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:
- Z. Cheng, J.W. Gu, H. Zheng
(2025), Pairs trading with stock borrowing fee, Quantitative Finance, forthcoming.
- Z. Feng, D. Tian, H. Zheng
(2025), Consumption-investment optimization with Epstein-Zin utility in unbounded non-Markovian markets, Stochastic Processes and Their Applications, forthcoming.
(arXiv)
- K.C. Wong, S.C.P. Yam, H. Yang, H. Zheng
(2025), Weak Convergence of Utility-Risk Portfolios, Mathematical Control and Related Fields, forthcoming.
(pdf)
- J. Xing, J. Ma, H. Zheng (2025), A Simple Integral Equation Approach for Optimal Investment Stopping Problems with Partial Information, Mathematics of Operations Research, forthcoming.
(pdf)
- A. Davey, H. Zheng (2025), S Shaped Utility Maximisation with a Random Reference Point, Communications in Optimization Theory, forthcoming.
(arXiv)
- D. Chu, K.T.H. Ng, S.C.P. Yam, H. Zheng (2025), Mean Field Analysis of Two-Party Governance: Competition versus Cooperation among Leaders, Automatica 173, 112028.
(arXiv)
Past
papers: list.
Links
Optimization, Economics, SSRN, arXiv.