Speaker: Prof. Shige Peng（彭实戈教授）

Time: 10:00-12:00, 15 December 2023 (Friday) (Beijing time)

Venue: T2-102, UIC

Abstract

In this mini-course, I take the notion of nonlinear expectation as a fundamental notion of an axiomatical system.This enables us to get directly many new and fundamental results: such as nonlinear law of large numbers, central limit theorem, the theory of Brownian motion under nonlinear expectation and the corresponding new stochastic analysis of Itô’s type. Many of them are highly non-trivial, natural but usually hard to be expected from its special case of the classical linear expectation theory, i.e., probability theory. In this new framework, the nonlinear version of the notion of independence and identical distribution plays a crucially important role.We also provide explanations for many significantly and practically efficient algorithms theoretically based on the on the above theory.

About Prof. Peng

彭实戈教授，数学家，中国科学院院士，欧洲科学院院士，中国工业与应用数学学会会士。 现任山东大学教授、博士生导师、泰山学堂院长、数学与交叉科学研究中心主任。彭实戈教授于1974年毕业于山东大学物理系；1978年工作于山东大学数学研究所；1986年获巴黎第九大学数学与自动控制三阶段博士学位和普鲁旺斯大学应用数学博士学位；1989年任复旦大学博士后研究员；1990年任山东大学数学院教授；2005年当选中国科学院院士；2011年被美国普林斯顿大学聘为“2011—12普林斯顿全球学者” ；2020年当选为中国工业与应用数学学会会士，2023年当选欧洲科学院院士。彭实戈教授主要从事概率论、控制论与金融数学研究。