A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework

Adapted solution of a backward stochastic differential equation

Étienne Pardoux, Shigē Péng · Systems & Control Letters · 1990 · 2.8K citations

Engineering, Mathematics, Differential Equations +9

Backward Stochastic Differential Equations in Finance

Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.4K citations

Engineering, Economics, Finance +10

Stochastic Differential Utility

Darrell Duffie, Larry G. Epstein · Econometrica · 1992 · 1.2K citations

Business, Economics, Finance +17

Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths

Laurent Denis, Mingshang Hu, Shigē Péng · Potential Analysis · 2010 · 590 citations

Engineering, Mathematics, Probability Theory +12

Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation

Shigē Péng · Stochastic Processes and their Applications · 2008 · 582 citations

Engineering, Mathematics, Probability Theory +13