彭实戈

发布日期: 2024-05-16点击数:

研究领域： Nonlinear expectations and Stochastic calculus/Mathematical finance: Option pricing and risk

measurement/Theory of stochastic differential games/Recursive Utilities under Risk and

Uncertainty/Stochastic and deterministic optimal control systems/Controllability of stochastic control

systems/Stochastic and deterministic partial differential equations/Singular perturbations method for

stochastic systems

邮箱：peng@sdu.edu.cn

1971.09 -- 1974.01：山东大学半导体学士

1983.10 -- 1986.12：巴黎第九大学半导体器件制造及应用博士

1989.11 -- 至今：山东大学

1968.9 -- 1971.2：上山下乡

1974.1 -- 1978.1：山东省无线电厂

1988.3 -- 1989.11：复旦大学

2023-01-30：山东省第36届社会科学优秀成果奖

未来科学大奖数学与计算机科学奖

全国创新争先奖状

求是杰出科学家奖

1. 胡明尚. A universal robust limit theorem for nonlinear Levy processes under sublinear expectation. PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK, 8, 1, 2023.

2. 胡明尚. Extended conditional G-expectations and related stopping times. PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK, 6, 369, 2021.

3. Imbalanced binary classification under distribution uncertainty. Information Sciences, 156, 2023.

4. Improving Value-at-Risk Prediction Under Model Uncertainty. Journal of Financial Econometrics, 21, 228, 2023.

5. Stochastic calculus with respect to G-Brownian motion viewed through rough paths Dedicated to Pro.... 60, 1-20, 2017.

6. DISTRIBUTIONAL UNCERTAINTY OF THE FINANCIAL TIME SERIES MEASURED BY G-EXPECTATION. Theory of Probability and Its Applications, 66, 729, 2022.

7. BSDE, path-dependent PDE and nonlinear Feynman-Kac formula. Science China-Mathematics, 2016.

8. Improving Value-at-Risk Prediction Under Model Uncertainty. Journal of Financial Econometrics, 21, 228, 2023.

9. Stochastic calculus with respect to G-Brownian motion viewed through rough paths Dedicated to Pro.... 60, 1-20, 2017.

10. Wong-Zakai Approximation for Stochastic Differential Equations Driven by G-Brownian Motion. Journal of Theoretical Probability, 2022.

11. 李邯武. Supermartingale decomposition theorem under G-expectation. ELECTRONIC JOURNAL OF PROBABILITY, 23, 2018.

12. 彭实戈. DISTRIBUTIONAL UNCERTAINTY OF THE FINANCIAL TIME SERIES MEASURED BY G-EXPECTATION. Theory of Probability and Its Applications, 66, 729, 2022.

13. 胡明尚. G-Levy processes under sublinear expectations. Probability, Uncertainty and Quantitative Risk, 2021.

14. Li, Hanwu. Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obs.... Stochastic Processes and their Applications, 130, 6556, 2020.

15. 纪晓君. Spatial and temporal white noises under sublinear G-expectation. SCIENCE CHINA Mathematics, 63, 61, 2020.

16. 彭实戈. A hypothesis-testing perspective on the G-normal distribution theory. statistics & probability letters, 156, 2020.

17. 彭滢. Three Algorithms for Solving High-Dimensional Fully Coupled FBSDEs Through Deep Learning. 《IEEE INTELLIGENT SYSTEMS》, 2020.

18. 彭实戈. BSDE, path-dependent PDE and nonlinear Feynman-Kac formula. Science China-Mathematics, 2016.

19. 王法磊. BSDE, path-dependent PDE and nonlinear Feynman-Kac formula. Science China-Mathematics, 2016.

20. Fang, Xiao. Limit theorems with rate of convergence under sublinear expectations. BERNOULLI, 25, 2564, 2019.论文成果

21. 宫晓琳 , 彭实戈 and 杨淑振. 基于不确定性分布的金融风险审慎管理研究. 经济研究, 54, 64, 2019.

22. 彭实戈 and 石玉峰. Infinite Horizon Forward-Backward Stochastic Differential Equations. Stochastic Processes and their Applications, 85, 75, 2000.

23. 石玉峰 and 彭实戈. Infinite Horizon Boundary Value Problems and Applications. Journal of Differential Equations, 155, 405, 1999.

24. 彭实戈 and 王法磊. BSDE, path-dependent PDE and nonlinear Feynman-Kac formula. Science China. Mathematics , 2016.

25. 彭实戈 , 石玉峰 A type of time-symmetric forward–backward stochastic differential equations. C. R. Acad. Sci. Paris, Ser. I, 336, 773, 2003.

26. 彭实戈 and 王法磊. BSDE, path-dependent pde and nonlinear Feynman-Kac formula. Science China Mathematics, 2016.

27. 胡明尚 , 嵇少林 and 彭实戈. Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Browni.... Stochastic Processes and their Applications, 2014.

28. 李娟 , 彭实戈 and Buckdahn, Rainer. MEAN-FIELD STOCHASTIC DIFFERENTIAL EQUATIONS AND ASSOCIATED PDES. ANNALS OF PROBABILITY, 45, 824, 2017.

29. 彭实戈. Stochastic calculus with respect to G-Brownian motion viewed through rough paths. Science China-Mathematics, 60, 1, 2017.

30. 胡明尚 and 彭实戈. Stein type characterization for G-normal distributions. Electronic Communications in Probability, 22, 2017.

31. 王法磊 and 彭实戈. BSDE, path-dependent PDE and nonlinear Feynman-Kac formula. Science China. Mathematics , 2016.

32. 胡明尚 and 彭实戈. Function spaces and capacity related to a Sublinear Expectation: application to G-Brownian motion.... Potential Analysis, 34, 139, 2011.

33. 彭实戈 and 石玉峰. A type of time-symmetric forward–backward stochastic differential equations. C. R. Acad. Sci. Paris, Ser. I, 336, 773, 2003.

34. 李欣鹏 and 彭实戈. Stopping times and related Ito’s calculus with G-Brownian motion. Stochastic Processes and their Applications, 2011.

35. 胡明尚 , 嵇少林 and 彭实戈. Backward stochastic differential equations driven by G-Brownian motion. Stochastic Processes and their Applications, 2014.

36. 赵卫东 and 彭实戈. Error estimates of the theta-scheme for backward stochastic differential equations. Discrete And Continuous Dynamical Systems Series B, 12, 905, 2009.

37. 胡明尚 and 彭实戈. On Representation Theorem of G-Expectations and Paths of G-Brownian Motion. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 25, 539, 2009.

38. 嵇少林 and 彭实戈. Terminal perturbation method for the backward approach to continuous time mean-variance portfolio.... Stochastic Processes and their Applications, 118, 952, 2008.

39. 彭实戈 , 嵇少林 and 胡明尚. Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Browni.... Stochastic Processes and their Applications, 2014.

40. 彭实戈 and 胡明尚. Function spaces and capacity related to a Sublinear Expectation: application to G-Brownian motion.... Potential Analysis, 34, 139, 2011.

41. 彭实戈 and 石玉峰. A type of time-symmetric forward–backward stochastic differential equations. C. R. Acad. Sci. Paris, Ser. I, 336, 773, 2003.

42. 彭实戈 and 李欣鹏. Stopping times and related Ito’s calculus with G-Brownian motion. Stochastic Processes and their Applications, 2011.

43. 嵇少林 , 彭实戈 and 胡明尚. Backward stochastic differential equations driven by G-Brownian motion. Stochastic Processes and their Applications, 2014.

44. 彭实戈 and 赵卫东. Error estimates of the theta-scheme for backward stochastic differential equations. Discrete And Continuous Dynamical Systems Series B, 12, 905, 2009.

45. 彭实戈 and 胡明尚. On Representation Theorem of G-Expectations and Paths of G-Brownian Motion. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 25, 539, 2009.

46. 彭实戈 and 嵇少林. Terminal perturbation method for the backward approach to continuous time mean-variance portfolio.... Stochastic Processes and their Applications, 118, 952, 2008.

47. 王法磊 and 彭实戈. BSDE, path-dependent pde and nonlinear Feynman-Kac formula. Science China Mathematics, 2016.

48. 彭实戈 and 胡明尚. Function spaces and capacity related to a Sublinear Expectation: application to G-Brownian motion.... Potential Analysis, 34, 139, 2011.

49. 嵇少林 , 彭实戈 and 胡明尚. Backward stochastic differential equations driven by G-Brownian motion. Stochastic Processes and their Applications, 2014.

50. 彭实戈 and 赵卫东. Error estimates of the theta-scheme for backward stochastic differential equations. Discrete And Continuous Dynamical Systems Series B, 12, 905, 2009.

51. 李娟 , 彭实戈 and Buckdahn, Rainer. MEAN-FIELD STOCHASTIC DIFFERENTIAL EQUATIONS AND ASSOCIATED PDES. ANNALS OF PROBABILITY, 45, 824, 2017.

52. 彭实戈 and 胡明尚. On Representation Theorem of G-Expectations and Paths of G-Brownian Motion. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 25, 539, 2009.

53. 彭实戈 and 嵇少林. Terminal perturbation method for the backward approach to continuous time mean-variance portfolio.... Stochastic Processes and their Applications, 118, 952, 2008.

54. 彭实戈 and 李欣鹏. Stopping times and related Ito’s calculus with G-Brownian motion. Stochastic Processes and their Applications, 2011.

55. 彭实戈 , 嵇少林 and 胡明尚. Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Browni.... Stochastic Processes and their Applications, 2014.

56. 彭实戈 and 石玉峰. A type of time-symmetric forward–backward stochastic differential equations. C. R. Acad. Sci. Paris, Ser. I, 336, 773, 2003.

57. 彭实戈 and 胡明尚. Stein type characterization for G-normal distributions. Electronic Communications in Probability, 22, 2017.

58. 王法磊 and 彭实戈. BSDE, path-dependent PDE and nonlinear Feynman-Kac formula. 2016.

59. 彭实戈. Stochastic calculus with respect to G-Brownian motion viewed through rough paths. Science China-Mathematics, 60, 1, 2017.

1. 平均场理论和非线性数学期望平均场理论和非线性数学期望,2020/09/17,2025/12/31,

2. 金融数学交叉融合项目金融数学交叉融合项目,2015/01/01,2015/12/31,

3. 金融数学交叉融合项目金融数学交叉融合项目,2016/12/01,2017/12/31,

4. 非线性期望前沿科学中心培育项目非线性期望前沿科学中心培育项目,2019/08/27,2020/12/31,

5. 我国金融市场开放过程中所面临金融风险控制问题我国金融市场开放过程中所面临金融风险控制问题,2019/05/05,2020/05/05,

6. 金融科技风险分析与监管对策建议金融科技风险分析与监管对策建议,2017/10/01,2019/03/31,

7. 股指期货上市以来对股票市场影响研究股指期货上市以来对股票市场影响研究,2017/11/24,2018/06/30,

8. 金融风险的量化分析发展战略研究金融风险的量化分析发展战略研究,2016/12/01,2018/12/31,

9. 金融数学交叉融合项目金融数学交叉融合项目,2016/01/01,2016/12/31,

10. 第十届中国概率统计会议第十届中国概率统计会议,2014/05/01,2015/04/30,科研项目

11. 金融数学-金融风险控制中的G-风险度量、倒向随机分析与计算金融数学-金融风险控制中的G-风险度量、倒向随机分析与计算,2009/01/01,2012/12/31,

12. 金融数学-金融风险控制中的G-风险度量、倒向随机分析与计算金融数学-金融风险控制中的G-风险度量、倒向随机分析与计算,2010/09/01,2011/09/30,[

13. 金融数学-金融风险控制中的G-风险度量、倒向随机分析与计算金融数学-金融风险控制中的G-风险度量、倒向随机分析与计算,2013/01/01,2015/12/31,

14. 中国在金融风险控制中面临的一些紧迫问题及对策建议中国在金融风险控制中面临的一些紧迫问题及对策建议,2009/01/01,2011/12/31,

15. 上海期货交易所课题合作研究协议上海期货交易所课题合作研究协议,2005/07/14,2006/01/14,

16. 山东大学齐鲁证券金融研究院共建及研究项目山东大学齐鲁证券金融研究院共建及研究项目,2008/05/14,2018/05/14,

17. 动态相容的非线性期望理论动态相容的非线性期望理论,2002/01/30,2005/12/30,

18. 省科技最高奖奖金科研经费省科技最高奖奖金科研经费,

19. 大规模金融计算和金融数据处理平台大规模金融计算和金融数据处理平台,2007/07/01,2010/12/31,