Summary
Dr Zheng's research is stochastic control and optimization and financial mathematics.
Dr Zheng's personal web page can be found at http://www.ma.ic.ac.uk/~hz
Selected Publications
Journal Articles
Zheng H, Jiang L, 2009, Basket CDS pricing with interacting intensities, Finance and Stochastics, Vol:13, ISSN:0949-2984, Pages:445-469
Czichowsky C, Westray N, Zheng H, 2011, Convergence in the Semimartingale Topology and Constrained Portfolios, Lecture Notes in Mathematics, Vol:2006, ISSN:0075-8434, Pages:395-412
Vinter, R.B., Zheng, H., 1997, Necessary Conditions for Optimal Control Problems with State Constraints, Trans.american Mathematical Society
Westray N, Zheng H, 2011, Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization, Finance and Stochastics, Vol:15, ISSN:0949-2984, Pages:501-512
Bian B, Miao S, Zheng H, 2011, Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems, SIAM Journal on Financial Mathematics, Vol:2, ISSN:1945-497X, Pages:727-747