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

peng@sdu.edu.cn

1871.9 -- 1974.1

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.

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

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

[19] 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.

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