Peng Shige (, born December 8, 1947, in

Binzhou Binzhou (, ), formerly Putai, is a prefecture-level city in northern Shandong Province in the People's Republic of China. The city proper sits on the northern bank of the Yellow River, while its administrative area straddles both sides of its ...

Shandong Shandong is a coastal Provinces of China, province in East China. Shandong has played a major role in Chinese history since the beginning of Chinese civilization along the lower reaches of the Yellow River. It has served as a pivotal cultural ...

) is a Chinese

mathematician A mathematician is someone who uses an extensive knowledge of mathematics in their work, typically to solve mathematical problems. Mathematicians are concerned with numbers, data, quantity, mathematical structure, structure, space, Mathematica ...

noted for his contributions in

stochastic analysis Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. This field was created an ...

and

mathematical finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that req ...

Biography

Peng Shige was born in Binzhou and raised in Shandong, while his parents' hometown is

Haifeng County Haifeng County ( postal: Hoifung; ) is a county under the administration of Shanwei, in the southeast of Guangdong Province, China. History Hakka peasants from nearby villages of Chengxiang county (modern-day Meixian) immigrated to Haifeng, f ...

in south-eastern

Guangdong ) means "wide" or "vast", and has been associated with the region since the creation of Guang Prefecture in AD 226. The name "''Guang''" ultimately came from Guangxin ( zh, labels=no, first=t, t= , s=广信), an outpost established in Han dynasty ...

, he is a grandnephew of the famous revolutionary

Peng Pai Peng Pai ( zh, c=彭湃, p=Péng Pài, w=P'êng2 P'ai4; October 22, 1896 – August 30, 1929) was a pioneer of the Chinese agrarian movement and a leading revolutionary in the Chinese Communist Party (CCP) during its early years.In the Preface, ...

, and his grandfather (Peng Pai's brother) is also recognized a "revolutionary martyr" by

the nation ''The Nation'' is a progressive American monthly magazine that covers political and cultural news, opinion, and analysis. It was founded on July 6, 1865, as a successor to William Lloyd Garrison's '' The Liberator'', an abolitionist newspaper ...

. 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 Shandong University (; SDU) is a public university in Jinan, Shandong, China. It is affiliated with the Ministry of Education (China), Ministry of Education of China. The university is part of Project 211, Project 985, and the Double First-Clas ...

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 Paris Dauphine University - PSL () is a Grande École and public institution of higher education and research based in Paris, France, Collegiate university, constituent college of PSL University. As of 2022, Dauphine has 9,400 students in 8 fields ...

France France, officially the French Republic, is a country located primarily in Western Europe. Overseas France, Its overseas regions and territories include French Guiana in South America, Saint Pierre and Miquelon in the Atlantic Ocean#North Atlan ...

, under the supervision of

Alain Bensoussan Alain Bensoussan (born 12 May 1940) is a French mathematician. He is Professor Emeritus at the University of Paris-Dauphine and Professor at the University of Texas at Dallas. Early life and education Alain Bensoussan was born on 12 May 1940 ...

, who was a student of

Jacques-Louis Lions Jacques-Louis Lions (; 2 May 1928 – 17 May 2001) was a French mathematician who made contributions to the theory of partial differential equations and to stochastic control, among other areas. He received the SIAM's John von Neumann Lecture p ...

. He obtained his PhDs from Paris Dauphine University in 1985 and from

University of Provence The University of Provence Aix-Marseille I () was a Public university, public research university mostly located in Aix-en-Provence and Marseille. It was one of the three University of Aix-Marseille, Universities of Aix-Marseille and was part of t ...

in 1986. Then he returned to China and did postdoctoral research at

Fudan University Fudan University (FDU) is a public university, national public university in Yangpu, Shanghai, Yangpu, Shanghai, China. It is affiliated with the Ministry of Education (China), Ministry of Education and is co-funded with the Shanghai Municipal ...

before becoming a professor at

in 1990. In 1992 he was awarded the

Habilitation à Diriger des Recherches Habilitation is the highest university degree, or the procedure by which it is achieved, in Germany, France, Italy, Poland and some other European and non-English-speaking countries. The candidate fulfills a university's set criteria of excelle ...

by the

. He was promoted to Distinguished Professor of the Ministry of Education of China (Cheung Kong Scholarship Programme) in 1999.

Academic contributions

Professor Peng generalized the stochastic maximum principle in stochastic

optimal control Optimal control theory is a branch of control theory that deals with finding a control for a dynamical system over a period of time such that an objective function is optimized. It has numerous applications in science, engineering and operations ...

. In a paper published in 1990 with

Étienne Pardoux Étienne Pardoux (born 1947) is a French mathematician working in the field of Stochastic analysis, in particular Stochastic partial differential equations. He is currently Professor at Aix-Marseille University. He obtained his PhD in 1975 at Univ ...

, Peng founded the general theory (including nonlinear expectation) of

backward stochastic differential equation A backward stochastic differential equation (BSDE) is a stochastic differential equation with a terminal condition in which the solution is required to be adapted with respect to an underlying filtration. BSDEs naturally arise in various applicat ...

s (BSDEs), though linear BSDEs had been introduced by

Jean-Michel Bismut Jean-Michel Bismut (born 26 February 1948) is a French mathematician who has been a professor at the Université Paris-Sud since 1981. His mathematical career covers two apparently different branches of mathematics: probability theory and diff ...

in 1973. Soon Feynman–Kac type connections of BSDEs and certain kinds of elliptic and parabolic

partial differential equations In mathematics, a partial differential equation (PDE) is an equation which involves a multivariable function and one or more of its partial derivatives. The function is often thought of as an "unknown" that solves the equation, similar to how ...

(PDEs), e.g.,

Hamilton–Jacobi–Bellman equation The Hamilton-Jacobi-Bellman (HJB) equation is a nonlinear partial differential equation that provides necessary and sufficient conditions for optimality of a control with respect to a loss function. Its solution is the value function of the opti ...

, were obtained, where the solutions of these PDEs can be interpreted in the classical or

viscosity Viscosity is a measure of a fluid's rate-dependent drag (physics), resistance to a change in shape or to movement of its neighboring portions relative to one another. For liquids, it corresponds to the informal concept of ''thickness''; for e ...

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 In economics, utility is a measure of a certain person's satisfaction from a certain state of the world. Over time, the term has been used with at least two meanings. * In a normative context, utility refers to a goal or objective that we wish ...

theory, and the theory of dynamic

risk measure In financial mathematics, a risk measure is used to determine the amount of an asset or set of assets (traditionally currency) to be kept in reserve. The purpose of this reserve is to make the downside risk, risks taken by financial institutions ...

Honours

In 2005, Peng was elected as an academician of the

Chinese Academy of Sciences The Chinese Academy of Sciences (CAS; ) is the national academy for natural sciences and the highest consultancy for science and technology of the People's Republic of China. It is the world's largest research organization, with 106 research i ...

. On August 24, 2010, as one of the invited speakers, he gave a one-hour plenary lecture at the

International Congress of Mathematicians The International Congress of Mathematicians (ICM) is the largest conference for the topic of mathematics. It meets once every four years, hosted by the International Mathematical Union (IMU). The Fields Medals, the IMU Abacus Medal (known before ...

Hyderabad, India Hyderabad is the capital and largest city of the Indian state of Telangana. It occupies on the Deccan Plateau along the banks of the Musi River (India), Musi River, in the northern part of Southern India. With an average altitude of , much ...

. In 2011, he was appointed as "Global Scholars" for academic years 2011–2014 by

Princeton University Princeton University is a private university, private Ivy League research university in Princeton, New Jersey, United States. Founded in 1746 in Elizabeth, New Jersey, Elizabeth as the College of New Jersey, Princeton is the List of Colonial ...

, 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." In March 2015, as one of six or seven nominees, Peng was nominated for Abel Prize by Norwegian mathematician

Bernt Øksendal Bernt Karsten Øksendal (born 10 April 1945 in Fredrikstad) is a Norwegian mathematician. He completed his undergraduate studies at the University of Oslo, working under Otte Hustad. He obtained his PhD from University of California, Los Angeles ...

. In 2017 and again in 2021, he was a laureate of the

Asian Scientist 100 The Asian Scientist 100 is an annually published list of 100 prize-winning Asian researchers, academicians, innovators and business leaders from across the Asia-Pacific region and a range of scientific disciplines. Recipients "must have received ...

by the ''

Asian Scientist ''Asian Scientist'' is an English language science and technology magazine published in Singapore. History and profile ''Asian Scientist'' was launched as a blog in March 2011 by Juliana Chan. The blog's popularity eventually led to a partnersh ...

''. In September 2020, he was awarded

Future Science Prize The Future Science Prize ( zh, 未來科學大獎) is a scientific award established in January 2016 by the Future Forum, a non-profit organization based in mainland China. The award has sometimes been called "China's Nobel Prize" by the media. It ...

in mathematics and computer science. In 2023, he was elected as a member of

Academia Europaea The Academia Europaea is a pan-European Academy of humanities, letters, law, and sciences. The Academia was founded in 1988 as a functioning Europe-wide Academy that encompasses all fields of scholarly inquiry. It acts as co-ordinator of Europe ...

References

External links

*
Peng's homepage at Shandong University

School of Mathematics, Shandong University (Chinese)

Financial Engineering: Shige Peng, the pioneer financial mathematician talks to us about some of the latest developments in predicting the way money works.
An interview during The 8th International Congress on Industrial and Applied Mathematics 2015. {{DEFAULTSORT:Peng, Shige 1947 births Living people Educators from Shandong Fudan University alumni Mathematicians from Shandong Members of the Chinese Academy of Sciences Paris Dauphine University alumni People from Binzhou Shandong University alumni Academic staff of Shandong University University of Provence alumni