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Academician Peng Shige of School of Mathematics of Shandong University Won the "2020 Future Science Prize"

作者:   时间:2020-09-10   点击数:

On September 6, the winner of the "2020 Future Science Prize" was announced. Mathematician Peng Shige from Shandong University won the "Mathematics and Computer Science Prize" for his pioneering contributions in the backward stochastic differential equation theory, non-linear Feynman-Kac formula, and non-linear mathematical expectation theory.

In 2016, the Future Science Prize was officially set up. As China's non-official, non-profit, and privately-sponsored science prize, it currently includes the "Life Science Prize", "Physical Science Prize" and "Mathematics and Computer Science Prize". The Future Science Prize focuses on original basic scientific research and rewards scientists who have made outstanding scientific and technological achievements in Greater China, regardless of their nationality, gender and age to accelerate ground-breaking basic scientific research, commend outstanding scientists, attract global scientific and technological talents, and promote the development of scientific undertakings

Peng Shige has long devoted himself to the research of stochastic control, stochastic analysis, financial mathematics and creation of non-linear mathematical expectation theory. A series of important theorems centered on G-expectation, non-linear Brownian motion, non-linear law of large numbers, and non-linear central limit have been preliminarily established, important tools for studying the pricing of financial products. The article published by Peng Shige and Pardoux in 1990 is considered to be the foundational work of Backward Stochastic Differential Equation (BSDE) theory. It has opened up an important research field, including both profound mathematical theories and important applications in finance. Academician Peng has made continuous efforts in this field and delivered a fund of important contributions. In 1992, he created the non-linear Feynman-Kac formula, thus giving a BSDE representation for a large class of second-order non-linear differential equations. At the International Conference of Mathematicians (ICM) held in 2010, Peng Shige gave a conference report on the Backward Stochastic Differential Equations, Non-linear Mathematical Expectations and Their Applications. The ICM conference report has always been regarded as the highest honor in the international mathematics community. Academician Peng serves as the only full-time mathematician in Mainland China to receive this honor.

Up to now, Peng Shige has made breakthrough progress in the field of non-linear mathematical expectation theory and its application in finance. The Existence and Uniqueness Theorem of the Backward Stochastic Differential Equation (BSDE) proposed is recognized as a fundamental paper in this field, laying an important foundation for the financial mathematical theory. Peng Shige, therefore, has also emerged as the recognized founder of this field.

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