Imperial College London
Professor Harry Zheng

ProfessorHarryZheng

Faculty of Natural Sciences, Department 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

 

Publications

Citation

BibTex format

@article{Zhu:2022:10.1007/s10957-022-02015-0,
author = {Zhu, D and Zheng, H},
doi = {10.1007/s10957-022-02015-0},
journal = {Journal of Optimization Theory and Applications},
pages = {191--219},
title = {Effective approximation methods for constrained utility maximization with drift uncertainty},
url = {http://dx.doi.org/10.1007/s10957-022-02015-0},
volume = {194},
year = {2022}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - In this paper we propose a novel and effective approximation method for finding the value function for general utility maximization with closed convex control constraints and partial information. Using the separation principle and the weak duality relation, we transform the stochastic maximum principle of the fully-observable dual control problem into an equivalenterror minimization stochastic control problem and find the tight lower and upper bounds of the value function and its approximate value. Numerical examples show the goodness and usefulness of the proposed method.
AU  - Zhu,D
AU  - Zheng,H
DO  - 10.1007/s10957-022-02015-0
EP  - 219
PY  - 2022///
SN  - 0022-3239
SP  - 191
TI  - Effective approximation methods for constrained utility maximization with drift uncertainty
T2  - Journal of Optimization Theory and Applications
UR  - http://dx.doi.org/10.1007/s10957-022-02015-0
UR  - http://hdl.handle.net/10044/1/95133
VL  - 194
ER  -
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