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1

Backward stochastic differential equations and applications to optimal control

Journal:

Applied Mathematics & Optimization

Year:

1993

Language:

english

File:

PDF, 857 KB

english, 1993

2

A General Stochastic Maximum Principle for Optimal Control Problems

Journal:

SIAM Journal on Control and Optimization

Year:

1990

Language:

english

File:

PDF, 992 KB

english, 1990

3

Stochastic Hamilton–Jacobi–Bellman Equations

Journal:

SIAM Journal on Control and Optimization

Year:

1992

Language:

english

File:

PDF, 1.51 MB

english, 1992

4

Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations

Juan Li, Shige Peng

Journal:

Nonlinear Analysis: Theory, Methods & Applications

Year:

2009

Language:

english

File:

PDF, 1.01 MB

english, 2009

5

Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations

Shige Peng, Xuehong Zhu

Journal:

Stochastic Processes and their Applications

Year:

2006

Language:

english

File:

PDF, 190 KB

english, 2006

6

Backward doubly stochastic differential equations and systems of quasilinear SPDEs

Etienne Pardoux, Shige Peng

Journal:

Probability Theory and Related Fields

Year:

1994

Language:

english

File:

PDF, 694 KB

english, 1994

7

Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

Peng, Shige, Wu, Zhen

Journal:

SIAM Journal on Control and Optimization

Year:

1999

Language:

english

File:

PDF, 374 KB

english, 1999

8

[Probability Theory and Stochastic Modelling] Nonlinear Expectations and Stochastic Calculus under Uncertainty Volume 95 (with Robust CLT and G-Brownian Motion) ||

Year:

2019

Language:

english

File:

PDF, 2.43 MB

english, 2019

9

Mean-field stochastic differential equations and associated PDEs

Buckdahn, Rainer, Li, Juan, Peng, Shige, Rainer, Catherine

Journal:

The Annals of Probability

Year:

2017

Language:

english

File:

PDF, 472 KB

english, 2017

10

The smallest g-supermartingale and reflected BSDE with single and double obstacles

Shige Peng, Mingyu Xu

Journal:

Annales de l'Institut Henri Poincare (B) Probability and Statistics

Year:

2005

Language:

english

File:

PDF, 254 KB

english, 2005

11

BSDEs with random default time and related zero-sum stochastic differential games

Shige Peng, Xiaoming Xu

Journal:

Comptes Rendus Mathematique

Year:

2010

File:

PDF, 161 KB

2010

12

Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type

Journal:

Probability Theory and Related Fields

Year:

1999

Language:

english

File:

PDF, 163 KB

english, 1999

13

On controllability for stochastic control systems when the coefficient is time-variant

Feng Liu, Shige Peng

Journal:

Journal of Systems Science and Complexity

Year:

2010

Language:

english

File:

PDF, 172 KB

english, 2010

14

Mean-field backward stochastic differential equations and related partial differential equations

Rainer Buckdahn, Juan Li, Shige Peng

Journal:

Stochastic Processes and their Applications

Year:

2009

Language:

english

File:

PDF, 994 KB

english, 2009

15

Infinite horizon forward–backward stochastic differential equations

Shige Peng, Yufeng Shi

Journal:

Stochastic Processes and their Applications

Year:

2000

Language:

english

File:

PDF, 142 KB

english, 2000

16

A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1992

Language:

english

File:

PDF, 461 KB

english, 1992

17

Backward Stochastic Differential Equation Driven by Fractional Brownian Motion

Hu, Yaozhong, Peng, Shige

Journal:

SIAM Journal on Control and Optimization

Year:

2009

Language:

english

File:

PDF, 276 KB

english, 2009

18

A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

Zhao, Weidong, Chen, Lifeng, Peng, Shige

Journal:

SIAM Journal on Scientific Computing

Year:

2006

Language:

english

File:

PDF, 401 KB

english, 2006

19

Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by -Brownian motion

Hu, Mingshang, Ji, Shaolin, Peng, Shige, Song, Yongsheng

Journal:

Stochastic Processes and their Applications

Year:

2014

Language:

english

File:

PDF, 322 KB

english, 2014

20

Anticipated backward stochastic differential equations

Peng, Shige, Yang, Zhe

Journal:

The Annals of Probability

Year:

2009

Language:

english

File:

PDF, 235 KB

english, 2009

21

A complete representation theorem for G -martingales

Peng, Shige, Song, Yongsheng, Zhang, Jianfeng

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2014

Language:

english

File:

PDF, 268 KB

english, 2014

22

Maximum principle for semilinear stochastic evolution control systems

Hu, Ying, Peng, Shige

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1990

Language:

english

File:

PDF, 505 KB

english, 1990

23

Maximum principle for optimal control of stochastic system of functional type

Hu, Ying, Peng, Shige

Journal:

Stochastic Analysis and Applications

Year:

1996

Language:

english

File:

PDF, 149 KB

english, 1996

24

An easy-to-fabricate clearable CuS-superstructure-based multifunctional theranostic platform for efficient imaging guided chemo-photothermal therapy

Zhang, Wenlong, Xiao, Jingbo, Cao, Qing, Wang, Weiheng, Peng, Xuan, Guan, Guoqiang, Cui, Zhe, Zhang, Yongfang, Wang, Shige, Zou, Rujia, Wan, Xinjian, Qiu, Huiling, Hu, Junqing

Journal:

Year:

2018

Language:

english

File:

PDF, 2.62 MB

english, 2018

25

Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation

Journal:

Stochastic Processes and their Applications

Year:

2008

Language:

english

File:

PDF, 1.19 MB

english, 2008

26

Stopping times and related Itô’s calculus with -Brownian motion

Xinpeng Li, Shige Peng

Journal:

Stochastic Processes and their Applications

Year:

2011

Language:

english

File:

PDF, 262 KB

english, 2011

27

Infinite horizon backward stochastic differential equation and exponential convergence index assignment of stochastic control systems

Yazeng Liu, Shige Peng

Journal:

Year:

2002

Language:

english

File:

PDF, 139 KB

english, 2002

28

A general converse comparison theorem for backward stochastic differential equations

François Coquet, Ying Hu, Jean Mémin, Shige Peng

Journal:

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

Year:

2001

File:

PDF, 83 KB

2001

29

A type of time-symmetric forward–backward stochastic differential equations

Shige Peng, Yufeng Shi

Journal:

Comptes Rendus Mathematique

Year:

2003

File:

PDF, 112 KB

2003

30

Function Spaces and Capacity Related to a Sublinear Expectation: Application toG-Brownian Motion Paths

Laurent Denis, Mingshang Hu, Shige Peng

Journal:

Potential Analysis

Year:

2011

Language:

english

File:

PDF, 503 KB

english, 2011

31

Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations

Journal:

Science China Mathematics

Year:

2009

Language:

english

File:

PDF, 340 KB

english, 2009

32

Duplicating and Pricing Contingent Claims in Incomplete Markets

Shige Peng, Feng Yang

Journal:

Pacific Economic Review

Year:

1999

Language:

english

File:

PDF, 400 KB

english, 1999

33

Adapted solution of a backward semilinear stochastic evolution equation

Hu, Ying, Peng, Shige

Journal:

Stochastic Analysis and Applications

Year:

1991

Language:

english

File:

PDF, 408 KB

english, 1991

34

[Lecture Notes in Mathematics] Stochastic Methods in Finance Volume 1856 || Nonlinear Expectations, Nonlinear Evaluations and Risk Measures

Back, Kerry, Bielecki, Tomasz R., Hipp, Christian, Peng, Shige, Schachermayer, Walter

Year:

2004

Language:

english

File:

PDF, 807 KB

english, 2004

35

BSDE, path-dependent PDE and nonlinear Feynman-Kac formula

Peng, ShiGe, Wang, FaLei

Journal:

Science China Mathematics

Year:

2016

Language:

english

File:

PDF, 404 KB

english, 2016

36

Stochastic calculus with respect toG-Brownian motion viewed through rough paths

Peng, ShiGe, Zhang, HuiLin

Journal:

Science China Mathematics

Year:

2017

Language:

english

File:

PDF, 321 KB

english, 2017

37

$G$-expectation weighted Sobolev spaces, backward SDE and path dependent PDE

PENG, Shige, SONG, Yongsheng

Journal:

Journal of the Mathematical Society of Japan

Year:

2015

Language:

english

File:

PDF, 342 KB

english, 2015

38

Reflected BSDE with a constraint and its applications in an incomplete market

Peng, Shige, Xu, Mingyu

Journal:

Year:

2010

Language:

english

File:

PDF, 264 KB

english, 2010

39

Stein type characterization for $G$-normal distributions

Hu, Mingshang, Peng, Shige, Song, Yongsheng

Journal:

Electronic Communications in Probability

Year:

2017

Language:

english

File:

PDF, 286 KB

english, 2017

40

[Published by Hindustan Book Agency (HBA), India. WSPC Distribute for All Markets Except in India Proceedings of the International Congress of Mathematicians 2010 (ICM 2010) - Hyderabad, India (19–27 August 2010)] Proceedings of the International Congress of Mathematicians 2010 (ICM 2010) - Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications

Language:

english

File:

PDF, 466 KB

english

41

Supermartingale decomposition theorem under $G$-expectation

Li, Hanwu, Peng, Shige, Song, Yongsheng

Journal:

Electronic Journal of Probability

Year:

2018

Language:

english

File:

PDF, 356 KB

english, 2018

42

Spatial and temporal white noises under sublinear G-expectation

Ji, Xiaojun, Peng, Shige

Journal:

Science China Mathematics

Year:

2019

Language:

english

File:

PDF, 327 KB

english, 2019

43

A hypothesis-testing perspective on the G-normal distribution theory

Peng, Shige, Zhou, Quan

Journal:

Statistics & Probability Letters

Year:

2020

File:

PDF, 446 KB

2020

44

Determination of a controllable set for a class of non-linear stochastic control systems

Yazeng Liu, Shige Peng

Journal:

Optimal Control Applications and Methods

Year:

2003

Language:

english

File:

PDF, 110 KB

english, 2003

45

Infinite Horizon Boundary Value Problems and Applications

Shige Peng, Yufeng Shi

Journal:

Journal of Differential Equations

Year:

1999

Language:

english

File:

PDF, 138 KB

english, 1999

46

Dynamical evaluations

Journal:

Comptes Rendus Mathematique

Year:

2004

File:

PDF, 107 KB

2004

47

On the comparison theorem for multidimensional BSDEs

Ying Hu, Shige Peng

Journal:

Comptes Rendus Mathematique

Year:

2006

File:

PDF, 121 KB

2006

48

On the set of solutions of a BSDE with continuous coefficient

Guangyan Jia, Shige Peng

Journal:

Comptes Rendus Mathematique

Year:

2007

Language:

english

File:

PDF, 112 KB

english, 2007

49

Viability property on Riemannian manifolds

Shige Peng, Xuehong Zhu

Journal:

Comptes Rendus Mathematique

Year:

2009

File:

PDF, 152 KB

2009

50

Terminal perturbation method for the backward approach to continuous time mean–variance portfolio selection

Shaolin Ji, Shige Peng

Journal:

Stochastic Processes and their Applications

Year:

2008

Language:

english

File:

PDF, 304 KB

english, 2008