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
Davey A, Monoyios M, Zheng H, 2021, Duality for optimal consumption with randomly terminating income, Mathematical Finance, ISSN:0960-1627
Wang T, Zheng H, 2021, Closed-loop equilibrium strategies for general time-inconsistent optimal control problems, Siam Journal on Control and Optimization, ISSN:0363-0129
Ching W, Gu J, Zheng H, 2021, On correlated defaults and incomplete information, Journal of Industrial and Management Optimization, Vol:17, ISSN:1547-5816, Pages:889-908
Gu J-W, Steffensen M, Zheng H, 2021, A note on P- vs. Q-expected loss portfolio constraints, Quantitative Finance, Vol:21, ISSN:1469-7688, Pages:263-270
Luo J, Zheng H, 2020, Dynamic equilibrium of market making with price competition, Dynamic Games and Applications, Vol:11, ISSN:2153-0785, Pages:556-579