## 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

### Research

Control
and optimization, mathematical finance.

Recent refereed journal papers:

- J.L. Luo, H. Zheng, Deep Neural Network Solution for Finite State Mean Field Game with Error Estimation,
*Dynamic Games Applications*, forthcoming.
(pdf)
- H.J. Jang, Z.Q. Xu, H. Zheng, Optimal Investment, Heterogeneous Consumption and Best Time for Retirement,
*Operations Research*, forthcoming.
(ssrn)
- A.S.L. Tse, H. Zheng (2023), Speculative Trading, Prospect Theory and Transaction Costs,
*Finance Stochastics* 27, 49-96.(arXiv)
- D. Zhu, H. Zheng (2022), Effective Approximation Methods
for Constrained Utility Maximization with Drift Uncertainty,
*J
Optimization, Theory Applications* 194, 191-219. (pdf)
- R. Cesari, H. Zheng (2022), Stochastic Maximum Principle
for Optimal Liquidation with Control-Dependent Terminal Time,
*Applied
Mathematics and Optimization* 85:30, 1-32. (arXiv)
- A. Davey, H. Zheng (2022), Deep Learning for Constrained
Utility Maximisation,
*Methodology and Computing in Applied Probability*
24, 661-692. (arXiv)

Past
papers: list.

### Links

Optimization, Economics, SSRN, arXiv.