Halil Mete Soner

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TOUZI NizarEcole PolytechniqueVerified email at polytechnique.edu
Steven ShreveProfessor of Mathematical Sciences, Carnegie Mellon UniversityVerified email at andrew.cmu.edu
Robert JerrardProfessor of Mathematics, University of TorontoVerified email at math.toronto.edu
Yan DolinskyHebrew UniversityVerified email at mail.huji.ac.il
Jianfeng ZhangDepartment of Mathematics, University of Southern CaliforniaVerified email at usc.edu
Luigi AmbrosioScuola Normale Superiore, PisaVerified email at sns.it
Jaksa CvitanicCaltechVerified email at hss.caltech.edu
Suresh SethiUniversity of Texas at DallasVerified email at utdallas.edu
Patrick CheriditoETH ZurichVerified email at math.ethz.ch
A. Max ReppenQuestrom School of BusinessVerified email at bu.edu
Michael Crandallprofessor of mathematics emeritus, university of california, santa barbaraVerified email at math.ucsb.edu
Johannes Muhle-KarbeChair in Mathematical Finance, Imperial College LondonVerified email at imperial.ac.uk
jean-charles rochetUniversity of GenevaVerified email at bf.uzh.ch
Ioannis KaratzasProfessor of Mathematics, Columbia UniversityVerified email at columbia.edu
Umut CetinProfessor in Statistics, LSEVerified email at lse.ac.uk
Albert AltaroviciWaymoVerified email at waymo.com
Darrell DuffieStanford UniversityVerified email at stanford.edu
Marcel NutzDepartment of Statistics, Columbia UniversityVerified email at columbia.edu
Alexandre RochESG UQAM, Finance DepartmentVerified email at uqam.ca
John LehoczkyProfessor of Statistics and Data Science, Carnegie Mellon UniversityVerified email at andrew.cmu.edu

Halil Mete Soner

Department of Operations Research and Financial Engineering, Princeton University

Verified email at princeton.edu - Homepage

Mathematical Finance Stochastic Optimal Control Nonlinear Partial Differential Equations Viscosity Solutions.


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Controlled Markov processes and viscosity solutions WH Fleming, HM Soner Springer Science & Business Media, 2006	5434	2006
Optimal investment and consumption with transaction costs SE Shreve, HM Soner The Annals of Applied Probability, 609-692, 1994	777	1994
Phase transitions and generalized motion by mean curvature LC Evans, HM Soner, PE Souganidis Communications on Pure and Applied Mathematics 45 (9), 1097-1123, 1992	672	1992
Optimal control with state-space constraint I HM Soner SIAM Journal on Control and Optimization 24 (3), 552-561, 1986	519	1986
Front propagation and phase field theory G Barles, HM Soner, PE Souganidis SIAM Journal on Control and Optimization 31 (2), 439-469, 1993	506	1993
Option pricing with transaction costs and a nonlinear Black-Scholes equation G Barles, HM Soner Finance and Stochastics, 1998	443	1998
There is no nontrivial hedging portfolio for option pricing with transaction costs HM Soner, SE Shreve, J Cvitanic The Annals of Applied Probability 5 (2), 327-355, 1995	366	1995
Optimal control with state-space constraint. II HM Soner SIAM journal on control and optimization 24 (6), 1110-1122, 1986	338	1986
Level set approach to mean curvature flow in arbitrary codimension L Ambrosio, HM Soner Journal of differential geometry 43 (4), 693-737, 1996	320	1996
Hedging in incomplete markets with HARA utility D Duffie, W Fleming, HM Soner, T Zariphopoulou Journal of Economic Dynamics and Control 21 (4-5), 753-782, 1997	302	1997
Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs P Cheridito, HM Soner, N Touzi, N Victoir Communications on Pure and Applied Mathematics: A Journal Issued by the …, 2007	293	2007
Wellposedness of second order backward SDEs HM Soner, N Touzi, J Zhang Probability Theory and Related Fields 153 (1), 149-190, 2012	285	2012
Motion of a set by the curvature of its boundary HM Soner Journal of Differential Equations 101 (2), 313-372, 1993	280	1993
The jacobian and the Ginzburg-Landau energy RL Jerrard, HM Soner Calculus of Variations and Partial Differential Equations 14 (2), 151-191, 2002	216	2002
Martingale representation theorem for the G-expectation HM Soner, N Touzi, J Zhang Stochastic Processes and their Applications 121 (2), 265-287, 2011	209	2011
Martingale optimal transport and robust hedging in continuous time Y Dolinsky, HM Soner Probability Theory and Related Fields 160 (1), 391-427, 2014	192	2014
Dynamic programming for stochastic target problems and geometric flows HM Soner, N Touzi Journal of the European Mathematical Society 4 (3), 201-236, 2002	182	2002
Quasi-sure stochastic analysis through aggregation M Soner, N Touzi, J Zhang Electronic Journal of Probability 16, 1844-1879, 2011	173	2011
An optimal stochastic production planning problem with randomly fluctuating demand WH Fleming, SP Sethi, HM Soner SIAM Journal on Control and optimization 25 (6), 1494-1502, 1987	170	1987
Optimal replication of contingent claims under portfolio constraints M Broadie, J Cvitanić, HM Soner The Review of Financial Studies 11 (1), 59-79, 1998	160	1998

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