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

Ma J, Li W, Zheng H, 2017, Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization, European Journal of Operational Research, Vol:262, ISSN:0377-2217, Pages:851-862

Wong KC, Yam SCP, Zheng H, 2017, UTILITY-DEVIATION-RISK PORTFOLIO SELECTION, SIAM Journal on Control and Optimization, Vol:55, ISSN:0363-0129, Pages:1819-1861

Gu J-W, Steffensen M, Zheng H, 2017, Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model, Mathematics of Operations Research, ISSN:0364-765X

Li Y, Zheng H, 2018, CONSTRAINED QUADRATIC RISK MINIMIZATION VIA FORWARD AND BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS, SIAM Journal on Control and Optimization, Vol:56, ISSN:0363-0129, Pages:1130-1153

More Publications