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

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

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

Davey A, Monoyios M, Zheng H, 2021, Duality for optimal consumption with randomly terminating income, Mathematical Finance, Vol:31, ISSN:0960-1627, Pages:1275-1314

Cesari R, Zheng H, 2021, Stochastic maximum principle for optimal liquidation with control-dependent terminal time, Applied Mathematics and Optimization, ISSN:0095-4616

Wang T, Zheng H, 2021, Closed-loop equilibrium strategies for general time-inconsistent optimal control problems, Siam Journal on Control and Optimization, Vol:59, ISSN:0363-0129, Pages:3152-3178

More Publications