Imperial College London

ProfessorHarryZheng

Faculty of Natural SciencesDepartment of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8539h.zheng Website

 
 
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Location

 

6M16Huxley BuildingSouth Kensington Campus

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Summary

 

Summary

Dr Zheng's research is stochastic control and optimization and financial mathematics.

Dr Zheng's personal web page can be found at http://www.ma.ic.ac.uk/~hz

Selected Publications

Journal Articles

Zheng H, Jiang L, 2009, Basket CDS pricing with interacting intensities, Finance and Stochastics, Vol:13, ISSN:0949-2984, Pages:445-469

Czichowsky C, Westray N, Zheng H, 2011, Convergence in the Semimartingale Topology and Constrained Portfolios, Lecture Notes in Mathematics, Vol:2006, ISSN:0075-8434, Pages:395-412

Vinter, R.B., Zheng, H., 1997, Necessary Conditions for Optimal Control Problems with State Constraints, Trans.american Mathematical Society

Westray N, Zheng H, 2011, Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization, Finance and Stochastics, Vol:15, ISSN:0949-2984, Pages:501-512

Bian B, Miao S, Zheng H, 2011, Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems, SIAM Journal on Financial Mathematics, Vol:2, ISSN:1945-497X, Pages:727-747

More Publications