Bernt Øksendal foreslår Etienne Pardoux og Shige Peng

Det norske vitenskapsakademi offentliggjør 25. mars hvem som tildeles Abelprisen for 2015. Vi har invitert en person fra hver av forskningsgruppene til å "nominere" en person de synes er verdig en Abelpris. Dette er ett av forslagene som har kommet inn. Se alle forslagene.

Etienne Pardoux og Shige Peng

Foto: Aix-Marseille Université and wikipedia

In my opinion they deserve the Abel Prize because of their development of the theory of backward stochastic differential equations (BSDEs) and applications. Pardoux og Peng developed this theory in the beginning of the 1990’s. Linear BSDEs had been studied earlier by Jean-Michel Bismut, in connection with an extension of the maximum principle for optimal control to the stochastic case, but it was Pardoux og Peng who started a systematic study of general BSDEs and their applications. Subsequently Pardoux and Peng and others found several extensions and applications of BSDEs, including:

(i) BSDEs and replicating portfolios in financial markets

(ii) BSDES and nonlinear Feynman-Kac formulas

(iii) BSDEs are used to model recursive utilities in finance

(iv) BSDEs are used to model convex risk measures

(v) optimal control of coupled systems of forward-backward SDEs and applications to risk minimization

(vi) G-Brownian motion and application to model uncertainty

(vii) Partial BSDEs and stochastic Hamilton-Jacobi-Bellman equations in stochastic control

 

BSDEs are today a fundamental tool in almost all areas of stochastic analysis and applications.

Pardoux and Peng deserve the Abel Prize, because their work has reshaped the whole area of stochastic calculus.

Av Bernt Øksendal
Publisert 18. mars 2015 00:01 - Sist endret 23. mars 2015 08:56