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

Publications

Journals

jialiang L, Zheng H, 2022, Deep neural network solution for finite state mean field game with error estimation, Dynamic Games and Applications, ISSN:2153-0785

Zhu D, Zheng H, 2022, Effective approximation methods for constrained utility maximization with drift uncertainty, Journal of Optimization Theory and Applications, Vol:194, ISSN:0022-3239, Pages:191-219

Zheng H, Jang HJ, Xu Z, 2022, Optimal investment, heterogeneous consumption and best time for retirement, Operations Research, ISSN:0030-364X

Cesari R, Zheng H, 2022, Stochastic maximum principle for optimal liquidation with control-dependent terminal time, Applied Mathematics and Optimization, Vol:85, ISSN:0095-4616, Pages:1-32

davey A, Zheng H, 2021, Deep learning for constrained utility maximisation, Methodology and Computing in Applied Probability, Vol:24, ISSN:1387-5841, Pages:661-692

More Publications