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Author ID: soner.halil-mete Recent zbMATH articles by "Soner, Halil Mete"
Published as: Soner, H. Mete; Soner, Halil Mete; Soner, H. M.; Soner, H. Meté; Soner, Mete
Homepage: https://people.math.ethz.ch/~hmsoner/
External Links: MGP · Wikidata · Math-Net.Ru · dblp · GND · IdRef · theses.fr
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

Publications by Year

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 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
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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. Theory, Methods & Applications. Series A: Theory and Methods
52 Journal of Economic Dynamics & Control
51 Mathematics and Financial Economics
50 International Journal of Theoretical and Applied Finance
48 SIAM Journal on Financial Mathematics
46 Calculus of Variations and Partial Differential Equations
45 Quantitative Finance
44 Journal of Computational and Applied Mathematics
44 Communications in Partial Differential Equations
40 Automatica
37 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
36 SIAM Journal on Mathematical Analysis
35 Journal of Computational Physics
34 Stochastic Analysis and Applications
33 The Annals of Probability
33 Journal of Functional Analysis
33 European Journal of Operational Research
32 NoDEA. Nonlinear Differential Equations and Applications
31 Journal of Industrial and Management Optimization
31 Stochastics
29 Transactions of the American Mathematical Society
29 Systems & Control Letters
24 Journal of Mathematical Economics
24 Mathematical Methods of Operations Research
23 Computers & Mathematics with Applications
23 Applied Mathematics and Computation
22 Communications on Pure and Applied Mathematics
22 Optimal Control Applications & Methods
22 Probability Theory and Related Fields
22 Discrete and Continuous Dynamical Systems
20 Journal of Scientific Computing
20 Applied Mathematical Finance
20 Dynamic Games and Applications
19 Mathematics of Operations Research
19 Japan Journal of Industrial and Applied Mathematics
19 Discrete and Continuous Dynamical Systems. Series B
19 Mathematical Control and Related Fields
19 Nonlinear Analysis. Theory, Methods & Applications
18 Mathematical Problems in Engineering
18 Comptes Rendus. Mathématique. Académie des Sciences, Paris
17 Journal of Statistical Physics
17 Journal of Economic Theory
17 Physica D
17 Journal de Mathématiques Pures et Appliquées. Neuvième Série
16 Communications in Mathematical Physics
16 Mathematische Annalen
16 Annals of Operations Research
16 The Journal of Geometric Analysis
16 Scandinavian Actuarial Journal
16 Differential Equations
16 Probability, Uncertainty and Quantitative Risk
15 Numerische Mathematik
15 Communications in Statistics. Theory and Methods
15 Journal of Mathematical Sciences (New York)
14 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
13 International Journal of Control
13 Electronic Journal of Probability
13 Interfaces and Free Boundaries
13 Journal of the European Mathematical Society (JEMS)
13 Annals of Finance
12 Applied Numerical Mathematics
12 Acta Mathematicae Applicatae Sinica. 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
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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)

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