Edit Profile (opens in new tab) Soner, Halil Mete Co-Author Distance Author ID: soner.halil-mete Published as: Soner, H. Mete; Soner, Halil Mete; Soner, H. M.; Soner, H. Meté; Soner, Mete more...less Homepage: https://people.math.ethz.ch/~hmsoner/ External Links: MGP · Wikidata · Math-Net.Ru · dblp · GND · IdRef · theses.fr Documents Indexed: 125 Publications since 1985, including 3 Books and 5 Additional arXiv Preprints 2 Contributions as Editor Co-Authors: 76 Co-Authors with 111 Joint Publications 2,027 Co-Co-Authors all top 5 Co-Authors 16 single-authored 23 Touzi, Nizar 9 Jerrard, Robert Leon 8 Dolinsky, Yan 7 Shreve, Steven E. 6 Fleming, Wendell Helms 5 Cannarsa, Piermarco 5 Reppen, Anders Max 5 Zhang, Jianfeng 4 Ambrosio, Luigi 4 Cheridito, Patrick 4 Souganidis, Panagiotis E. 4 Tissot-Daguette, Valentin 3 Baldo, Sisto 3 Bouchard, Bruno 3 Gökay, Selim 3 Orlandi, Giandomenico 3 Sethi, Suresh P. 2 Akyildirim, Erdinç 2 Altarovici, Albert 2 Barles, Guy 2 Bentahar, Imen 2 Berger, Marc A. 2 Burzoni, Matteo 2 Chebbi, Souhail 2 Cvitanić, Jakša 2 Gozzi, Fausto 2 Gurtin, Morton Edward 2 Höfer, Felix 2 Moreau, Ludovic 2 Muhle-Karbe, Johannes 2 Nutz, Marcel 2 Possamaï, Dylan 2 Roch, Alexandre F. 2 Rochet, Jean-Charles 2 Vukelja, Mirjana 2 Yan, Qinxin 2 Žitković, Gordan 1 Bank, Peter 1 Barnsley, Michael Fielding 1 Bonnisseau, Jean-Marc 1 Carmona, René A. 1 Çetin, Umut 1 Cormier, Quentin 1 Duffie, James Darrell 1 Dupuis, Paul G. 1 Egriboyun, Feyzullah 1 Ekren, Ibrahim 1 Evans, Lawrence Craig 1 Güney, İbrahim Ethem 1 Hongler, Max-Olivier 1 Ignazio, Vincenzo 1 Ishii, Hitoshi 1 Ishii, Katsuyuki 1 Jiang, Jiong 1 Karatzas, Ioannis 1 Keppo, Jussi 1 Kiiski, Matti 1 Lehoczky, John P. 1 Loeper, Grégoire 1 Øksendal, Bernt Karsten 1 Ouerdiane, Habib 1 Ounaies, Senda 1 Prömel, David J. 1 Reitich, Fernando 1 Reppen, Max 1 Riedel, Frank 1 Sheu, Shuenn-Jyi 1 Shkolnikov, Mykhaylo 1 Streit, Ludwig 1 Taksar, Michael I. 1 Victoir, Nicolas B. 1 Voß, Moritz 1 Xu, Ganlin 1 Zariphopoulou, Thaleia 1 Zhang, Qing 1 Zhou, Chao all top 5 Serials 17 SIAM Journal on Control and Optimization 7 Finance and Stochastics 6 Mathematical Finance 5 Applied Mathematics and Optimization 5 The Annals of Applied Probability 5 Communications in Partial Differential Equations 4 Archive for Rational Mechanics and Analysis 4 Mathematics of Operations Research 4 Stochastic Processes and their Applications 3 The Annals of Probability 2 Communications on Pure and Applied Mathematics 2 Annali della Scuola Normale Superiore di Pisa. Classe di Scienze. Serie IV 2 Journal of Differential Equations 2 Journal of Functional Analysis 2 Journal of Optimization Theory and Applications 2 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire 2 Probability Theory and Related Fields 2 The Journal of Geometric Analysis 2 Mathematical Methods of Operations Research 2 Nonlinear Analysis. Real World Applications 2 Stochastics 2 SIAM Journal on Financial Mathematics 1 Communications in Mathematical Physics 1 Journal of Computational Physics 1 Stochastics 1 Econometrica 1 Indiana University Mathematics Journal 1 Journal of Differential Geometry 1 Journal of Mathematical Economics 1 Mathematische Annalen 1 Quarterly of Applied Mathematics 1 Journal of Economic Dynamics & Control 1 Journal of Theoretical Probability 1 Asymptotic Analysis 1 Proceedings of the Royal Society of Edinburgh. Section A. Mathematics 1 SIAM Journal on Mathematical Analysis 1 Calculus of Variations and Partial Differential Equations 1 Electronic Journal of Probability 1 Comptes Rendus de l’Académie des Sciences. Série I. Mathématique 1 International Journal of Theoretical and Applied Finance 1 Journal of the European Mathematical Society (JEMS) 1 Probability in the Engineering and Informational Sciences 1 Journal of Industrial and Management Optimization 1 Stochastic Modelling and Applied Probability 1 Mathematics and Financial Economics 1 Communications in Applied and Industrial Mathematics 1 Nonlinear Analysis. Theory, Methods & Applications 1 Applications of Mathematics all top 5 Fields 58 Probability theory and stochastic processes (60-XX) 58 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 54 Partial differential equations (35-XX) 48 Calculus of variations and optimal control; optimization (49-XX) 35 Systems theory; control (93-XX) 15 Operations research, mathematical programming (90-XX) 5 Differential geometry (53-XX) 5 Statistical mechanics, structure of matter (82-XX) 4 Computer science (68-XX) 3 Classical thermodynamics, heat transfer (80-XX) 2 General and overarching topics; collections (00-XX) 2 Ordinary differential equations (34-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Integral equations (45-XX) 2 Numerical analysis (65-XX) 2 Mechanics of deformable solids (74-XX) 2 Fluid mechanics (76-XX) 1 Real functions (26-XX) 1 Approximations and expansions (41-XX) 1 Functional analysis (46-XX) 1 Mechanics of particles and systems (70-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 113 Publications have been cited 5,371 times in 3,798 Documents Cited by ▼ Year ▼ Controlled Markov processes and viscosity solutions. 2nd ed. Zbl 1105.60005 Fleming, Wendell H.; Soner, H. Mete 861 2006 Controlled Markov processes and viscosity solutions. Zbl 0773.60070 Fleming, Wendell H.; Soner, H. Mete 704 1993 Phase transitions and generalized motion by mean curvature. Zbl 0801.35045 Evans, L. C.; Soner, H. M.; Souganidis, P. E. 282 1992 Optimal investment and consumption with transaction costs. Zbl 0813.60051 Shreve, S. E.; Soner, H. M. 201 1994 Optimal control with state-space constraint. I. Zbl 0597.49023 Soner, Halil Mete 198 1986 Front propagation and phase field theory. Zbl 0785.35049 Barles, G.; Soner, H. M.; Souganidis, P. E. 156 1993 Wellposedness of second order backward SDEs. Zbl 1252.60056 Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 152 2012 Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051 Barles, Guy; Soner, Halil Mete 127 1998 Optimal control with state-space constraint. II. Zbl 0619.49013 Soner, Halil Mete 124 1986 Martingale representation theorem for the \(G\)-expectation. Zbl 1228.60070 Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 119 2011 The Jacobian and the Ginzburg-Landau energy. Zbl 1034.35025 Jerrard, Robert L.; Soner, Halil Mete 119 2002 Martingale optimal transport and robust hedging in continuous time. Zbl 1305.91215 Dolinsky, Yan; Soner, H. Mete 117 2014 Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062 Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas 116 2007 Level set approach to mean curvature flow in arbitrary codimension. Zbl 0868.35046 Ambrosio, Luigi; Soner, Halil Mete 95 1996 Motion of a set by the curvature of its boundary. Zbl 0769.35070 Soner, Halil Mete 84 1993 Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062 Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 74 2011 There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012 Soner, H. M.; Shreve, S. E.; Cvitanić, J. 73 1995 Dynamics of Ginzburg-Landau vortices. Zbl 0923.35167 Jerrard, Robert Leon; Soner, Halil Mete 68 1998 Hedging in incomplete markets with HARA utility. Zbl 0899.90026 Duffie, Darrell; Fleming, Wendell; Soner, H. Mete; Zariphopoulou, Thaleia 68 1997 Dual formulation of second order target problems. Zbl 1293.60063 Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 63 2013 Dynamic programming for stochastic target problems and geometric flows. Zbl 1003.49003 Soner, H. Mete; Touzi, Nizar 56 2002 Regularity of the value function for a two-dimensional singular stochastic control problem. Zbl 0685.93076 Soner, H. Mete; Shreve, Steven E. 52 1989 Functions of bounded higher variation. Zbl 1057.49036 Jerrard, R. L.; Soner, H. M. 49 2002 Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019 Soner, H. Mete; Touzi, Nizar 44 2002 A measure theoretic approach to higher codimension mean curvature flows. Zbl 1043.35136 Ambrosio, Luigi; Soner, Halil Mete 44 1997 Robust hedging with proportional transaction costs. Zbl 1304.91189 Dolinsky, Yan; Soner, H. Mete 41 2014 Hedging with temporary price impact. Zbl 1409.91226 Bank, Peter; Soner, H. Mete; Voß, Moritz 40 2017 Option hedging for small investors under liquidity costs. Zbl 1226.91072 Çetin, Umut; Soner, H. Mete; Touzi, Nizar 37 2010 Superhedging and dynamic risk measures under volatility uncertainty. Zbl 1263.91026 Nutz, Marcel; Soner, H. Mete 37 2012 Homogenization and asymptotics for small transaction costs. Zbl 1280.91158 Soner, H. Mete; Touzi, Nizar 35 2013 Martingale optimal transport in the Skorokhod space. Zbl 1337.91092 Dolinsky, Yan; Soner, H. Mete 34 2015 Asymptotic expansions for Markov processes with Lévy generators. Zbl 0713.60085 Fleming, W. H.; Soner, H. M. 34 1989 Convergence of the phase-field equations to the Mullins-Sekerka problem with kinetic undercooling. Zbl 0829.73010 Soner, H. Mete 31 1995 Backward stochastic differential equations with constraints on the gains-process. Zbl 0935.60039 Cvitanić, Jakša; Karatzas, Ioannis; Soner, H. Mete 31 1998 An optimal stochastic production planning problem with randomly fluctuating demand. Zbl 0635.93077 Fleming, W. H.; Sethi, S. P.; Soner, H. M. 30 1987 Singularities and uniqueness of cylindrically symmetric surfaces moving by mean curvature. Zbl 0804.53006 Soner, H. M.; Souganidis, P. E. 29 1993 Optimal control of jump-Markov processes and viscosity solutions. Zbl 0850.93889 Soner, Halil Mete 29 1988 On the singularities of the viscosity solutions to Hamilton-Jacobi- Bellman equations. Zbl 0612.70016 Cannarsa, Piermarco; Soner, Halil Mete 29 1987 Limiting behavior of the Ginzburg-Landau functional. Zbl 1028.49015 Jerrard, Robert L.; Soner, Halil Mete 28 2002 Ginzburg-Landau equation and motion by mean curvature. I: Convergence. Zbl 0935.35060 Soner, Halil Mete 27 1997 Superreplication under gamma constraints. Zbl 0960.91036 Soner, H. Mete; Touzi, Nizar 27 2000 Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144 Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar 27 2015 Generalized one-sided estimates for solutions of Hamilton-Jacobi equations and applications. Zbl 0681.49030 Cannarsa, Piermarco; Soner, Halil Mete 26 1989 A free boundary problem related to singular stochastic control: The parabolic case. Zbl 0746.35058 Soner, H. M.; Shreve, S. E. 24 1991 Viscosity solutions for controlled McKean-Vlasov jump-diffusions. Zbl 1472.49054 Burzoni, Matteo; Ignazio, Vincenzo; Reppen, A. Max; Soner, H. M. 24 2020 On the Hamilton-Jacobi-Bellmann equations in Banach spaces. Zbl 0622.49010 Soner, H. Mete 24 1988 Trading with small price impact. Zbl 1541.91230 Moreau, Ludovic; Muhle-Karbe, Johannes; Soner, H. Mete 24 2017 On the propagation of singularities of semi-convex functions. Zbl 0874.49041 Ambrosio, L.; Cannarsa, P.; Soner, H. M. 23 1993 Duality and convergence for binomial markets with friction. Zbl 1277.91157 Dolinsky, Yan; Soner, Halil Mete 23 2013 A viscosity solution approach to the asymptotic analysis of queueing systems. Zbl 0715.60035 Dupuis, Paul; Ishii, Hitoshi; Soner, H. Meté 23 1990 Asymptotics for fixed transaction costs. Zbl 1336.91062 Altarovici, Albert; Muhle-Karbe, Johannes; Soner, Halil Mete 22 2015 Weak approximation of \(G\)-expectations. Zbl 1259.60073 Dolinsky, Yan; Nutz, Marcel; Soner, H. Mete 22 2012 The multi-dimensional super-replication problem under gamma constraints. Zbl 1078.91010 Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar 21 2005 Scaling limits and regularity results for a class of Ginzburg-Landau systems. Zbl 0944.35006 Jerrard, Robert L.; Soner, Halil Mete 21 1999 A stochastic representation for mean curvature type geometric flows. Zbl 1080.60076 Soner, H. Mete; Touzi, Nizar 20 2003 Ginzburg-Landau equation and motion by mean curvature. II: Development of the initial interface. Zbl 0935.35061 Soner, Halil Mete 17 1997 A stochastic representation for the level set equations. Zbl 1036.49010 Soner, H. Mete; Touzi, Nizar 17 2002 Vortex density models for superconductivity and superfluidity. Zbl 1269.82070 Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M. 16 2013 Martingale optimal transport duality. Zbl 1462.49072 Cheridito, Patrick; Kiiski, Matti; Prömel, David J.; Soner, Halil Mete 16 2021 Liquidity models in continuous and discrete time. Zbl 1230.91201 Gökay, Selim; Roch, Alexandre F.; Soner, H. Mete 15 2011 Liquidity in a binomial market. Zbl 1277.91170 Gökay, Selim; Soner, Halil Mete 15 2012 Resilient price impact of trading and the cost of illiquidity. Zbl 1295.91047 Roch, Alexandre; Soner, H. Mete 15 2013 Convergence of Ginzburg-Landau functionals in three-dimensional superconductivity. Zbl 1255.35201 Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M. 15 2012 Anisotropic motion of an interface relaxed by the formation of infinitesimal wrinkles. Zbl 0828.35054 Gurtin, M. E.; Soner, H. M.; Souganidis, P. E. 14 1995 The dynamic programming equation for second order stochastic target problems. Zbl 1229.91324 Soner, H. Mete; Touzi, Nizar 14 2009 Regularity and convergence of crystalline motion. Zbl 0963.35082 Ishii, Katsuyuki; Soner, Halil Mete 13 1999 Heavy traffic convergence of a controlled, multiclass queueing system. Zbl 0866.90061 Martins, L. F.; Shreve, S. E.; Soner, H. M. 13 1996 Optimal consumption and investment with fixed and proportional transaction costs. Zbl 1372.49031 Altarovici, Albert; Reppen, Max; Soner, H. Mete 13 2017 A boundary-value problem for Hamilton-Jacobi equations in Hilbert spaces. Zbl 0745.49025 Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete 12 1991 Optimal dividend policy with random interest rates. Zbl 1296.91274 Akyildirim, Erdinç; Güney, I. Ethem; Rochet, Jean-Charles; Soner, H. Mete 11 2014 A dynamic programming approach to nonlinear boundary control problems of parabolic type. Zbl 0823.49017 Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete 11 1993 Viability and arbitrage under Knightian uncertainty. Zbl 1475.91371 Burzoni, Matteo; Riedel, Frank; Soner, H. Mete 11 2021 Optimal dividend policies with random profitability. Zbl 1508.91483 Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete 11 2020 Turnpike sets and their analysis in stochastic production planning problems. Zbl 0770.90030 Sethi, S.; Soner, H. M.; Zhang, Q.; Jiang, J. 10 1992 Three-phase boundary motions under constant velocities. I: The vanishing surface tension limit. Zbl 0861.35122 Reitich, Fernando; Soner, H. Mete 9 1996 Controlled Markov processes, viscosity solutions and applications to mathematical finance. Zbl 0889.35127 Soner, Halil Mete 9 1997 Approximating stochastic volatility by recombinant trees. Zbl 1329.60248 Akyıldırım, Erdinç; Dolinsky, Yan; Soner, H. Mete 9 2014 An asymptotic analysis of hierarchical control of manufacturing systems under uncertainty. Zbl 0742.90037 Lehoczky, John; Sethi, Suresh P.; Soner, H. M.; Taksar, Michael I. 8 1991 Singular perturbations in manufacturing. Zbl 0778.90019 Soner, H. Mete 8 1993 Optimal investment and consumption with two bonds and transaction costs. Zbl 0900.90049 Shreve, S. E.; Soner, H. M.; Xu, G.-L. 8 1991 Rectifiability of the distributional Jacobian for a class of functions. Zbl 0946.49033 Jerrard, Robert Leon; Soner, Halil Mete 8 1999 Constrained optimal transport. Zbl 1408.49030 Ekren, Ibrahim; Soner, H. Mete 8 2018 Stochastic representations for nonlinear parabolic PDEs. Zbl 1193.60079 Soner, H. Mete 8 2007 Merton problem with taxes: characterization, computation, and approximation. Zbl 1230.91166 Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar 8 2010 A remark on the large deviations of an ergodic Markov process. Zbl 0638.60036 Fleming, W. H.; Sheu, S.-J.; Soner, H. M. 7 1987 A free boundary problem related to singular stochastic control. Zbl 0733.93083 Shreve, S. E.; Soner, H. M. 7 1990 The dynamic programming equation for the problem of optimal investment under capital gains taxes. Zbl 1147.91023 Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar 7 2007 Small time path behavior of double stochastic integrals and applications to stochastic control. Zbl 1099.60027 Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar 6 2005 Optimal control of a one-dimensional storage process. Zbl 0572.90021 Soner, Halil Mete 6 1985 Hedging under an expected loss constraint with small transaction costs. Zbl 1345.60030 Bouchard, Bruno; Moreau, Ludovic; Soner, H. Mete 6 2016 Mixing Markov chains and their images. Zbl 1134.68576 Barnsley, Michael F.; Berger, Marc A.; Soner, H. Meté 5 1988 Convex duality with transaction costs. Zbl 1414.91370 Dolinsky, Yan; Soner, H. Mete 5 2017 Facelifting in utility maximization. Zbl 1369.91164 Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan 4 2016 Utility maximization in an illiquid market. Zbl 1284.91193 Soner, H. Mete; Vukelja, M. 4 2013 Stochastic optimal control in finance. Zbl 1073.91041 Soner, H. Mete 4 2004 Hedging under gamma constraints by optimal stopping and face-lifting. Zbl 1278.91151 Soner, H. Mete; Touzi, Nizar 4 2007 Synchronization in a Kuramoto mean field game. Zbl 1527.35427 Carmona, Rene; Cormier, Quentin; Soner, H. Mete 4 2023 Hedging in an illiquid binomial market. Zbl 1293.91189 Gökay, Selim; Soner, Halil Mete 3 2014 Flow by mean curvature of surfaces of any codimension. Zbl 0878.35053 Ambrosio, Luigi; Soner, Halil Mete 3 1996 Front propagation. Zbl 0914.35065 Soner, Halil Mete 3 1998 Viscosity solutions for McKean-Vlasov control on a torus. Zbl 1534.35404 Soner, H. Mete; Yan, Qinxin 3 2024 Viscosity solutions of the eikonal equation on the Wasserstein space. Zbl 1542.35391 Soner, H. Mete; Yan, Qinxin 1 2024 Synchronization in a Kuramoto mean field game. Zbl 1527.35427 Carmona, Rene; Cormier, Quentin; Soner, H. Mete 4 2023 Deep empirical risk minimization in finance: looking into the future. Zbl 1522.91312 Reppen, Anders Max; Soner, Halil Mete 3 2023 Martingale optimal transport duality. Zbl 1462.49072 Cheridito, Patrick; Kiiski, Matti; Prömel, David J.; Soner, Halil Mete 16 2021 Viability and arbitrage under Knightian uncertainty. Zbl 1475.91371 Burzoni, Matteo; Riedel, Frank; Soner, H. Mete 11 2021 Viscosity solutions for controlled McKean-Vlasov jump-diffusions. Zbl 1472.49054 Burzoni, Matteo; Ignazio, Vincenzo; Reppen, A. Max; Soner, H. M. 24 2020 Optimal dividend policies with random profitability. Zbl 1508.91483 Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete 11 2020 Conditional Davis pricing. Zbl 1461.91316 Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan 1 2020 Second-order stochastic target problems with generalized market impact. Zbl 1430.91106 Bouchard, Bruno; Loeper, Grégoire; Soner, Halil Mete; Zhou, Chao 3 2019 Constrained optimal transport. Zbl 1408.49030 Ekren, Ibrahim; Soner, H. Mete 8 2018 Hedging with temporary price impact. Zbl 1409.91226 Bank, Peter; Soner, H. Mete; Voß, Moritz 40 2017 Trading with small price impact. Zbl 1541.91230 Moreau, Ludovic; Muhle-Karbe, Johannes; Soner, H. Mete 24 2017 Optimal consumption and investment with fixed and proportional transaction costs. Zbl 1372.49031 Altarovici, Albert; Reppen, Max; Soner, H. Mete 13 2017 Convex duality with transaction costs. Zbl 1414.91370 Dolinsky, Yan; Soner, H. Mete 5 2017 Hedging under an expected loss constraint with small transaction costs. Zbl 1345.60030 Bouchard, Bruno; Moreau, Ludovic; Soner, H. Mete 6 2016 Facelifting in utility maximization. Zbl 1369.91164 Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan 4 2016 Utility maximization in an illiquid market in continuous time. Zbl 1371.91169 Soner, H. Mete; Vukelja, Mirjana 3 2016 Martingale optimal transport in the Skorokhod space. Zbl 1337.91092 Dolinsky, Yan; Soner, H. Mete 34 2015 Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144 Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar 27 2015 Asymptotics for fixed transaction costs. Zbl 1336.91062 Altarovici, Albert; Muhle-Karbe, Johannes; Soner, Halil Mete 22 2015 Martingale optimal transport and robust hedging in continuous time. Zbl 1305.91215 Dolinsky, Yan; Soner, H. Mete 117 2014 Robust hedging with proportional transaction costs. Zbl 1304.91189 Dolinsky, Yan; Soner, H. Mete 41 2014 Optimal dividend policy with random interest rates. Zbl 1296.91274 Akyildirim, Erdinç; Güney, I. Ethem; Rochet, Jean-Charles; Soner, H. Mete 11 2014 Approximating stochastic volatility by recombinant trees. Zbl 1329.60248 Akyıldırım, Erdinç; Dolinsky, Yan; Soner, H. Mete 9 2014 Hedging in an illiquid binomial market. Zbl 1293.91189 Gökay, Selim; Soner, Halil Mete 3 2014 Dual formulation of second order target problems. Zbl 1293.60063 Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 63 2013 Homogenization and asymptotics for small transaction costs. Zbl 1280.91158 Soner, H. Mete; Touzi, Nizar 35 2013 Duality and convergence for binomial markets with friction. Zbl 1277.91157 Dolinsky, Yan; Soner, Halil Mete 23 2013 Vortex density models for superconductivity and superfluidity. Zbl 1269.82070 Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M. 16 2013 Resilient price impact of trading and the cost of illiquidity. Zbl 1295.91047 Roch, Alexandre; Soner, H. Mete 15 2013 Utility maximization in an illiquid market. Zbl 1284.91193 Soner, H. Mete; Vukelja, M. 4 2013 Merton problem in a discrete market with frictions. Zbl 1254.91707 Chebbi, Souhail; Soner, Halil Mete 3 2013 Wellposedness of second order backward SDEs. Zbl 1252.60056 Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 152 2012 Superhedging and dynamic risk measures under volatility uncertainty. Zbl 1263.91026 Nutz, Marcel; Soner, H. Mete 37 2012 Weak approximation of \(G\)-expectations. Zbl 1259.60073 Dolinsky, Yan; Nutz, Marcel; Soner, H. Mete 22 2012 Liquidity in a binomial market. Zbl 1277.91170 Gökay, Selim; Soner, Halil Mete 15 2012 Convergence of Ginzburg-Landau functionals in three-dimensional superconductivity. Zbl 1255.35201 Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M. 15 2012 Large liquidity expansion of super-hedging costs. Zbl 1263.91017 Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar 3 2012 Martingale representation theorem for the \(G\)-expectation. Zbl 1228.60070 Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 119 2011 Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062 Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 74 2011 Liquidity models in continuous and discrete time. Zbl 1230.91201 Gökay, Selim; Roch, Alexandre F.; Soner, H. Mete 15 2011 Option hedging for small investors under liquidity costs. Zbl 1226.91072 Çetin, Umut; Soner, H. Mete; Touzi, Nizar 37 2010 Merton problem with taxes: characterization, computation, and approximation. Zbl 1230.91166 Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar 8 2010 The dynamic programming equation for second order stochastic target problems. Zbl 1229.91324 Soner, H. Mete; Touzi, Nizar 14 2009 Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062 Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas 116 2007 Stochastic representations for nonlinear parabolic PDEs. Zbl 1193.60079 Soner, H. Mete 8 2007 The dynamic programming equation for the problem of optimal investment under capital gains taxes. Zbl 1147.91023 Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar 7 2007 Hedging under gamma constraints by optimal stopping and face-lifting. Zbl 1278.91151 Soner, H. Mete; Touzi, Nizar 4 2007 Controlled Markov processes and viscosity solutions. 2nd ed. Zbl 1105.60005 Fleming, Wendell H.; Soner, H. Mete 861 2006 The multi-dimensional super-replication problem under gamma constraints. Zbl 1078.91010 Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar 21 2005 Small time path behavior of double stochastic integrals and applications to stochastic control. Zbl 1099.60027 Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar 6 2005 Stochastic optimal control in finance. Zbl 1073.91041 Soner, H. Mete 4 2004 Stochastic control for a class of random evolution models. Zbl 1056.60035 Hongler, Max-Olivier; Soner, Halil Mete; Streit, Ludwig 3 2004 A stochastic representation for mean curvature type geometric flows. Zbl 1080.60076 Soner, H. Mete; Touzi, Nizar 20 2003 The problem of super-replication under constraints. Zbl 1074.91021 Soner, H. Mete; Touzi, Nizar 3 2003 Variational and dynamic problems for the Ginzburg-Landau functional. Zbl 1056.35002 Soner, Halil Mete 1 2003 The Jacobian and the Ginzburg-Landau energy. Zbl 1034.35025 Jerrard, Robert L.; Soner, Halil Mete 119 2002 Dynamic programming for stochastic target problems and geometric flows. Zbl 1003.49003 Soner, H. Mete; Touzi, Nizar 56 2002 Functions of bounded higher variation. Zbl 1057.49036 Jerrard, R. L.; Soner, H. M. 49 2002 Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019 Soner, H. Mete; Touzi, Nizar 44 2002 Limiting behavior of the Ginzburg-Landau functional. Zbl 1028.49015 Jerrard, Robert L.; Soner, Halil Mete 28 2002 A stochastic representation for the level set equations. Zbl 1036.49010 Soner, H. Mete; Touzi, Nizar 17 2002 Superreplication under gamma constraints. Zbl 0960.91036 Soner, H. Mete; Touzi, Nizar 27 2000 Scaling limits and regularity results for a class of Ginzburg-Landau systems. Zbl 0944.35006 Jerrard, Robert L.; Soner, Halil Mete 21 1999 Regularity and convergence of crystalline motion. Zbl 0963.35082 Ishii, Katsuyuki; Soner, Halil Mete 13 1999 Rectifiability of the distributional Jacobian for a class of functions. Zbl 0946.49033 Jerrard, Robert Leon; Soner, Halil Mete 8 1999 Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051 Barles, Guy; Soner, Halil Mete 127 1998 Dynamics of Ginzburg-Landau vortices. Zbl 0923.35167 Jerrard, Robert Leon; Soner, Halil Mete 68 1998 Backward stochastic differential equations with constraints on the gains-process. Zbl 0935.60039 Cvitanić, Jakša; Karatzas, Ioannis; Soner, H. Mete 31 1998 Front propagation. Zbl 0914.35065 Soner, Halil Mete 3 1998 Hedging in incomplete markets with HARA utility. Zbl 0899.90026 Duffie, Darrell; Fleming, Wendell; Soner, H. Mete; Zariphopoulou, Thaleia 68 1997 A measure theoretic approach to higher codimension mean curvature flows. Zbl 1043.35136 Ambrosio, Luigi; Soner, Halil Mete 44 1997 Ginzburg-Landau equation and motion by mean curvature. I: Convergence. Zbl 0935.35060 Soner, Halil Mete 27 1997 Ginzburg-Landau equation and motion by mean curvature. II: Development of the initial interface. Zbl 0935.35061 Soner, Halil Mete 17 1997 Controlled Markov processes, viscosity solutions and applications to mathematical finance. Zbl 0889.35127 Soner, Halil Mete 9 1997 Level set approach to mean curvature flow in arbitrary codimension. Zbl 0868.35046 Ambrosio, Luigi; Soner, Halil Mete 95 1996 Heavy traffic convergence of a controlled, multiclass queueing system. Zbl 0866.90061 Martins, L. F.; Shreve, S. E.; Soner, H. M. 13 1996 Three-phase boundary motions under constant velocities. I: The vanishing surface tension limit. Zbl 0861.35122 Reitich, Fernando; Soner, H. Mete 9 1996 Flow by mean curvature of surfaces of any codimension. Zbl 0878.35053 Ambrosio, Luigi; Soner, Halil Mete 3 1996 There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012 Soner, H. M.; Shreve, S. E.; Cvitanić, J. 73 1995 Convergence of the phase-field equations to the Mullins-Sekerka problem with kinetic undercooling. Zbl 0829.73010 Soner, H. Mete 31 1995 Anisotropic motion of an interface relaxed by the formation of infinitesimal wrinkles. Zbl 0828.35054 Gurtin, M. E.; Soner, H. M.; Souganidis, P. E. 14 1995 Optimal investment and consumption with transaction costs. Zbl 0813.60051 Shreve, S. E.; Soner, H. M. 201 1994 Controlled Markov processes and viscosity solutions. Zbl 0773.60070 Fleming, Wendell H.; Soner, H. Mete 704 1993 Front propagation and phase field theory. Zbl 0785.35049 Barles, G.; Soner, H. M.; Souganidis, P. E. 156 1993 Motion of a set by the curvature of its boundary. Zbl 0769.35070 Soner, Halil Mete 84 1993 Singularities and uniqueness of cylindrically symmetric surfaces moving by mean curvature. Zbl 0804.53006 Soner, H. M.; Souganidis, P. E. 29 1993 On the propagation of singularities of semi-convex functions. Zbl 0874.49041 Ambrosio, L.; Cannarsa, P.; Soner, H. M. 23 1993 A dynamic programming approach to nonlinear boundary control problems of parabolic type. Zbl 0823.49017 Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete 11 1993 Singular perturbations in manufacturing. Zbl 0778.90019 Soner, H. Mete 8 1993 Phase transitions and generalized motion by mean curvature. Zbl 0801.35045 Evans, L. C.; Soner, H. M.; Souganidis, P. E. 282 1992 Turnpike sets and their analysis in stochastic production planning problems. Zbl 0770.90030 Sethi, S.; Soner, H. M.; Zhang, Q.; Jiang, J. 10 1992 Some remarks on the Stefan problem with surface structure. Zbl 0763.35110 Gurtin, Morton E.; Soner, H. Mete 2 1992 A free boundary problem related to singular stochastic control: The parabolic case. Zbl 0746.35058 Soner, H. M.; Shreve, S. E. 24 1991 A boundary-value problem for Hamilton-Jacobi equations in Hilbert spaces. Zbl 0745.49025 Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete 12 1991 An asymptotic analysis of hierarchical control of manufacturing systems under uncertainty. Zbl 0742.90037 Lehoczky, John; Sethi, Suresh P.; Soner, H. M.; Taksar, Michael I. 8 1991 Optimal investment and consumption with two bonds and transaction costs. Zbl 0900.90049 Shreve, S. E.; Soner, H. M.; Xu, G.-L. 8 1991 A viscosity solution approach to the asymptotic analysis of queueing systems. Zbl 0715.60035 Dupuis, Paul; Ishii, Hitoshi; Soner, H. Meté 23 1990 A free boundary problem related to singular stochastic control. Zbl 0733.93083 Shreve, S. E.; Soner, H. M. 7 1990 ...and 13 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,871 Authors 61 Soner, Halil Mete 40 Touzi, Nizar 34 Bayraktar, Erhan 33 Muhle-Karbe, Johannes 32 Pham, Huyên 29 Bouchard, Bruno 27 Gozzi, Fausto 25 Orlandi, Giandomenico 24 Cannarsa, Piermarco 24 Possamaï, Dylan 24 Yoshioka, Hidekazu 23 Zhang, Jianfeng 22 Barles, Guy 22 Dolinsky, Yan 22 Tan, Xiaolu 21 Giga, Yoshikazu 21 Jerrard, Robert Leon 21 Zhang, Qing 20 Nutz, Marcel 19 Beiglböck, Mathias 19 Zidani, Hasnaa 18 Guo, Junyi 18 Hu, Mingshang 18 Kupper, Michael 17 Cardaliaguet, Pierre 17 Guasoni, Paolo 17 Kurzhanskiĭ, Aleksandr Borisovich 17 Young, Virginia R. 16 Frankowska, Hélène 16 Lions, Pierre-Louis 16 Souganidis, Panagiotis E. 16 Wang, Falei 16 Yang, Hailiang 15 Ferrari, Giorgio 15 Jin, Zhuo 15 Neufeld, Ariel David 15 Novaga, Matteo 15 Smets, Didier 15 Świȩch, Andrzej 14 Bank, Peter 14 Bethuel, Fabrice 14 Ekren, Ibrahim 14 Peng, Shige 14 Yuen, Kam Chuen 13 Bellettini, Giovanni 13 Chen, Xinfu 13 Goreac, Dan 13 Ishii, Hitoshi 13 Josa-Fombellida, Ricardo 13 Liang, Zhibin 13 Rong, Ximin 13 Serfaty, Sylvia 13 Zhou, Chao 12 Bai, Lihua 12 Camilli, Fabio 12 Cesaroni, Annalisa 12 Dai, Min 12 Jakobsen, Espen Robstad 12 Kharroubi, Idris 12 Kunisch, Karl 12 Liu, Zuhan 12 Loeper, Grégoire 12 Nendel, Max 12 Ren, Zhenjie 12 Rincón-Zapatero, Juan Pablo 12 Taksar, Michael I. 12 Yi, Fahuai 12 Zhu, Weiqiu 11 Azcue, Pablo 11 Barron, Emmanuel Nicholas 11 Biagini, Francesca 11 Cox, Alexander Matthew Gordon 11 De Angelis, Tiziano 11 Dupuis, Paul G. 11 Federico, Salvatore 11 Feng, Xiaobing 11 Gomes, Diogo Luís Aguiar 11 Guo, Xin 11 Jeon, Junkee 11 Lin, Yiqing 11 Muler, Nora E. 11 Seifried, Frank Thomas 11 Tangpi, Ludovic 11 Yaegashi, Yuta 10 Atar, Rami 10 Bensoussan, Alain 10 Canevari, Giacomo 10 Ji, Shaolin 10 Mikami, Toshio 10 Obloj, Jan K. 10 Ponsiglione, Marcello 10 Song, Yongsheng 10 Spirn, Daniel P. 10 Zhao, Hui 10 Zhou, Ming 9 Bardi, Martino 9 Bartl, Daniel 9 Belak, Christoph 9 Bian, Baojun 9 Bokanowski, Olivier ...and 3,771 more Authors all top 5 Cited in 453 Serials 117 Stochastic Processes and their Applications 114 SIAM Journal on Control and Optimization 112 Applied Mathematics and Optimization 102 The Annals of Applied Probability 97 Finance and Stochastics 97 Mathematical Finance 79 Insurance Mathematics & Economics 76 Journal of Optimization Theory and Applications 68 Journal of Mathematical Analysis and Applications 65 Archive for Rational Mechanics and Analysis 64 Journal of Differential Equations 59 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 53 Nonlinear Analysis. 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English Series 12 Bernoulli 12 Applied Stochastic Models in Business and Industry 12 Stochastics and Dynamics 11 Annali della Scuola Normale Superiore di Pisa. Classe di Scienze. Serie IV 11 Abstract and Applied Analysis 11 Discrete Dynamics in Nature and Society 10 Advances in Applied Probability 10 Journal of Mathematical Physics 10 Journal of Theoretical Probability 10 MCSS. Mathematics of Control, Signals, and Systems 10 Queueing Systems 10 Methodology and Computing in Applied Probability 10 Journal of Systems Science and Complexity 9 SIAM Journal on Numerical Analysis 9 Optimization 9 Proceedings of the Royal Society of Edinburgh. Section A. Mathematics 9 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 9 Acta Mathematica Sinica. English Series 9 Communications in Contemporary Mathematics 9 Journal of Evolution Equations 9 Decisions in Economics and Finance 9 North American Actuarial Journal 8 Mathematical Methods in the Applied Sciences 8 Mathematics of Computation 8 European Journal of Applied Mathematics 8 International Journal of Computer Mathematics ...and 353 more Serials all top 5 Cited in 53 Fields 1,580 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,294 Probability theory and stochastic processes (60-XX) 1,270 Partial differential equations (35-XX) 1,217 Calculus of variations and optimal control; optimization (49-XX) 1,110 Systems theory; control (93-XX) 429 Numerical analysis (65-XX) 312 Operations research, mathematical programming (90-XX) 172 Differential geometry (53-XX) 154 Statistical mechanics, structure of matter (82-XX) 95 Ordinary differential equations (34-XX) 90 Global analysis, analysis on manifolds (58-XX) 86 Statistics (62-XX) 78 Fluid mechanics (76-XX) 76 Operator theory (47-XX) 76 Mechanics of deformable solids (74-XX) 72 Biology and other natural sciences (92-XX) 63 Computer science (68-XX) 58 Dynamical systems and ergodic theory (37-XX) 50 Real functions (26-XX) 48 Integral equations (45-XX) 41 Mechanics of particles and systems (70-XX) 40 Classical thermodynamics, heat transfer (80-XX) 35 Measure and integration (28-XX) 33 Functional analysis (46-XX) 32 Quantum theory (81-XX) 17 Information and communication theory, circuits (94-XX) 15 Optics, electromagnetic theory (78-XX) 13 Convex and discrete geometry (52-XX) 12 Difference and functional equations (39-XX) 11 Approximations and expansions (41-XX) 7 General and overarching topics; collections (00-XX) 7 Combinatorics (05-XX) 7 General topology (54-XX) 7 Geophysics (86-XX) 6 Potential theory (31-XX) 6 Several complex variables and analytic spaces (32-XX) 5 Functions of a complex variable (30-XX) 5 Integral transforms, operational calculus (44-XX) 4 Geometry (51-XX) 3 History and biography (01-XX) 3 Mathematical logic and foundations (03-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Algebraic topology (55-XX) 1 Number theory (11-XX) 1 Algebraic geometry (14-XX) 1 Nonassociative rings and algebras (17-XX) 1 Category theory; homological algebra (18-XX) 1 Group theory and generalizations (20-XX) 1 Topological groups, Lie groups (22-XX) 1 Special functions (33-XX) 1 Manifolds and cell complexes (57-XX) 1 Relativity and gravitational theory (83-XX) 1 Mathematics education (97-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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