In 1983 he took an opportunity to enter Paris Dauphine University, France, under the supervision of Alain Bensoussan, who was a student of Jacques-Louis Lions.

He was promoted to Distinguished Professor of the Ministry of Education of China (Cheung Kong Scholarship Programme) in 1999.

In a paper published in 1990 with Étienne Pardoux, Peng founded the general theory (including nonlinear expectation) of backward stochastic differential equations (BSDEs), though linear BSDEs had been introduced by Jean-Michel Bismut in 1973.

On August 24, 2010, as one of the invited speakers, he gave a one-hour plenary lecture[6] at the International Congress of Mathematicians at Hyderabad, India.

"[11][12][13] In March 2015, as one of six or seven nominees, Peng was nominated for Abel Prize by Norwegian mathematician Bernt Øksendal.