Harry Zheng

Professor of Mathematics

Email: h.zheng@imperial.ac.uk
Mail: Department of Mathematics, Imperial College, London SW7 2BZ, UK
Tel: +44(0) 20 7594 8539

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Research

Control and optimization, mathematical finance.

Recent refereed journal papers:

• H.J. Jang, Z.Q. Xu, H. Zheng (2024), Optimal Investment, Heterogeneous Consumption and Best Time for Retirement, Operations Research 72, 832-847. (ssrn)
• A. Tse, H. Zheng (2023), Portfolio Selection, Periodic Evaluations and Risk Taking, Operations Research 71, 2078-2091. (ssrn)
• EJC Dela Vega, H. Zheng (2023), Duality Method for Multidimensional Nonsmooth Constrained Linear Convex Stochastic Control, J Optimization, Theory Applications 199, 80-111. (pdf)
• J.L. Luo, H. Zheng (2023), Deep Neural Network Solution for Finite State Mean Field Game with Error Estimation, Dynamic Games Applications 13, 859-896. (pdf)
• A.S.L. Tse, H. Zheng (2023), Speculative Trading, Prospect Theory and Transaction Costs, Finance Stochastics 27, 49-96.(arXiv)

Past papers: list.

Links

Optimization, Economics, SSRN, arXiv.