322 citations · 1.6k across the 59 of their papers we have counts for
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math.PR2013★ 18 cited
Extended Conditional G-Expectations and Related Stopping Times
Mingshang Hu, Shige Peng
In this paper we extend the definition of time conditional G-expectations to a larger domain on which the dynamical consistency still holds. In fact w…
math.PR2013★ 1 cited
Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor agents
Rainer Buckdahn, Juan Li, Shige Peng
The purpose of this paper is to study 2-person zero-sum stochastic differential games, in which one player is a major one and the other player is a group of minor agents which…
math.PR2013★ 4 cited
G-Expectation Weighted Sobolev Spaces, Backward SDE and Path Dependent PDE
Shige Peng, Yongsheng Song
We introduce a new notion of G-expectation-weighted Sobolev spaces, or in short, G-Sobolev spaces, and prove that a backward SDEs driven by G-Brownian motion are in fact path depen…