Harry Zheng

34 papers Journal 31Unranked 3
YearRankTypeTitle / Venue / Authors
2026 J jnl
A Simple Integral Equation Approach for Optimal Investment Stopping Problems with Partial Information.
Math. Oper. Res.
Jie Xing, Jingtang Ma, Harry Zheng
2025 J jnl
Fractional-Boundary-Regularized Deep Galerkin Method for Variational Inequalities in Mixed Optimal Stopping and Control.
CoRR
Yun Zhao, Harry Zheng
2025 J jnl
Mean field analysis of two-party governance: Competition versus cooperation among leaders.
Autom.
Dantong Chu, Kenneth Tsz Hin Ng, Sheung Chi Phillip Yam, Harry Zheng
2025 J jnl
Step-wise Adaptive Integration of Supervised Fine-tuning and Reinforcement Learning for Task-Specific LLMs.
CoRR
Jack Chen, Fazhong Liu, Naruto Liu, Yuhan Luo, Erqu Qin, Harry Zheng, Tian Dong, Haojin Zhu, Yan Meng, Xiao Wang
2024 J jnl
Optimal Investment, Heterogeneous Consumption, and Best Time for Retirement.
Oper. Res.
Hyun Jin Jang, Zuo Quan Xu, Harry Zheng
2023 J jnl
Deep Neural Network Solution for Finite State Mean Field Game with Error Estimation.
Dyn. Games Appl.
Jialiang Luo, Harry Zheng
2023 J jnl
Duality Method for Multidimensional Nonsmooth Constrained Linear Convex Stochastic Control.
J. Optim. Theory Appl.
Engel John C. Dela Vega, Harry Zheng
2023 J jnl
Portfolio Selection, Periodic Evaluations and Risk Taking.
Oper. Res.
Alex S. L. Tse, Harry Zheng
2022 J jnl
Effective Approximation Methods for Constrained Utility Maximization with Drift Uncertainty.
J. Optim. Theory Appl.
Dong-Mei Zhu, Harry Zheng
2021 J jnl
Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems.
SIAM J. Control. Optim.
Tianxiao Wang, Harry Zheng
2021 J jnl
Dynamic Equilibrium of Market Making with Price Competition.
Dyn. Games Appl.
Jialiang Luo, Harry Zheng
2020 J jnl
Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation.
SIAM J. Control. Optim.
Jia-Wen Gu, Shijing Si, Harry Zheng
2020 J jnl
Deep Learning for Constrained Utility Maximisation.
CoRR
Ashley Davey, Harry Zheng
2020 J jnl
Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model.
Eur. J. Oper. Res.
Jingtang Ma, Wenyuan Li, Harry Zheng
2020 J jnl
Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan.
Eur. J. Oper. Res.
Yinghui Dong, Harry Zheng
2019 J jnl
Dynamic Portfolio Optimization with Looping Contagion Risk.
SIAM J. Financial Math.
Longjie Jia, Martijn Pistorius, Harry Zheng
2019 J jnl
Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems.
SIAM J. Control. Optim.
Jingtang Ma, Jie Xing, Harry Zheng
2018 J jnl
Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations.
SIAM J. Control. Optim.
Yusong Li, Harry Zheng
2018 J jnl
Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model.
Math. Oper. Res.
Jia-Wen Gu, Mogens Steffensen, Harry Zheng
2017 J jnl
Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization.
Eur. J. Oper. Res.
Jingtang Ma, Wenyuan Li, Harry Zheng
2017 J jnl
On infectious model for dependent defaults.
Risk Decis. Anal.
Wai-Ki Ching, Jia-Wen Gu, Xiaoyue Li, Tak Kuen Siu, Harry Zheng
2017 J jnl
Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk.
SIAM J. Financial Math.
Yao Tung Huang, Qingshuo Song, Harry Zheng
2014 — conf
A hidden Markov reduced-form risk model.
CIFEr
Jia-Wen Gu, Wai-Ki Ching, Harry Zheng
2014 — conf
On pricing and hedging basket credit derivatives with dependent structure.
CIFEr
Dong-Mei Zhu, Yue Xie, Wai-Ki Ching, Harry Zheng
2014 J jnl
On reduced-form intensity-based model with 'trigger' events.
J. Oper. Res. Soc.
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng
2013 J jnl
On modeling credit defaults: A probabilistic Boolean network approach.
Risk Decis. Anal.
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng
2011 J jnl
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization.
Finance Stochastics
Nicholas Westray, Harry Zheng
2011 J jnl
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems.
SIAM J. Financial Math.
Baojun Bian, Sheng Miao, Harry Zheng
2011 J jnl
The Valuation of the Basket CDS in a Primary-Subsidiary Model.
Asia Pac. J. Oper. Res.
Jianwei Lin, Gechun Liang, Sen Wu, Harry Zheng
2009 J jnl
Basket CDS pricing with interacting intensities.
Finance Stochastics
Harry Zheng, Lishang Jiang
2009 J jnl
Efficient frontier of utility and CVaR.
Math. Methods Oper. Res.
Harry Zheng
2007 J jnl
Macaulay durations for nonparallel shifts.
Ann. Oper. Res.
Harry Zheng
2002 — conf
The duration derby: a comparison of duration based strategies in asset liability management.
CDC
Harry Zheng, Lyn C. Thomas, David Edmund Allen
1998 J jnl
Qualitative Sensitivity Analysis in Monotropic Programming.
Math. Oper. Res.
Antoine Gautier, Frieda Granot, Harry Zheng