Logo

彭实戈院士做客线上“自然科学杰出演讲系列讲座” “Distinguished Lecture in Natural Sciences” by Academician Shige Peng

5月26日,第六期“自然科学杰出演讲系列讲座”在线上举行。本次讲座特邀中国科学院院士、山东大学教授彭实戈,以“Distributional Uncertainty of Data and the Corresponding Limit Theorems in Nonlinear Expectation Theory”为题为广大师生带来一场高质量高水平的学术报告。本次学术报告由自然科学研究院院长金石教授主持,来自数学科学学院、物理与天文学院、致远学院以及海内外其他高校的400余名师生在线参会。

本次报告主要介绍数据分布不确定情况下的非线性期望理论。彭实戈院士首先从非线性的独立同分布概念出发,讲解非线性正态分布以及相关的偏微分方程,并阐述一些金融问题中的应用。此外,作为应用数学领域内的国际领军人物,彭实戈院士与参会师生分享了近期在非线性概率极限理论方面的研究结果,引发参会师生思考。在讲座问答环节中,彭实戈院士耐心解答师生的踊跃提问,并与参会者在线上展开热烈讨论。

嘉宾介绍: 彭实戈,数学家,中国科学院院士,山东大学数学学院教授,山东大学泰山学堂院长。1999年入选教育部“长江学者奖励计划”首批特聘长江教授;2005年当选中国科学院院士;2007年被任命为国家科技部973计划项目“金融风险控制中的定量分析与计算”的首席科学家;2008年获得陈嘉庚科学奖;2009年由其带头,山东大学申报的“金融—数学跨学科交叉应用型人才培养实验区”获准立项;2010年8月在印度海得拉巴召开的国际数学家大会上,其被邀请作一小时大会报告,是中国大陆本土数学界获此荣誉的第一人;2011年获得第十届华罗庚数学奖,同年被美国普林斯顿大学聘为3位“2011-2012普林斯顿全球学者”之一。

彭实戈院士被誉为“中国金融数学第一人”,他长期致力于随机控制、金融数学和概率统计方面的研究。以彭实戈院士的名字命名的“彭一般原理”、“彭最大值原理”以及他和法国数学家Pardoux教授一起开创的“倒向随机微分方程”的新方向-倒向随机微分方程,即”巴赫杜(Pardoux)-彭方程”,在随机分析、随机控制和金融数学界已经获得了很高的国际知名度,成为研究金融产品定价的重要工具。

On May 26, the sixth “Distinguished Lecture in Natural Sciences” was held as scheduled online. Shige Peng, an academician of the Chinese Academy of Sciences and a professor of Shandong University, was invited to deliver a high-quality and high-level academic report on “Distributional Uncertainty of Data and the Corresponding Limit Theorems in Nonlinear Expectation Theory “ for the teachers and students. This lecture was chaired by Professor Shi Jin, Director of the Institute of Natural Sciences. More than 400 teachers and students from the School of Mathematical Sciences, the School of Physics and Astronomy and Zhiyuan College from SJTU, and other domestic and overseas universities participated in the online conference.

This talk mainly introduced the nonlinear expectation theory in the case of uncertain data distribution. Academician Shige Peng first introduced the concept of independent and identically distributed random variables in nonlinear expectation spaces, explained the nonlinear normal distribution and its related partial differential equations, and the applications in some financial problems. In addition, as a leading expert in the field of applied mathematics, Academician Shige Peng shared the recent research results on the limit theorems for nonlinear probability with the participating teachers and students, which greatly aroused their interests. In the Q & A session of the lecture, Academician Shige Peng patiently answered the questions from teachers and students, and had an in-depth discussion with the participants online.

Bio: Shige Peng, mathematician, academician of the Chinese Academy of Sciences, professor of the School of Mathematics, Shandong University, dean of the Taishan College of Shandong University. In 1999, he was selected as the first batch of specially-appointed professors of the Changjiang Scholars Award Program by the Ministry of Education. In 2005, he was elected as an academician of the Chinese Academy of Sciences. In 2007, he was appointed as the Chief Scientist of the National Ministry of Science and Technology 973 Program “Quantitative Analysis and Calculation in Financial Risk Control”. He won the Chen Jiageng Science Award in 2008. In 2009, led by him, the “Finance-Mathematics Interdisciplinary Talent Training Experimental Area” declared by Shandong University was approved. At the International Conference of Mathematicians held in Hyderabad, India in August 2010, Academician Shige Peng was invited to give a one-hour plenary lecture and was the first mathematician in mainland China to receive this honor. In 2011, he won the Tenth Hua Luogeng Mathematics Award. In the same year, he was appointed by Princeton University as one of the three “2011-2012 Princeton Global Scholars “.

Academician Shige Peng is known as “ The first person in financial mathematics in China “. He has long been devoted to the study of random control, financial mathematics and probability statistics. “Peng General Principle”, “Peng Maximum Principle” named after Academician Peng Shige and “ Pardoux -Peng equation “ created by him and French mathematician Professor Pardoux, have gained a high international reputation in the field of stochastic analysis, stochastic control and financial mathematics, and have become an important tool for studying the pricing of financial products.