12 February 2019.
  2. 黄强 (Huang Qiang) (October 7, 2001). "眷恋——记数学家彭实戈 (Love - Reporting mathematician Peng Shige)". www.cas.cn (in Chinese). Beijing, China: Chinese Academy of Sciences. Retrieved 14 February 2019.
  3. 张兴华 (Zhang Xinghua) (January 15, 2009). "彭实戈：中国金融数学第一人 (Peng Shige: The number one in China's mathematical finance)". paper.jyb.cn (in Chinese). Beijing, China: 中国教育报 China Education Daily. Retrieved 14 February 2019.
  4. Shige Peng at the Mathematics Genealogy Project.
  5. Øksendal, Bernt (March 18, 2015). "Bernt Øksendal foreslår Etienne Pardoux og Shige Peng". www.mn.uio.no (in Norwegian and English). Blindern, Norway: University of Oslo. Retrieved 18 February 2019.
  6. Official web page of The International Congress of Mathematicians (ICM 2010): PLENARY SPEAKERS/Invited Speakers Archived 2011-07-17 at the Wayback Machine
  7. "Chinese Mathematician to Deliver Report at ICM". Chinese Academy of Sciences. Archived from the original on 2012-03-25. Retrieved 2009-05-29.
  8. "Professor Peng gave a lecture at Xiamen University" (in Chinese). School of Mathematical Sciences Xiamen University. 2009-04-24. Archived from the original on 2011-07-07. Retrieved 2009-04-30.
  9. "News at Shandong University" (in Chinese). Shandong University. 2009-04-28. Archived from the original on 2011-07-07. Retrieved 2009-04-30.
  10. "More news from other websites". 2009-04-27. Archived from the original on 2011-07-07. Retrieved 2009-04-30.
  11. Eric Quiñones (September 22, 2011). "Four new Global Scholars set to visit campus". Princeton, NJ 08544, USA. p. News at Princeton.CS1 maint: location (link)
  12. Council for International Teaching and Research, Princeton University. "2011-12 Princeton Global Scholar Shige Peng". Princeton, NJ 08540, USA: Princeton University.CS1 maint: location (link)"Archived copy" (PDF). Archived from the original (PDF) on 2012-04-25. Retrieved 2012-02-12.CS1 maint: archived copy as title (link)
  13. Wang, Qian (王倩) (December 9, 2014). "美国诺贝尔经济学奖得主在山东大学谈金融创新 (American Nobel Laureate in Economics talks about financial innovation at Shandong University)" (in Chinese). Beijing, China: China Daily. Retrieved 12 February 2019.
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