TAN KAH KEE Science Award

Tan Kah Kee Award in Mathematic and Physical Sciences

Peng Shige

Peng Shige (1947- ) is a native of Bin County, Shandong Province. Peng is a mathematician in finance. He completed four-year undergraduate program in Physics Department at Shandong University in 1974, Shandong University in 1974, and obtained Doctorat de 3eme Cycle in Mathematics and Automatics at Universite de Paris IX in France in 1984. He received another doctorate of Applied Mathematics at Universite de Provence in France in 1986. He obtained his post-doctorate from Fudan University in 1989. He was conferred "Diplome d'Habilitation a Diriger des Recherches" at Universit de Provence in 1992. He is now working as a professor and director of Institute of Mathematics, Institute of Economy and Institute of Finance, Shandong University. He was elected as academician of Chinese Academy of Sciences in 2005.

Peng is mainly engaged in research on stochastic controls, probability theory, stochastic analysis and mathematical finance. He generalized the stochastic maximum principle in stochastic control. Along with tienne Pardoux, Peng founded the general theory of backward stochastic differential equations (BSDEs for short) in a paper published in 1990. Soon Feynman-Kac type connections of BSDEs and certain kinds of elliptic and parabolic partial differential equations, e.g., Hamilton-Jacobi-Bellman equation, were obtained, where the solutions of these PDEs can be interpreted in the classical or viscosity 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 expectationwas also derived from the theory of BSDEs. He obtained the decomposition theorem of g-supermartingales of the famous Doob-Meyer's type. He has established the foundation of stochastic analysis of G-Brownian motion. These have various applications in utility theory, risk measure theory, etc. His general stochastic maximum principle of optimal control system is considered as one of "two major advances made in the last two decades" in this field. He made important contribution to development of mathematical finance in China. For his remarkable achievements, he was given State Natural Sciences Award, Second Class (1995), Qiushi Award for "Outstanding Young Scientist" (1996), Shandong Science and Technology Award, Top Class (2003) and Ho Leung Ho Lee Award for Science and Technology Advancement (2007). He was promoted to Distinguished Professor of the Ministry of Education of China (Cheung Kong Scholarship Programme) in 1999. He has been invited to give a plenary lecture at the International Congress of Mathematicians (the highest-level academic congress in international mathematic circle) at Hyderabad, India in August, 2010.

Peng is mainly engaged in research on stochastic controls, probability theory, stochastic analysis and mathematical finance. He generalized the stochastic maximum principle in stochastic control. Along with tienne Pardoux, Peng founded the general theory of backward stochastic differential equations (BSDEs for short) in a paper published in 1990. Soon Feynman-Kac type connections of BSDEs and certain kinds of elliptic and parabolic partial differential equations, e.g., Hamilton-Jacobi-Bellman equation, were obtained, where the solutions of these PDEs can be interpreted in the classical or viscosity 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 expectationwas also derived from the theory of BSDEs. He obtained the decomposition theorem of g-supermartingales of the famous Doob-Meyer's type. He has established the foundation of stochastic analysis of G-Brownian motion. These have various applications in utility theory, risk measure theory, etc. His general stochastic maximum principle of optimal control system is considered as one of "two major advances made in the last two decades" in this field. He made important contribution to development of mathematical finance in China. For his remarkable achievements, he was given State Natural Sciences Award, Second Class (1995), Qiushi Award for "Outstanding Young Scientist" (1996), Shandong Science and Technology Award, Top Class (2003) and Ho Leung Ho Lee Award for Science and Technology Advancement (2007). He was promoted to Distinguished Professor of the Ministry of Education of China (Cheung Kong Scholarship Programme) in 1999. He has been invited to give a plenary lecture at the International Congress of Mathematicians (the highest-level academic congress in international mathematic circle) at Hyderabad, India in August, 2010.