Imperial College London


Faculty of Natural SciencesDepartment of Mathematics

Professor of Mathematics



+44 (0)20 7594 8539h.zheng Website




6M16Huxley BuildingSouth Kensington Campus





Dr Zheng's research is stochastic control and optimization and financial mathematics.

Dr Zheng's personal web page can be found at



Jang HJ, Jia L, Zheng H, 2020, Why should we invest in CoCos than stocks? An optimal growth portfolio approach, The European Journal of Finance, ISSN:1351-847X

Gu J-W, Steffensen M, Zheng H, A note on P- vs. Q-expected loss portfolio constraints, Quantitative Finance, ISSN:1469-7688

Zheng H, gu J, Si S, 2020, Constrained utility deviation-risk optimization and time-consistent HJB equation, Siam Journal on Control and Optimization, Vol:58, ISSN:0363-0129, Pages:866-894

Dong Y, Zheng H, 2020, Optimal investment with S-shaped utility and trading and value at risk constraints: An application to defined contribution pension plan, European Journal of Operational Research, Vol:281, ISSN:0377-2217, Pages:341-356

Ma J, Li W, Zheng H, 2020, Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model, European Journal of Operational Research, Vol:280, ISSN:0377-2217, Pages:428-440

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