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
Publications
Journals
Zhu D, Zheng H, 2022, Effective approximation methods for constrained utility maximization with drift uncertainty, Journal of Optimization Theory and Applications, ISSN:0022-3239
davey A, Zheng H, 2021, Deep learning for constrained utility maximisation, Methodology and Computing in Applied Probability, ISSN:1387-5841
Davey A, Monoyios M, Zheng H, 2021, Duality for optimal consumption with randomly terminating income, Mathematical Finance, Vol:31, ISSN:0960-1627, Pages:1275-1314
Cesari R, Zheng H, 2021, Stochastic maximum principle for optimal liquidation with control-dependent terminal time, Applied Mathematics and Optimization, ISSN:0095-4616
Wang T, Zheng H, 2021, Closed-loop equilibrium strategies for general time-inconsistent optimal control problems, Siam Journal on Control and Optimization, Vol:59, ISSN:0363-0129, Pages:3152-3178