Edit Profile (opens in new tab) Soner, Halil Mete Compute Distance To: Compute 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: 114 Publications since 1985, including 3 Books 2 Contributions as Editor Co-Authors: 69 Co-Authors with 100 Joint Publications 1,820 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 4 Ambrosio, Luigi 4 Cheridito, Patrick 4 Souganidis, Panagiotis E. 4 Zhang, Jianfeng 3 Baldo, Sisto 3 Bouchard, Bruno 3 Gökay, Selim 3 Orlandi, Giandomenico 3 Reppen, A. Max 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 Nutz, Marcel 2 Possamaï, Dylan 2 Roch, Alexandre F. 2 Rochet, Jean-Charles 2 Vukelja, Mirjana 2 Žitković, Gordan 1 Bank, Peter 1 Barnsley, Michael Fielding 1 Bonnisseau, Jean-Marc 1 Çetin, Umut 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 Karatzas, Ioannis 1 Keppo, Jussi 1 Kiiski, Matti 1 Lehoczky, John P. 1 Loeper, Grégoire 1 Moreau, Ludovic 1 Muhle-Karbe, Johannes 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 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 16 SIAM Journal on Control and Optimization 7 Finance and Stochastics 5 The Annals of Applied Probability 4 Archive for Rational Mechanics and Analysis 4 Applied Mathematics and Optimization 4 Mathematics of Operations Research 4 Communications in Partial Differential Equations 4 Stochastic Processes and their Applications 4 Mathematical Finance 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 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 55 Probability theory and stochastic processes (60-XX) 51 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 48 Partial differential equations (35-XX) 40 Calculus of variations and optimal control; optimization (49-XX) 33 Systems theory; control (93-XX) 14 Operations research, mathematical programming (90-XX) 5 Differential geometry (53-XX) 5 Statistical mechanics, structure of matter (82-XX) 2 General and overarching topics; collections (00-XX) 2 Integral equations (45-XX) 2 Classical thermodynamics, heat transfer (80-XX) 1 Real functions (26-XX) 1 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Functional analysis (46-XX) 1 Numerical analysis (65-XX) 1 Computer science (68-XX) 1 Mechanics of particles and systems (70-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 107 Publications have been cited 4,354 times in 3,088 Documents Cited by ▼ Year ▼ Controlled Markov processes and viscosity solutions. Zbl 0773.60070Fleming, Wendell H.; Soner, H. Mete 652 1993 Controlled Markov processes and viscosity solutions. 2nd ed. Zbl 1105.60005Fleming, Wendell H.; Soner, H. Mete 600 2006 Phase transitions and generalized motion by mean curvature. Zbl 0801.35045Evans, L. C.; Soner, H. M.; Souganidis, P. E. 227 1992 Optimal investment and consumption with transaction costs. Zbl 0813.60051Shreve, S. E.; Soner, H. M. 176 1994 Optimal control with state-space constraint. I. Zbl 0597.49023Soner, Halil Mete 162 1986 Front propagation and phase field theory. Zbl 0785.35049Barles, G.; Soner, H. M.; Souganidis, P. E. 139 1993 Wellposedness of second order backward SDEs. Zbl 1252.60056Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 125 2012 Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051Barles, Guy; Soner, Halil Mete 116 1998 Optimal control with state-space constraint. II. Zbl 0619.49013Soner, Halil Mete 99 1986 The Jacobian and the Ginzburg-Landau energy. Zbl 1034.35025Jerrard, Robert L.; Soner, Halil Mete 98 2002 Martingale representation theorem for the \(G\)-expectation. Zbl 1228.60070Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 97 2011 Martingale optimal transport and robust hedging in continuous time. Zbl 1305.91215Dolinsky, Yan; Soner, H. Mete 90 2014 Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas 89 2007 Level set approach to mean curvature flow in arbitrary codimension. Zbl 0868.35046Ambrosio, Luigi; Soner, Halil Mete 85 1996 Motion of a set by the curvature of its boundary. Zbl 0769.35070Soner, Halil Mete 78 1993 There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012Soner, H. M.; Shreve, S. E.; Cvitanić, J. 69 1995 Hedging in incomplete markets with HARA utility. Zbl 0899.90026Duffie, Darrell; Fleming, Wendell; Soner, H. Mete; Zariphopoulou, Thaleia 64 1997 Dynamics of Ginzburg-Landau vortices. Zbl 0923.35167Jerrard, Robert Leon; Soner, Halil Mete 60 1998 Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 59 2011 Dual formulation of second order target problems. Zbl 1293.60063Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 55 2013 Dynamic programming for stochastic target problems and geometric flows. Zbl 1003.49003Soner, H. Mete; Touzi, Nizar 46 2002 Regularity of the value function for a two-dimensional singular stochastic control problem. Zbl 0685.93076Soner, H. Mete; Shreve, Steven E. 43 1989 Functions of bounded higher variation. Zbl 1057.49036Jerrard, R. L.; Soner, H. M. 41 2002 Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019Soner, H. Mete; Touzi, Nizar 37 2002 Option hedging for small investors under liquidity costs. Zbl 1226.91072Çetin, Umut; Soner, H. Mete; Touzi, Nizar 35 2010 A measure theoretic approach to higher codimension mean curvature flows. Zbl 1043.35136Ambrosio, Luigi; Soner, Halil Mete 35 1997 Superhedging and dynamic risk measures under volatility uncertainty. Zbl 1263.91026Nutz, Marcel; Soner, H. Mete 33 2012 Asymptotic expansions for Markov processes with Lévy generators. Zbl 0713.60085Fleming, W. H.; Soner, H. M. 33 1989 Martingale optimal transport in the Skorokhod space. Zbl 1337.91092Dolinsky, Yan; Soner, H. Mete 31 2015 Robust hedging with proportional transaction costs. Zbl 1304.91189Dolinsky, Yan; Soner, H. Mete 30 2014 Convergence of the phase-field equations to the Mullins-Sekerka problem with kinetic undercooling. Zbl 0829.73010Soner, H. Mete 29 1995 An optimal stochastic production planning problem with randomly fluctuating demand. Zbl 0635.93077Fleming, W. H.; Sethi, S. P.; Soner, H. M. 28 1987 Singularities and uniqueness of cylindrically symmetric surfaces moving by mean curvature. Zbl 0804.53006Soner, H. M.; Souganidis, P. E. 27 1993 Hedging with temporary price impact. Zbl 1409.91226Bank, Peter; Soner, H. Mete; Voß, Moritz 27 2017 Superreplication under gamma constraints. Zbl 0960.91036Soner, H. Mete; Touzi, Nizar 26 2000 Backward stochastic differential equations with constraints on the gains-process. Zbl 0935.60039Cvitanić, Jakša; Karatzas, Ioannis; Soner, H. Mete 25 1998 Optimal control of jump-Markov processes and viscosity solutions. Zbl 0850.93889Soner, Halil Mete 23 1988 Homogenization and asymptotics for small transaction costs. Zbl 1280.91158Soner, H. Mete; Touzi, Nizar 23 2013 Limiting behavior of the Ginzburg-Landau functional. Zbl 1028.49015Jerrard, Robert L.; Soner, Halil Mete 23 2002 A viscosity solution approach to the asymptotic analysis of queueing systems. Zbl 0715.60035Dupuis, Paul; Ishii, Hitoshi; Soner, H. Meté 23 1990 Ginzburg-Landau equation and motion by mean curvature. I: Convergence. Zbl 0935.35060Soner, Halil Mete 22 1997 Generalized one-sided estimates for solutions of Hamilton-Jacobi equations and applications. Zbl 0681.49030Cannarsa, Piermarco; Soner, Halil Mete 22 1989 On the propagation of singularities of semi-convex functions. Zbl 0874.49041Ambrosio, L.; Cannarsa, P.; Soner, H. M. 21 1993 The multi-dimensional super-replication problem under gamma constraints. Zbl 1078.91010Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar 21 2005 A free boundary problem related to singular stochastic control: The parabolic case. Zbl 0746.35058Soner, H. M.; Shreve, S. E. 20 1991 Scaling limits and regularity results for a class of Ginzburg-Landau systems. Zbl 0944.35006Jerrard, Robert L.; Soner, Halil Mete 20 1999 Duality and convergence for binomial markets with friction. Zbl 1277.91157Dolinsky, Yan; Soner, Halil Mete 20 2013 Weak approximation of \(G\)-expectations. Zbl 1259.60073Dolinsky, Yan; Nutz, Marcel; Soner, H. Mete 20 2012 Asymptotics for fixed transaction costs. Zbl 1336.91062Altarovici, Albert; Muhle-Karbe, Johannes; Soner, Halil Mete 17 2015 A stochastic representation for mean curvature type geometric flows. Zbl 1080.60076Soner, H. Mete; Touzi, Nizar 16 2003 On the Hamilton-Jacobi-Bellmann equations in Banach spaces. Zbl 0622.49010Soner, H. Mete 16 1988 Ginzburg-Landau equation and motion by mean curvature. II: Development of the initial interface. Zbl 0935.35061Soner, Halil Mete 16 1997 Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar 16 2015 On the singularities of the viscosity solutions to Hamilton-Jacobi- Bellman equations. Zbl 0612.70016Cannarsa, Piermarco; Soner, Halil Mete 16 1987 Liquidity in a binomial market. Zbl 1277.91170Gökay, Selim; Soner, Halil Mete 15 2012 A stochastic representation for the level set equations. Zbl 1036.49010Soner, H. Mete; Touzi, Nizar 14 2002 Vortex density models for superconductivity and superfluidity. Zbl 1269.82070Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M. 13 2013 Anisotropic motion of an interface relaxed by the formation of infinitesimal wrinkles. Zbl 0828.35054Gurtin, M. E.; Soner, H. M.; Souganidis, P. E. 13 1995 A boundary-value problem for Hamilton-Jacobi equations in Hilbert spaces. Zbl 0745.49025Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete 12 1991 Regularity and convergence of crystalline motion. Zbl 0963.35082Ishii, Katsuyuki; Soner, Halil Mete 12 1999 Liquidity models in continuous and discrete time. Zbl 1230.91201Gökay, Selim; Roch, Alexandre F.; Soner, H. Mete 12 2011 The dynamic programming equation for second order stochastic target problems. Zbl 1229.91324Soner, H. Mete; Touzi, Nizar 12 2009 Convergence of Ginzburg-Landau functionals in three-dimensional superconductivity. Zbl 1255.35201Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M. 12 2012 A dynamic programming approach to nonlinear boundary control problems of parabolic type. Zbl 0823.49017Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete 11 1993 Turnpike sets and their analysis in stochastic production planning problems. Zbl 0770.90030Sethi, S.; Soner, H. M.; Zhang, Q.; Jiang, J. 10 1992 Resilient price impact of trading and the cost of illiquidity. Zbl 1295.91047Roch, Alexandre; Soner, H. Mete 10 2013 Heavy traffic convergence of a controlled, multiclass queueing system. Zbl 0866.90061Martins, L. F.; Shreve, S. E.; Soner, H. M. 10 1996 Optimal dividend policy with random interest rates. Zbl 1296.91274Akyildirim, Erdinç; Güney, I. Ethem; Rochet, Jean-Charles; Soner, H. Mete 9 2014 Optimal consumption and investment with fixed and proportional transaction costs. Zbl 1372.49031Altarovici, Albert; Reppen, Max; Soner, H. Mete 9 2017 Three-phase boundary motions under constant velocities. I: The vanishing surface tension limit. Zbl 0861.35122Reitich, Fernando; Soner, H. Mete 9 1996 An asymptotic analysis of hierarchical control of manufacturing systems under uncertainty. Zbl 0742.90037Lehoczky, John; Sethi, Suresh P.; Soner, H. M.; Taksar, Michael I. 8 1991 Rectifiability of the distributional Jacobian for a class of functions. Zbl 0946.49033Jerrard, Robert Leon; Soner, Halil Mete 8 1999 Singular perturbations in manufacturing. Zbl 0778.90019Soner, H. Mete 7 1993 Approximating stochastic volatility by recombinant trees. Zbl 1329.60248Akyıldırım, Erdinç; Dolinsky, Yan; Soner, H. Mete 7 2014 Stochastic representations for nonlinear parabolic PDEs. Zbl 1193.60079Soner, H. Mete 7 2007 Optimal investment and consumption with two bonds and transaction costs. Zbl 0900.90049Shreve, S. E.; Soner, H. M.; Xu, G.-L. 7 1991 Controlled Markov processes, viscosity solutions and applications to mathematical finance. Zbl 0889.35127Soner, Halil Mete 7 1997 Optimal dividend policies with random profitability. Zbl 07200956Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete 7 2020 Small time path behavior of double stochastic integrals and applications to stochastic control. Zbl 1099.60027Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar 6 2005 Mixing Markov chains and their images. Zbl 1134.68576Barnsley, Michael F.; Berger, Marc A.; Soner, H. Meté 5 1988 Hedging under an expected loss constraint with small transaction costs. Zbl 1345.60030Bouchard, Bruno; Moreau, Ludovic; Soner, H. Mete 5 2016 Utility maximization in an illiquid market. Zbl 1284.91193Soner, H. Mete; Vukelja, M. 5 2013 Constrained optimal transport. Zbl 1408.49030Ekren, Ibrahim; Soner, H. Mete 5 2018 Merton problem with taxes: characterization, computation, and approximation. Zbl 1230.91166Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar 5 2010 Optimal control of a one-dimensional storage process. Zbl 0572.90021Soner, Halil Mete 5 1985 The dynamic programming equation for the problem of optimal investment under capital gains taxes. Zbl 1147.91023Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar 4 2007 Hedging under gamma constraints by optimal stopping and face-lifting. Zbl 1278.91151Soner, H. Mete; Touzi, Nizar 4 2007 A remark on the large deviations of an ergodic Markov process. Zbl 0638.60036Fleming, W. H.; Sheu, S.-J.; Soner, H. M. 4 1987 Martingale optimal transport duality. Zbl 1462.49072Cheridito, Patrick; Kiiski, Matti; Prömel, David J.; Soner, Halil Mete 4 2021 Facelifting in utility maximization. Zbl 1369.91164Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan 4 2016 Stochastic optimal control in finance. Zbl 1073.91041Soner, H. Mete 4 2004 Viscosity solutions for controlled McKean-Vlasov jump-diffusions. Zbl 1472.49054Burzoni, Matteo; Ignazio, Vincenzo; Reppen, A. Max; Soner, H. M. 4 2020 Stochastic control for a class of random evolution models. Zbl 1056.60035Hongler, Max-Olivier; Soner, Halil Mete; Streit, Ludwig 3 2004 Utility maximization in an illiquid market in continuous time. Zbl 1371.91169Soner, H. Mete; Vukelja, Mirjana 3 2016 Merton problem in a discrete market with frictions. Zbl 1254.91707Chebbi, Souhail; Soner, Halil Mete 3 2013 Large liquidity expansion of super-hedging costs. Zbl 1263.91017Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar 3 2012 The problem of super-replication under constraints. Zbl 1074.91021Soner, H. Mete; Touzi, Nizar 2 2003 Some remarks on the Stefan problem with surface structure. Zbl 0763.35110Gurtin, Morton E.; Soner, H. Mete 2 1992 Convex duality with transaction costs. Zbl 1414.91370Dolinsky, Yan; Soner, H. Mete 2 2017 Viability and arbitrage under Knightian uncertainty. Zbl 1475.91371Burzoni, Matteo; Riedel, Frank; Soner, H. Mete 2 2021 Martingale optimal transport duality. Zbl 1462.49072Cheridito, Patrick; Kiiski, Matti; Prömel, David J.; Soner, Halil Mete 4 2021 Viability and arbitrage under Knightian uncertainty. Zbl 1475.91371Burzoni, Matteo; Riedel, Frank; Soner, H. Mete 2 2021 Optimal dividend policies with random profitability. Zbl 07200956Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete 7 2020 Viscosity solutions for controlled McKean-Vlasov jump-diffusions. Zbl 1472.49054Burzoni, Matteo; Ignazio, Vincenzo; Reppen, A. Max; Soner, H. M. 4 2020 Second-order stochastic target problems with generalized market impact. Zbl 1430.91106Bouchard, Bruno; Loeper, Grégoire; Soner, Halil Mete; Zhou, Chao 1 2019 Constrained optimal transport. Zbl 1408.49030Ekren, Ibrahim; Soner, H. Mete 5 2018 Hedging with temporary price impact. Zbl 1409.91226Bank, Peter; Soner, H. Mete; Voß, Moritz 27 2017 Optimal consumption and investment with fixed and proportional transaction costs. Zbl 1372.49031Altarovici, Albert; Reppen, Max; Soner, H. Mete 9 2017 Convex duality with transaction costs. Zbl 1414.91370Dolinsky, Yan; Soner, H. Mete 2 2017 Hedging under an expected loss constraint with small transaction costs. Zbl 1345.60030Bouchard, Bruno; Moreau, Ludovic; Soner, H. Mete 5 2016 Facelifting in utility maximization. Zbl 1369.91164Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan 4 2016 Utility maximization in an illiquid market in continuous time. Zbl 1371.91169Soner, H. Mete; Vukelja, Mirjana 3 2016 Martingale optimal transport in the Skorokhod space. Zbl 1337.91092Dolinsky, Yan; Soner, H. Mete 31 2015 Asymptotics for fixed transaction costs. Zbl 1336.91062Altarovici, Albert; Muhle-Karbe, Johannes; Soner, Halil Mete 17 2015 Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar 16 2015 Martingale optimal transport and robust hedging in continuous time. Zbl 1305.91215Dolinsky, Yan; Soner, H. Mete 90 2014 Robust hedging with proportional transaction costs. Zbl 1304.91189Dolinsky, Yan; Soner, H. Mete 30 2014 Optimal dividend policy with random interest rates. Zbl 1296.91274Akyildirim, Erdinç; Güney, I. Ethem; Rochet, Jean-Charles; Soner, H. Mete 9 2014 Approximating stochastic volatility by recombinant trees. Zbl 1329.60248Akyıldırım, Erdinç; Dolinsky, Yan; Soner, H. Mete 7 2014 Hedging in an illiquid binomial market. Zbl 1293.91189Gökay, Selim; Soner, Halil Mete 1 2014 Dual formulation of second order target problems. Zbl 1293.60063Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 55 2013 Homogenization and asymptotics for small transaction costs. Zbl 1280.91158Soner, H. Mete; Touzi, Nizar 23 2013 Duality and convergence for binomial markets with friction. Zbl 1277.91157Dolinsky, Yan; Soner, Halil Mete 20 2013 Vortex density models for superconductivity and superfluidity. Zbl 1269.82070Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M. 13 2013 Resilient price impact of trading and the cost of illiquidity. Zbl 1295.91047Roch, Alexandre; Soner, H. Mete 10 2013 Utility maximization in an illiquid market. Zbl 1284.91193Soner, H. Mete; Vukelja, M. 5 2013 Merton problem in a discrete market with frictions. Zbl 1254.91707Chebbi, Souhail; Soner, Halil Mete 3 2013 Wellposedness of second order backward SDEs. Zbl 1252.60056Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 125 2012 Superhedging and dynamic risk measures under volatility uncertainty. Zbl 1263.91026Nutz, Marcel; Soner, H. Mete 33 2012 Weak approximation of \(G\)-expectations. Zbl 1259.60073Dolinsky, Yan; Nutz, Marcel; Soner, H. Mete 20 2012 Liquidity in a binomial market. Zbl 1277.91170Gökay, Selim; Soner, Halil Mete 15 2012 Convergence of Ginzburg-Landau functionals in three-dimensional superconductivity. Zbl 1255.35201Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M. 12 2012 Large liquidity expansion of super-hedging costs. Zbl 1263.91017Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar 3 2012 Martingale representation theorem for the \(G\)-expectation. Zbl 1228.60070Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 97 2011 Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng 59 2011 Liquidity models in continuous and discrete time. Zbl 1230.91201Gökay, Selim; Roch, Alexandre F.; Soner, H. Mete 12 2011 Option hedging for small investors under liquidity costs. Zbl 1226.91072Çetin, Umut; Soner, H. Mete; Touzi, Nizar 35 2010 Merton problem with taxes: characterization, computation, and approximation. Zbl 1230.91166Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar 5 2010 The dynamic programming equation for second order stochastic target problems. Zbl 1229.91324Soner, H. Mete; Touzi, Nizar 12 2009 Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas 89 2007 Stochastic representations for nonlinear parabolic PDEs. Zbl 1193.60079Soner, H. Mete 7 2007 The dynamic programming equation for the problem of optimal investment under capital gains taxes. Zbl 1147.91023Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar 4 2007 Hedging under gamma constraints by optimal stopping and face-lifting. Zbl 1278.91151Soner, H. Mete; Touzi, Nizar 4 2007 Controlled Markov processes and viscosity solutions. 2nd ed. Zbl 1105.60005Fleming, Wendell H.; Soner, H. Mete 600 2006 The multi-dimensional super-replication problem under gamma constraints. Zbl 1078.91010Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar 21 2005 Small time path behavior of double stochastic integrals and applications to stochastic control. Zbl 1099.60027Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar 6 2005 Stochastic optimal control in finance. Zbl 1073.91041Soner, H. Mete 4 2004 Stochastic control for a class of random evolution models. Zbl 1056.60035Hongler, Max-Olivier; Soner, Halil Mete; Streit, Ludwig 3 2004 A stochastic representation for mean curvature type geometric flows. Zbl 1080.60076Soner, H. Mete; Touzi, Nizar 16 2003 The problem of super-replication under constraints. Zbl 1074.91021Soner, H. Mete; Touzi, Nizar 2 2003 Variational and dynamic problems for the Ginzburg-Landau functional. Zbl 1056.35002Soner, Halil Mete 1 2003 The Jacobian and the Ginzburg-Landau energy. Zbl 1034.35025Jerrard, Robert L.; Soner, Halil Mete 98 2002 Dynamic programming for stochastic target problems and geometric flows. Zbl 1003.49003Soner, H. Mete; Touzi, Nizar 46 2002 Functions of bounded higher variation. Zbl 1057.49036Jerrard, R. L.; Soner, H. M. 41 2002 Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019Soner, H. Mete; Touzi, Nizar 37 2002 Limiting behavior of the Ginzburg-Landau functional. Zbl 1028.49015Jerrard, Robert L.; Soner, Halil Mete 23 2002 A stochastic representation for the level set equations. Zbl 1036.49010Soner, H. Mete; Touzi, Nizar 14 2002 Superreplication under gamma constraints. Zbl 0960.91036Soner, H. Mete; Touzi, Nizar 26 2000 Scaling limits and regularity results for a class of Ginzburg-Landau systems. Zbl 0944.35006Jerrard, Robert L.; Soner, Halil Mete 20 1999 Regularity and convergence of crystalline motion. Zbl 0963.35082Ishii, Katsuyuki; Soner, Halil Mete 12 1999 Rectifiability of the distributional Jacobian for a class of functions. Zbl 0946.49033Jerrard, Robert Leon; Soner, Halil Mete 8 1999 Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051Barles, Guy; Soner, Halil Mete 116 1998 Dynamics of Ginzburg-Landau vortices. Zbl 0923.35167Jerrard, Robert Leon; Soner, Halil Mete 60 1998 Backward stochastic differential equations with constraints on the gains-process. Zbl 0935.60039Cvitanić, Jakša; Karatzas, Ioannis; Soner, H. Mete 25 1998 Front propagation. Zbl 0914.35065Soner, Halil Mete 1 1998 Hedging in incomplete markets with HARA utility. Zbl 0899.90026Duffie, Darrell; Fleming, Wendell; Soner, H. Mete; Zariphopoulou, Thaleia 64 1997 A measure theoretic approach to higher codimension mean curvature flows. Zbl 1043.35136Ambrosio, Luigi; Soner, Halil Mete 35 1997 Ginzburg-Landau equation and motion by mean curvature. I: Convergence. Zbl 0935.35060Soner, Halil Mete 22 1997 Ginzburg-Landau equation and motion by mean curvature. II: Development of the initial interface. Zbl 0935.35061Soner, Halil Mete 16 1997 Controlled Markov processes, viscosity solutions and applications to mathematical finance. Zbl 0889.35127Soner, Halil Mete 7 1997 Level set approach to mean curvature flow in arbitrary codimension. Zbl 0868.35046Ambrosio, Luigi; Soner, Halil Mete 85 1996 Heavy traffic convergence of a controlled, multiclass queueing system. Zbl 0866.90061Martins, L. F.; Shreve, S. E.; Soner, H. M. 10 1996 Three-phase boundary motions under constant velocities. I: The vanishing surface tension limit. Zbl 0861.35122Reitich, Fernando; Soner, H. Mete 9 1996 Flow by mean curvature of surfaces of any codimension. Zbl 0878.35053Ambrosio, Luigi; Soner, Halil Mete 1 1996 There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012Soner, H. M.; Shreve, S. E.; Cvitanić, J. 69 1995 Convergence of the phase-field equations to the Mullins-Sekerka problem with kinetic undercooling. Zbl 0829.73010Soner, H. Mete 29 1995 Anisotropic motion of an interface relaxed by the formation of infinitesimal wrinkles. Zbl 0828.35054Gurtin, M. E.; Soner, H. M.; Souganidis, P. E. 13 1995 Optimal investment and consumption with transaction costs. Zbl 0813.60051Shreve, S. E.; Soner, H. M. 176 1994 Controlled Markov processes and viscosity solutions. Zbl 0773.60070Fleming, Wendell H.; Soner, H. Mete 652 1993 Front propagation and phase field theory. Zbl 0785.35049Barles, G.; Soner, H. M.; Souganidis, P. E. 139 1993 Motion of a set by the curvature of its boundary. Zbl 0769.35070Soner, Halil Mete 78 1993 Singularities and uniqueness of cylindrically symmetric surfaces moving by mean curvature. Zbl 0804.53006Soner, H. M.; Souganidis, P. E. 27 1993 On the propagation of singularities of semi-convex functions. Zbl 0874.49041Ambrosio, L.; Cannarsa, P.; Soner, H. M. 21 1993 A dynamic programming approach to nonlinear boundary control problems of parabolic type. Zbl 0823.49017Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete 11 1993 Singular perturbations in manufacturing. Zbl 0778.90019Soner, H. Mete 7 1993 Phase transitions and generalized motion by mean curvature. Zbl 0801.35045Evans, L. C.; Soner, H. M.; Souganidis, P. E. 227 1992 Turnpike sets and their analysis in stochastic production planning problems. Zbl 0770.90030Sethi, S.; Soner, H. M.; Zhang, Q.; Jiang, J. 10 1992 Some remarks on the Stefan problem with surface structure. Zbl 0763.35110Gurtin, Morton E.; Soner, H. Mete 2 1992 A free boundary problem related to singular stochastic control: The parabolic case. Zbl 0746.35058Soner, H. M.; Shreve, S. E. 20 1991 A boundary-value problem for Hamilton-Jacobi equations in Hilbert spaces. Zbl 0745.49025Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete 12 1991 An asymptotic analysis of hierarchical control of manufacturing systems under uncertainty. Zbl 0742.90037Lehoczky, John; Sethi, Suresh P.; Soner, H. M.; Taksar, Michael I. 8 1991 Optimal investment and consumption with two bonds and transaction costs. Zbl 0900.90049Shreve, S. E.; Soner, H. M.; Xu, G.-L. 7 1991 A viscosity solution approach to the asymptotic analysis of queueing systems. Zbl 0715.60035Dupuis, Paul; Ishii, Hitoshi; Soner, H. Meté 23 1990 A free boundary problem related to singular stochastic control. Zbl 0733.93083Shreve, S. E.; Soner, H. M. 2 1990 Regularity of the value function for a two-dimensional singular stochastic control problem. Zbl 0685.93076Soner, H. Mete; Shreve, Steven E. 43 1989 Asymptotic expansions for Markov processes with Lévy generators. Zbl 0713.60085Fleming, W. H.; Soner, H. M. 33 1989 Generalized one-sided estimates for solutions of Hamilton-Jacobi equations and applications. Zbl 0681.49030Cannarsa, Piermarco; Soner, Halil Mete 22 1989 Optimal control of jump-Markov processes and viscosity solutions. Zbl 0850.93889Soner, Halil Mete 23 1988 On the Hamilton-Jacobi-Bellmann equations in Banach spaces. Zbl 0622.49010Soner, H. Mete 16 1988 Mixing Markov chains and their images. Zbl 1134.68576Barnsley, Michael F.; Berger, Marc A.; Soner, H. Meté 5 1988 ...and 7 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,204 Authors 52 Soner, Halil Mete 37 Touzi, Nizar 27 Pham, Huyên 26 Bouchard, Bruno 25 Bayraktar, Erhan 24 Muhle-Karbe, Johannes 21 Barles, Guy 21 Cannarsa, Piermarco 21 Jerrard, Robert Leon 21 Possamaï, Dylan 20 Gozzi, Fausto 20 Orlandi, Giandomenico 19 Dolinsky, Yan 19 Zhang, Qing 18 Giga, Yoshikazu 18 Nutz, Marcel 17 Guo, Junyi 17 Kurzhanskiĭ, Aleksandr Borisovich 17 Tan, Xiaolu 17 Zhang, Jianfeng 16 Beiglböck, Mathias 16 Cardaliaguet, Pierre 16 Hu, Mingshang 16 Young, Virginia R. 15 Smets, Didier 15 Souganidis, Panagiotis E. 15 Yang, Hailiang 14 Bethuel, Fabrice 14 Frankowska, Hélène 14 Kupper, Michael 14 Wang, Falei 13 Goreac, Dan 13 Liang, Zhibin 13 Lions, Pierre-Louis 13 Novaga, Matteo 13 Peng, Shige 13 Yuen, Kam Chuen 13 Zidani, Hasnaa 12 Bai, Lihua 12 Bank, Peter 12 Bellettini, Giovanni 12 Camilli, Fabio 12 Ishii, Hitoshi 12 Josa-Fombellida, Ricardo 12 Liu, Zuhan 12 Serfaty, Sylvia 12 Świȩch, Andrzej 12 Taksar, Michael I. 11 Chen, Xinfu 11 Dupuis, Paul G. 11 Ferrari, Giorgio 11 Jin, Zhuo 11 Rincón-Zapatero, Juan Pablo 10 Cesaroni, Annalisa 10 Dai, Min 10 Gomes, Diogo Luís Aguiar 10 Guasoni, Paolo 10 Jakobsen, Espen Robstad 10 Lin, Yiqing 10 Ponsiglione, Marcello 10 Ren, Zhenjie 10 Rong, Ximin 10 Song, Yongsheng 10 Spirn, Daniel P. 10 Zhou, Chao 10 Zhu, Weiqiu 9 Azcue, Pablo 9 Barron, Emmanuel Nicholas 9 Bokanowski, Olivier 9 Federico, Salvatore 9 Feng, Xiaobing 9 Ji, Shaolin 9 Kharroubi, Idris 9 Krylov, Nicolaĭ Vladimirovich 9 Kurzke, Matthias W. 9 Ley, Olivier 9 Loeper, Grégoire 9 Muler, Nora E. 9 Neufeld, Ariel David 9 Obloj, Jan K. 9 Sethi, Suresh P. 9 Yi, Fahuai 9 Yoshioka, Hidekazu 9 Zhou, Ming 8 Atar, Rami 8 Belak, Christoph 8 Bian, Baojun 8 Campi, Luciano 8 Chambolle, Antonin 8 Cox, Alexander Matthew Gordon 8 Fleming, Wendell Helms 8 Fuhrman, Marco 8 Guo, Xin 8 Hartmann, Carsten 8 Henry-Labordère, Pierre 8 Hynd, Ryan 8 Mikami, Toshio 8 Morimoto, Hiroaki 8 Moser, Roger 8 Perthame, Benoît ...and 3,104 more Authors all top 5 Cited in 410 Serials 101 Stochastic Processes and their Applications 92 The Annals of Applied Probability 91 SIAM Journal on Control and Optimization 90 Applied Mathematics and Optimization 85 Finance and Stochastics 74 Insurance Mathematics & Economics 71 Journal of Optimization Theory and Applications 62 Journal of Mathematical Analysis and Applications 61 Archive for Rational Mechanics and Analysis 51 Journal of Differential Equations 51 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 50 Journal of Economic Dynamics & Control 46 International Journal of Theoretical and Applied Finance 45 Nonlinear Analysis. 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Mathematics of Control, Signals, and Systems 10 Abstract and Applied Analysis 10 Discrete Dynamics in Nature and Society 10 Probability, Uncertainty and Quantitative Risk 9 Advances in Applied Probability 9 Journal of Mathematical Physics 9 Communications in Statistics. Theory and Methods 9 Proceedings of the Royal Society of Edinburgh. Section A. Mathematics 9 Bernoulli 9 Acta Mathematica Sinica. English Series 9 Communications in Contemporary Mathematics 9 Journal of Systems Science and Complexity 8 International Journal of Control 8 Mathematics of Computation 8 European Journal of Applied Mathematics 8 International Journal of Computer Mathematics 8 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 8 Interfaces and Free Boundaries 8 The ANZIAM Journal 8 North American Actuarial Journal 7 Computer Methods in Applied Mechanics and Engineering 7 Chaos, Solitons and Fractals 7 Duke Mathematical Journal 7 SIAM Journal on Numerical Analysis 7 Queueing Systems 7 Stochastics and Stochastics Reports 7 Economic Theory 7 ASTIN Bulletin 6 Physica A 6 Advances in Mathematics 6 Optimal Control Applications & Methods ...and 310 more Serials all top 5 Cited in 50 Fields 1,293 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,051 Probability theory and stochastic processes (60-XX) 1,030 Partial differential equations (35-XX) 981 Calculus of variations and optimal control; optimization (49-XX) 919 Systems theory; control (93-XX) 326 Numerical analysis (65-XX) 266 Operations research, mathematical programming (90-XX) 142 Differential geometry (53-XX) 130 Statistical mechanics, structure of matter (82-XX) 73 Global analysis, analysis on manifolds (58-XX) 71 Ordinary differential equations (34-XX) 64 Mechanics of deformable solids (74-XX) 59 Operator theory (47-XX) 57 Statistics (62-XX) 57 Fluid mechanics (76-XX) 53 Biology and other natural sciences (92-XX) 46 Dynamical systems and ergodic theory (37-XX) 44 Integral equations (45-XX) 39 Real functions (26-XX) 37 Mechanics of particles and systems (70-XX) 37 Classical thermodynamics, heat transfer (80-XX) 35 Computer science (68-XX) 30 Functional analysis (46-XX) 29 Measure and integration (28-XX) 23 Quantum theory (81-XX) 14 Optics, electromagnetic theory (78-XX) 14 Information and communication theory, circuits (94-XX) 12 Difference and functional equations (39-XX) 12 Convex and discrete geometry (52-XX) 9 Approximations and expansions (41-XX) 7 General topology (54-XX) 6 Potential theory (31-XX) 5 Combinatorics (05-XX) 5 Functions of a complex variable (30-XX) 5 Several complex variables and analytic spaces (32-XX) 5 Integral transforms, operational calculus (44-XX) 5 Geophysics (86-XX) 4 Geometry (51-XX) 3 General and overarching topics; collections (00-XX) 3 Algebraic topology (55-XX) 2 History and biography (01-XX) 2 Mathematical logic and foundations (03-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 1 Number theory (11-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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