322 citations · 1.6k across the 59 of their papers we have counts for
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BSDE, Path-dependent PDE and Nonlinear Feynman-Kac Formula
Shige Peng, Falei Wang
In this paper, we introduce a type of path-dependent quasilinear (parabolic) partial differential equations in which the (continuous) paths on an interval [0,t] becomes the basic v…
Note on Viscosity Solution of Path-Dependent PDE and G-Martingales
Shige Peng
In the 2nd version of this note we introduce the notion of viscosity solution for a type of fully nonlinear parabolic path-dependent partial differential equations (P-PDE). We then…
G-Gaussian Processes under Sublinear Expectations and q-Brownian Motion in Quantum Mechanics
Shige Peng
We provide a general approach to construct a stochastic process with a given consistent family of finite dimensional distributions under a nonlinear expectation space. We use this…
Sublinear Expectations and Martingales in discrete time
Samuel Cohen, Shaolin Ji, Shige Peng
We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classic…