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

Tse ASL, Zheng H, 2023, Portfolio selection, periodic evaluations and risk taking, Operations Research, Vol:71, ISSN:0030-364X, Pages:2078-2091

Dela Vega EJ, Zheng H, 2023, Duality method for multidimensional nonsmooth constrained linear convex stochastic control, Journal of Optimization Theory and Applications, Vol:199, ISSN:0022-3239, Pages:80-111

jialiang L, Zheng H, 2023, Deep neural network solution for finite state mean field game with error estimation, Dynamic Games and Applications, Vol:13, ISSN:2153-0785, Pages:859-896

Tse ASL, Zheng H, 2022, Speculative trading, prospect theory and transaction costs, Finance and Stochastics, Vol:27, ISSN:0949-2984, Pages:49-96

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

More Publications