Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations

Peng, Shige; Xu, Mingyu

ESAIM: Mathematical Modelling and Numerical Analysis , Volume 45 (2011) p. 335-360

BSDEs with random default time and related zero-sum stochastic differential games

Peng, Shige; Xu, Xiaoming

Comptes Rendus. Mathématique, Volume 348 (2010) p. 193-198

Viability property on Riemannian manifolds

Peng, Shige; Zhu, Xuehong

Comptes Rendus. Mathématique, Volume 347 (2009) p. 1423-1428

On the set of solutions of a BSDE with continuous coefficient

Jia, Guangyan; Peng, Shige

Comptes Rendus. Mathématique, Volume 344 (2007) p. 395-397

On the comparison theorem for multidimensional BSDEs

Hu, Ying; Peng, Shige

Comptes Rendus. Mathématique, Volume 343 (2006) p. 135-140

The smallest $g$-supermartingale and reflected BSDE with single and double $L^2$ obstacles

Peng, Shige; Xu, Mingyu

Annales de l'I.H.P. Probabilités et statistiques, Volume 41 (2005) p. 605-630

Dynamical evaluations

Peng, Shige

Comptes Rendus. Mathématique, Volume 339 (2004) p. 585-589

A type of time-symmetric forward–backward stochastic differential equations

Peng, Shige; Shi, Yufeng

Comptes Rendus. Mathématique, Volume 336 (2003) p. 773-778