Zobrazeno 1 - 10
of 80
pro vyhledávání: '"Harry Zheng"'
Autor:
Jialiang Luo, Harry Zheng
Publikováno v:
Dynamic Games and Applications.
We discuss the numerical solution to a class of continuous time finite state mean field games. We apply the deep neural network (DNN) approach to solving the fully coupled forward and backward ordinary differential equation system that characterizes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3d1683842d711f4f50beb4d200ccc977
https://doi.org/10.1007/s13235-022-00477-5
https://doi.org/10.1007/s13235-022-00477-5
Autor:
Harry Zheng, Alex S. L. Tse
A speculative agent with prospect theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximise the expected utility of the round-trip profit net of transaction costs. The optimisation problem is formu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::15c138bf16340fb8e8c9238b2b28e7fb
http://hdl.handle.net/10044/1/101207
http://hdl.handle.net/10044/1/101207
Autor:
Tianxiao Wang, Harry Zheng
Publikováno v:
SIAM Journal on Control and Optimization. 59:3152-3178
In this paper we introduce a general framework for time-inconsistent optimal control problems. We characterize the closed-loop equilibrium strategy in both the integral and point wise forms with the newly developed methodology. We recover and improve
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::42b9727a8b3fdaa308413d5f46e0de55
https://doi.org/10.1137/20m1377242
https://doi.org/10.1137/20m1377242
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function. The optima
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cdeed9e0ad59575f23d6a7ee1d2b695d
http://hdl.handle.net/10044/1/97733
http://hdl.handle.net/10044/1/97733
Autor:
M d R De Pinho, Harry Zheng
Publikováno v:
Systems modelling and optimization ISBN: 9780203737422
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4f9243a7ccb31d0b9cba9e5b875d4dfa
https://doi.org/10.1201/9780203737422-21
https://doi.org/10.1201/9780203737422-21
Autor:
Dongmei Zhu, Harry Zheng
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 r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::82fcf165438cf2e49a37918d8180eeb6
http://hdl.handle.net/10044/1/95133
http://hdl.handle.net/10044/1/95133
Autor:
Riccardo Cesari, Harry Zheng
In this paper we study a general optimal liquidation problem with a control-dependent stopping time which is the first time the stock holding becomes zero or a fixed terminal time, whichever comes first. We prove a stochastic maximum principle (SMP)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ece0de01be41fac261e66621650d4f97
http://arxiv.org/abs/2107.08489
http://arxiv.org/abs/2107.08489
We establish a rigorous duality theory, under No Unbounded Profit with Bounded Risk, for an infinite horizon problem of optimal consumption in the presence of an income stream that can terminate randomly at an exponentially distributed time, independ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ff1f952c20882e0ec8409204c4f514c4
http://hdl.handle.net/10044/1/90166
http://hdl.handle.net/10044/1/90166
This study investigates the optimal execution strategy of market-making for market and limit order arrival dynamics under a novel framework that includes a synchronised factor between buy and sell order arrivals. Using statistical tests, we empirical
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::293cc0420c04cc49d46b122d0e973c3e
http://hdl.handle.net/10044/1/92102
http://hdl.handle.net/10044/1/92102
Autor:
Alex S. L. Tse, Harry Zheng
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::08063b4fb5953db29b2a35d515d8ddbb
https://doi.org/10.2139/ssrn.3971852
https://doi.org/10.2139/ssrn.3971852