A 1990 paper co-authored with Étienne Pardoux established the general theory of backward stochastic differential equations, forming the basis of Peng Shige's mathematical reputation. His work provides a framework for interpreting solutions to elliptic and parabolic partial differential equations, including the Hamilton–Jacobi–Bellman equation, through the lens of nonlinear expectation and g-expectation theories.
Early Education and Career
Born in 1947 in the Bincheng District, Peng spent three years working with farmers as an educated youth beginning in 1968. He entered the Department of Physics at Shandong University in 1971, graduating in 1974. Following a stint at the university's Institute of Mathematics in 1978, he moved to France in 1983 to attend Paris Dauphine University. He completed his doctoral studies there in 1985 and earned a second PhD from the University of Provence in 1986. After a period of postdoctoral research at Fudan University, he returned to Shandong University in 1990 to serve as a professor.
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Peng is noted for generalizing the stochastic maximum principle within the field of stochastic optimal control. His primary contribution involves the development of backward stochastic differential equations, building upon the earlier linear work of Jean-Michel Bismut from 1973. This theory bridges BSDEs with specific partial differential equations, allowing for interpretations of the Black–Scholes equation as a linear BSDE. These advancements have found significant application in dynamic risk measures and utility theory.
Academic Recognition
His institutional standing expanded significantly throughout the 1990s and 2000s. He earned his Habilitation à Diriger des Recherches from the University of Provence in 1992 and was named a Distinguished Professor under the Cheung Kong Scholarship Programme in 1999. In 2005, he gained election to the Chinese Academy of Sciences as an academician. His global reach includes a 2010 plenary lecture at the International Congress of Mathematicians in Hyderabad and a visiting appointment as a Global Scholar at Princeton University between 2011 and 2014.
Recent Distinctions
In more recent years, Peng has received several accolades for his ongoing research. He was nominated for the Abel Prize in 2015 by Bernt Øksendal and recognized as part of the Asian Scientist 100 in 2017 and 2021. In 2020, he received the Future Science Prize in mathematics and computer science. He became a member of Academia Europaea in 2023 and maintains his connection to the Institute of Mathematical Statistics as a Fellow.
Fast facts
- Born: 1947, Bincheng District, China
- Education: Shandong University, Paris Dauphine University, University of Provence
- Key field: Stochastic analysis and mathematical finance
- Fellowship: Institute of Mathematical Statistics (2010)
- Significant publication: Backward stochastic differential equations (1990)
- Major award: Future Science Prize (2020)
Questions readers ask
What is the primary significance of Peng Shige's work in finance?
He developed the theory of backward stochastic differential equations, which allows for a new understanding of the Black–Scholes equation and provides tools for calculating dynamic risk.
Where has Peng Shige conducted his academic career?
While he earned his doctorates in France, he has spent the majority of his career as a professor and researcher at Shandong University in China.
Achievements
- Held posts at Shandong University
