Shige Peng

Mean-field backward stochastic differential equations: A limit approach

Rainer Buckdahn, Boualem Djehiche, Juan Li +1

math.PR2016

Stein Type Characterization for $G$-normal Distributions

Mingshang Hu, Shige Peng, Yongsheng Song

Law of Large Numbers and Central Limit Theorem under Nonlinear Expectations

Shige Peng

Multi-Dimensional G-Brownian Motion and Related Stochastic Calculus under G-Expectation

Shige Peng

Sublinear Expectations and Martingales in discrete time

Samuel Cohen, Shaolin Ji, Shige Peng

Representation Theorems for Quadratic ${\cal F}$-Consistent Nonlinear Expectations

Ying Hu, Jin Ma, Shige Peng +1

math.PR2014

Mean-field stochastic differential equations and associated PDEs

Rainer Buckdahn, Juan Li, Shige Peng +1

Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor agents

Rainer Buckdahn, Juan Li, Shige Peng

Stopping Times and Related ItÃ´'s Calculus with G-Brownian Motion

Xinpeng Li, Shige Peng

On the Representation Theorem of G-Expectations and Paths of G--Brownian Motion

Mingshang Hu, Shige Peng

math.PR2012

Backward Stochastic Differential Equations Driven by G-Brownian Motion

Mingshang Hu, Shaolin Ji, Shige Peng +1

math.PR2017

Reflected Solutions of BSDEs Driven by G-Brownian Motion

Hanwu Li, Shige Peng

math.PR2008

A New Central Limit Theorem under Sublinear Expectations

Shige Peng

A Complete Representation Theorem for $G$-martingales

Shige Peng, Yongsheng Song, Jianfeng Zhang

q-fin.PR2012

The Pricing Mechanism of Contingent Claims and its Generating Function

Shige Peng

Numerical Algorithms for 1-d Backward Stochastic Differential Equations: Convergence and Simulations

Shige Peng, Mingyu Xu

G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty

Shige Peng

math.PR2018

On the exit times of SDEs driven by $G$-Brownian motion

Guomin Liu, Shige Peng, Falei Wang

math.PR2018

Limit theorems with rate of convergence under sublinear expectations

Xiao Fang, Shige Peng, Qi-Man Shao +1

G-Gaussian Processes under Sublinear Expectations and q-Brownian Motion in Quantum Mechanics

Shige Peng

Representation of the penalty term of dynamic concave utilities

Freddy Delbaen, Shige Peng, Emanuela Rosazza Gianin

math.PR2012

Note on Viscosity Solution of Path-Dependent PDE and G-Martingales

Shige Peng

A Note on $G$- Optimal Stopping Problems

Xin Guo, Chen Pan, Shige Peng

math.PR2006

Modelling Derivatives Pricing Mechanisms with Their Generating Functions

Shige Peng

Anticipated backward stochastic differential equations

Shige Peng, Zhe Yang

math.PR2006

G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Ito's type

Shige Peng

math.PR2017

Reflected BSDE driven by G-Brownian motion with an upper obstacle

Hanwu Li, Shige Peng

math.PR2012

Comparison Theorem, Feynman-Kac Formula and Girsanov Transformation for BSDEs Driven by G-Brownian Motion

Mingshang Hu, Shaolin Ji, Shige Peng +1

math.PR2010

Nonlinear Expectations and Stochastic Calculus under Uncertainty

Shige Peng

Mingshang Hu, Shige Peng

q-fin.CP2009

BSDEs with random default time and their applications to default risk

Shige Peng, Xiaoming Xu

math.PR2014

Martingale Problem under Nonlinear Expectations

Xin Guo, Chen Pan, Shige Peng

Extended Conditional G-Expectations and Related Stopping Times

Mingshang Hu, Shige Peng

BSDE, Path-dependent PDE and Nonlinear Feynman-Kac Formula

Shige Peng, Falei Wang

math.PR2016

Stochastic Calculus with respect to G-Brownian Motion Viewed through Rough Paths

Shige Peng, Huilin Zhang

math.PR2014

G-Expectation Weighted Sobolev Spaces, Backward SDE and Path Dependent PDE

Shige Peng, Yongsheng Song

math.PR2008

Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition

Shige Peng, Mingyu Xu

math.PR2010

Function spaces and capacity related to a Sublinear Expectation: application to G-Brownian Motion Pathes

Laurent Denis, Mingshang Hu, Shige Peng