Zu Chongzhi Distinguished Lecture

Date and Time (China standard time): Friday, November 8, 10:00 am – 11:00 am

Location: IB 2050

Zoom: 990 2607 6561, Passcode: dkumath

Title: Forward/Backward Stochastic Differential Equations and Financial Risk Measures

Speaker: Shige Peng

Abstract: This talk examines, analyzes, addresses, and computes risk and uncertainty from the perspective of robust nonlinear expectations, and proposes robust algorithms along with their theoretical foundations.

Bio: Shige Peng is a professor at Shandong University and is the director of the Center for Mathematics and Interdisciplinary Sciences. Dr. Peng was elected as an academician of the Chinese Academy of Sciences in 2005, appointed as the “2011-12 Global Scholar” by Princeton University in the United States in 2011, elected as a fellow of the China Society for Industrial and Applied Mathematics in 2020, and elected as an academician of the European Academy of Sciences in 2023. In 2010, Dr. Peng was invited to give a one-hour plenary lecture at the International Congress of Mathematicians (ICM). In 2015, he was invited to give a one-hour plenary lecture at the International Congress on Industrial and Applied Mathematics (ICIAM). In 2020, he was awarded the Future Science Prize in the category of Mathematics and Computer Science.

Dr. Peng has been engaged in research in the fields of probability theory, stochastic control, and financial mathematics for a long time. In the field of control theory, he obtained the general stochastic maximum principle for stochastic optimal control systems; in the field of probability theory, he made substantial contributions to the establishment of the theory of backward stochastic differential equations.