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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
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 Sethi, Suresh P.
3 Tissot-Daguette, Valentin
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 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 Höfer, Felix
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 The Annals of Applied Probability
5 Communications in Partial Differential Equations
4 Archive for Rational Mechanics and Analysis
4 Applied Mathematics and Optimization
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

111 Publications have been cited 5,110 times in 3,619 Documents Cited by Year
Controlled Markov processes and viscosity solutions. 2nd ed. Zbl 1105.60005
Fleming, Wendell H.; Soner, H. Mete
806
2006
Controlled Markov processes and viscosity solutions. Zbl 0773.60070
Fleming, Wendell H.; Soner, H. Mete
702
1993
Phase transitions and generalized motion by mean curvature. Zbl 0801.35045
Evans, L. C.; Soner, H. M.; Souganidis, P. E.
266
1992
Optimal investment and consumption with transaction costs. Zbl 0813.60051
Shreve, S. E.; Soner, H. M.
202
1994
Optimal control with state-space constraint. I. Zbl 0597.49023
Soner, Halil Mete
187
1986
Wellposedness of second order backward SDEs. Zbl 1252.60056
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
148
2012
Front propagation and phase field theory. Zbl 0785.35049
Barles, G.; Soner, H. M.; Souganidis, P. E.
147
1993
Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051
Barles, Guy; Soner, Halil Mete
125
1998
Optimal control with state-space constraint. II. Zbl 0619.49013
Soner, Halil Mete
118
1986
Martingale representation theorem for the \(G\)-expectation. Zbl 1228.60070
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
113
2011
The Jacobian and the Ginzburg-Landau energy. Zbl 1034.35025
Jerrard, Robert L.; Soner, Halil Mete
112
2002
Martingale optimal transport and robust hedging in continuous time. Zbl 1305.91215
Dolinsky, Yan; Soner, H. Mete
110
2014
Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas
107
2007
Level set approach to mean curvature flow in arbitrary codimension. Zbl 0868.35046
Ambrosio, Luigi; Soner, Halil Mete
92
1996
Motion of a set by the curvature of its boundary. Zbl 0769.35070
Soner, Halil Mete
82
1993
There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012
Soner, H. M.; Shreve, S. E.; Cvitanić, J.
72
1995
Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
68
2011
Hedging in incomplete markets with HARA utility. Zbl 0899.90026
Duffie, Darrell; Fleming, Wendell; Soner, H. Mete; Zariphopoulou, Thaleia
68
1997
Dynamics of Ginzburg-Landau vortices. Zbl 0923.35167
Jerrard, Robert Leon; Soner, Halil Mete
66
1998
Dual formulation of second order target problems. Zbl 1293.60063
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
61
2013
Dynamic programming for stochastic target problems and geometric flows. Zbl 1003.49003
Soner, H. Mete; Touzi, Nizar
53
2002
Regularity of the value function for a two-dimensional singular stochastic control problem. Zbl 0685.93076
Soner, H. Mete; Shreve, Steven E.
51
1989
Functions of bounded higher variation. Zbl 1057.49036
Jerrard, R. L.; Soner, H. M.
47
2002
A measure theoretic approach to higher codimension mean curvature flows. Zbl 1043.35136
Ambrosio, Luigi; Soner, Halil Mete
41
1997
Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019
Soner, H. Mete; Touzi, Nizar
41
2002
Hedging with temporary price impact. Zbl 1409.91226
Bank, Peter; Soner, H. Mete; Voß, Moritz
39
2017
Robust hedging with proportional transaction costs. Zbl 1304.91189
Dolinsky, Yan; Soner, H. Mete
38
2014
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
34
2013
Asymptotic expansions for Markov processes with Lévy generators. Zbl 0713.60085
Fleming, W. H.; Soner, H. M.
34
1989
Martingale optimal transport in the Skorokhod space. Zbl 1337.91092
Dolinsky, Yan; Soner, H. Mete
33
2015
Limiting behavior of the Ginzburg-Landau functional. Zbl 1028.49015
Jerrard, Robert L.; Soner, Halil Mete
31
2002
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
Optimal control of jump-Markov processes and viscosity solutions. Zbl 0850.93889
Soner, Halil Mete
29
1988
Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
28
2015
On the singularities of the viscosity solutions to Hamilton-Jacobi- Bellman equations. Zbl 0612.70016
Cannarsa, Piermarco; Soner, Halil Mete
28
1987
Singularities and uniqueness of cylindrically symmetric surfaces moving by mean curvature. Zbl 0804.53006
Soner, H. M.; Souganidis, P. E.
28
1993
Superreplication under gamma constraints. Zbl 0960.91036
Soner, H. Mete; Touzi, Nizar
27
2000
A free boundary problem related to singular stochastic control: The parabolic case. Zbl 0746.35058
Soner, H. M.; Shreve, S. E.
25
1991
Generalized one-sided estimates for solutions of Hamilton-Jacobi equations and applications. Zbl 0681.49030
Cannarsa, Piermarco; Soner, Halil Mete
24
1989
Ginzburg-Landau equation and motion by mean curvature. I: Convergence. Zbl 0935.35060
Soner, Halil Mete
24
1997
A viscosity solution approach to the asymptotic analysis of queueing systems. Zbl 0715.60035
Dupuis, Paul; Ishii, Hitoshi; Soner, H. Meté
23
1990
On the Hamilton-Jacobi-Bellmann equations in Banach spaces. Zbl 0622.49010
Soner, H. Mete
23
1988
Asymptotics for fixed transaction costs. Zbl 1336.91062
Altarovici, Albert; Muhle-Karbe, Johannes; Soner, Halil Mete
22
2015
Duality and convergence for binomial markets with friction. Zbl 1277.91157
Dolinsky, Yan; Soner, Halil Mete
22
2013
Weak approximation of \(G\)-expectations. Zbl 1259.60073
Dolinsky, Yan; Nutz, Marcel; Soner, H. Mete
22
2012
On the propagation of singularities of semi-convex functions. Zbl 0874.49041
Ambrosio, L.; Cannarsa, P.; Soner, H. M.
22
1993
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
20
1999
A stochastic representation for mean curvature type geometric flows. Zbl 1080.60076
Soner, H. Mete; Touzi, Nizar
18
2003
Ginzburg-Landau equation and motion by mean curvature. II: Development of the initial interface. Zbl 0935.35061
Soner, Halil Mete
17
1997
Viscosity solutions for controlled McKean-Vlasov jump-diffusions. Zbl 1472.49054
Burzoni, Matteo; Ignazio, Vincenzo; Reppen, A. Max; Soner, H. M.
17
2020
A stochastic representation for the level set equations. Zbl 1036.49010
Soner, H. Mete; Touzi, Nizar
16
2002
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
Liquidity models in continuous and discrete time. Zbl 1230.91201
Gökay, Selim; Roch, Alexandre F.; Soner, H. Mete
15
2011
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
Convergence of Ginzburg-Landau functionals in three-dimensional superconductivity. Zbl 1255.35201
Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M.
14
2012
Liquidity in a binomial market. Zbl 1277.91170
Gökay, Selim; Soner, Halil Mete
14
2012
Optimal consumption and investment with fixed and proportional transaction costs. Zbl 1372.49031
Altarovici, Albert; Reppen, Max; Soner, H. Mete
13
2017
The dynamic programming equation for second order stochastic target problems. Zbl 1229.91324
Soner, H. Mete; Touzi, Nizar
13
2009
A boundary-value problem for Hamilton-Jacobi equations in Hilbert spaces. Zbl 0745.49025
Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete
12
1991
Regularity and convergence of crystalline motion. Zbl 0963.35082
Ishii, Katsuyuki; Soner, Halil Mete
12
1999
Martingale optimal transport duality. Zbl 1462.49072
Cheridito, Patrick; Kiiski, Matti; Prömel, David J.; Soner, Halil Mete
12
2021
A dynamic programming approach to nonlinear boundary control problems of parabolic type. Zbl 0823.49017
Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete
11
1993
Optimal dividend policy with random interest rates. Zbl 1296.91274
Akyildirim, Erdinç; Güney, I. Ethem; Rochet, Jean-Charles; Soner, H. Mete
11
2014
Turnpike sets and their analysis in stochastic production planning problems. Zbl 0770.90030
Sethi, S.; Soner, H. M.; Zhang, Q.; Jiang, J.
10
1992
Heavy traffic convergence of a controlled, multiclass queueing system. Zbl 0866.90061
Martins, L. F.; Shreve, S. E.; Soner, H. M.
10
1996
Optimal dividend policies with random profitability. Zbl 1508.91483
Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete
10
2020
Rectifiability of the distributional Jacobian for a class of functions. Zbl 0946.49033
Jerrard, Robert Leon; Soner, Halil Mete
9
1999
Three-phase boundary motions under constant velocities. I: The vanishing surface tension limit. Zbl 0861.35122
Reitich, Fernando; Soner, H. Mete
9
1996
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
Controlled Markov processes, viscosity solutions and applications to mathematical finance. Zbl 0889.35127
Soner, Halil Mete
8
1997
Approximating stochastic volatility by recombinant trees. Zbl 1329.60248
Akyıldırım, Erdinç; Dolinsky, Yan; Soner, H. Mete
8
2014
Merton problem with taxes: characterization, computation, and approximation. Zbl 1230.91166
Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar
8
2010
Viability and arbitrage under Knightian uncertainty. Zbl 1475.91371
Burzoni, Matteo; Riedel, Frank; Soner, H. Mete
8
2021
Singular perturbations in manufacturing. Zbl 0778.90019
Soner, H. Mete
7
1993
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
Stochastic representations for nonlinear parabolic PDEs. Zbl 1193.60079
Soner, H. Mete
7
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
A free boundary problem related to singular stochastic control. Zbl 0733.93083
Shreve, S. E.; Soner, H. M.
7
1990
Constrained optimal transport. Zbl 1408.49030
Ekren, Ibrahim; Soner, H. Mete
7
2018
Hedging under an expected loss constraint with small transaction costs. Zbl 1345.60030
Bouchard, Bruno; Moreau, Ludovic; Soner, H. Mete
6
2016
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
Utility maximization in an illiquid market. Zbl 1284.91193
Soner, H. Mete; Vukelja, M.
5
2013
Mixing Markov chains and their images. Zbl 1134.68576
Barnsley, Michael F.; Berger, Marc A.; Soner, H. Meté
5
1988
Trading with small price impact. Zbl 07842762
Moreau, Ludovic; Muhle-Karbe, Johannes; Soner, H. Mete
5
2017
Facelifting in utility maximization. Zbl 1369.91164
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan
4
2016
Stochastic optimal control in finance. Zbl 1073.91041
Soner, H. Mete
4
2004
Convex duality with transaction costs. Zbl 1414.91370
Dolinsky, Yan; Soner, H. Mete
4
2017
Hedging under gamma constraints by optimal stopping and face-lifting. Zbl 1278.91151
Soner, H. Mete; Touzi, Nizar
4
2007
Utility maximization in an illiquid market in continuous time. Zbl 1371.91169
Soner, H. Mete; Vukelja, Mirjana
3
2016
Second-order stochastic target problems with generalized market impact. Zbl 1430.91106
Bouchard, Bruno; Loeper, Grégoire; Soner, Halil Mete; Zhou, Chao
3
2019
Flow by mean curvature of surfaces of any codimension. Zbl 0878.35053
Ambrosio, Luigi; Soner, Halil Mete
3
1996
The problem of super-replication under constraints. Zbl 1074.91021
Soner, H. Mete; Touzi, Nizar
3
2003
Synchronization in a Kuramoto mean field game. Zbl 1527.35427
Carmona, Rene; Cormier, Quentin; Soner, H. Mete
2
2023
Deep empirical risk minimization in finance: looking into the future. Zbl 1522.91312
Reppen, Anders Max; Soner, Halil Mete
1
2023
Martingale optimal transport duality. Zbl 1462.49072
Cheridito, Patrick; Kiiski, Matti; Prömel, David J.; Soner, Halil Mete
12
2021
Viability and arbitrage under Knightian uncertainty. Zbl 1475.91371
Burzoni, Matteo; Riedel, Frank; Soner, H. Mete
8
2021
Viscosity solutions for controlled McKean-Vlasov jump-diffusions. Zbl 1472.49054
Burzoni, Matteo; Ignazio, Vincenzo; Reppen, A. Max; Soner, H. M.
17
2020
Optimal dividend policies with random profitability. Zbl 1508.91483
Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete
10
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
7
2018
Hedging with temporary price impact. Zbl 1409.91226
Bank, Peter; Soner, H. Mete; Voß, Moritz
39
2017
Optimal consumption and investment with fixed and proportional transaction costs. Zbl 1372.49031
Altarovici, Albert; Reppen, Max; Soner, H. Mete
13
2017
Trading with small price impact. Zbl 07842762
Moreau, Ludovic; Muhle-Karbe, Johannes; Soner, H. Mete
5
2017
Convex duality with transaction costs. Zbl 1414.91370
Dolinsky, Yan; Soner, H. Mete
4
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
33
2015
Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
28
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
110
2014
Robust hedging with proportional transaction costs. Zbl 1304.91189
Dolinsky, Yan; Soner, H. Mete
38
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
8
2014
Hedging in an illiquid binomial market. Zbl 1293.91189
Gökay, Selim; Soner, Halil Mete
2
2014
Dual formulation of second order target problems. Zbl 1293.60063
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
61
2013
Homogenization and asymptotics for small transaction costs. Zbl 1280.91158
Soner, H. Mete; Touzi, Nizar
34
2013
Duality and convergence for binomial markets with friction. Zbl 1277.91157
Dolinsky, Yan; Soner, Halil Mete
22
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.
5
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
148
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
Convergence of Ginzburg-Landau functionals in three-dimensional superconductivity. Zbl 1255.35201
Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M.
14
2012
Liquidity in a binomial market. Zbl 1277.91170
Gökay, Selim; Soner, Halil Mete
14
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
113
2011
Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
68
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
13
2009
Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas
107
2007
Stochastic representations for nonlinear parabolic PDEs. Zbl 1193.60079
Soner, H. Mete
7
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
806
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
18
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
112
2002
Dynamic programming for stochastic target problems and geometric flows. Zbl 1003.49003
Soner, H. Mete; Touzi, Nizar
53
2002
Functions of bounded higher variation. Zbl 1057.49036
Jerrard, R. L.; Soner, H. M.
47
2002
Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019
Soner, H. Mete; Touzi, Nizar
41
2002
Limiting behavior of the Ginzburg-Landau functional. Zbl 1028.49015
Jerrard, Robert L.; Soner, Halil Mete
31
2002
A stochastic representation for the level set equations. Zbl 1036.49010
Soner, H. Mete; Touzi, Nizar
16
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
20
1999
Regularity and convergence of crystalline motion. Zbl 0963.35082
Ishii, Katsuyuki; Soner, Halil Mete
12
1999
Rectifiability of the distributional Jacobian for a class of functions. Zbl 0946.49033
Jerrard, Robert Leon; Soner, Halil Mete
9
1999
Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051
Barles, Guy; Soner, Halil Mete
125
1998
Dynamics of Ginzburg-Landau vortices. Zbl 0923.35167
Jerrard, Robert Leon; Soner, Halil Mete
66
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
41
1997
Ginzburg-Landau equation and motion by mean curvature. I: Convergence. Zbl 0935.35060
Soner, Halil Mete
24
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
8
1997
Level set approach to mean curvature flow in arbitrary codimension. Zbl 0868.35046
Ambrosio, Luigi; Soner, Halil Mete
92
1996
Heavy traffic convergence of a controlled, multiclass queueing system. Zbl 0866.90061
Martins, L. F.; Shreve, S. E.; Soner, H. M.
10
1996
Three-phase boundary motions under constant velocities. I: The vanishing surface tension limit. Zbl 0861.35122
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.
72
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.
202
1994
Controlled Markov processes and viscosity solutions. Zbl 0773.60070
Fleming, Wendell H.; Soner, H. Mete
702
1993
Front propagation and phase field theory. Zbl 0785.35049
Barles, G.; Soner, H. M.; Souganidis, P. E.
147
1993
Motion of a set by the curvature of its boundary. Zbl 0769.35070
Soner, Halil Mete
82
1993
Singularities and uniqueness of cylindrically symmetric surfaces moving by mean curvature. Zbl 0804.53006
Soner, H. M.; Souganidis, P. E.
28
1993
On the propagation of singularities of semi-convex functions. Zbl 0874.49041
Ambrosio, L.; Cannarsa, P.; Soner, H. M.
22
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
7
1993
Phase transitions and generalized motion by mean curvature. Zbl 0801.35045
Evans, L. C.; Soner, H. M.; Souganidis, P. E.
266
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.
25
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
Regularity of the value function for a two-dimensional singular stochastic control problem. Zbl 0685.93076
Soner, H. Mete; Shreve, Steven E.
51
1989
Asymptotic expansions for Markov processes with Lévy generators. Zbl 0713.60085
Fleming, W. H.; Soner, H. M.
34
1989
...and 11 more Documents
all top 5

Cited by 3,684 Authors

60 Soner, Halil Mete
40 Touzi, Nizar
33 Bayraktar, Erhan
32 Muhle-Karbe, Johannes
32 Pham, Huyên
29 Bouchard, Bruno
26 Gozzi, Fausto
24 Cannarsa, Piermarco
23 Orlandi, Giandomenico
23 Possamaï, Dylan
22 Barles, Guy
22 Tan, Xiaolu
21 Dolinsky, Yan
21 Jerrard, Robert Leon
21 Zhang, Jianfeng
21 Zhang, Qing
20 Nutz, Marcel
20 Yoshioka, Hidekazu
19 Beiglböck, Mathias
19 Giga, Yoshikazu
19 Zidani, Hasnaa
18 Guo, Junyi
18 Kupper, Michael
17 Guasoni, Paolo
17 Kurzhanskiĭ, Aleksandr Borisovich
17 Young, Virginia R.
16 Cardaliaguet, Pierre
16 Frankowska, Hélène
16 Hu, Mingshang
16 Lions, Pierre-Louis
16 Souganidis, Panagiotis E.
16 Wang, Falei
16 Yang, Hailiang
15 Ferrari, Giorgio
15 Jin, Zhuo
15 Smets, Didier
14 Bank, Peter
14 Bethuel, Fabrice
14 Ekren, Ibrahim
14 Novaga, Matteo
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 Świȩch, Andrzej
12 Bai, Lihua
12 Camilli, Fabio
12 Cesaroni, Annalisa
12 Dai, Min
12 Kharroubi, Idris
12 Liu, Zuhan
12 Loeper, Grégoire
12 Neufeld, Ariel David
12 Rincón-Zapatero, Juan Pablo
12 Taksar, Michael I.
12 Yi, Fahuai
12 Zhou, Chao
12 Zhu, Weiqiu
11 Azcue, Pablo
11 Barron, Emmanuel Nicholas
11 Dupuis, Paul G.
11 Federico, Salvatore
11 Feng, Xiaobing
11 Gomes, Diogo Luís Aguiar
11 Lin, Yiqing
11 Muler, Nora E.
11 Nendel, Max
11 Ren, Zhenjie
11 Seifried, Frank Thomas
10 Atar, Rami
10 Bensoussan, Alain
10 Biagini, Francesca
10 Cox, Alexander Matthew Gordon
10 De Angelis, Tiziano
10 Guo, Xin
10 Hartmann, Carsten
10 Jakobsen, Espen Robstad
10 Jeon, Junkee
10 Obloj, Jan K.
10 Ponsiglione, Marcello
10 Song, Yongsheng
10 Spirn, Daniel P.
10 Yaegashi, Yuta
10 Zhao, Hui
9 Bartl, Daniel
9 Belak, Christoph
9 Bian, Baojun
9 Bokanowski, Olivier
9 Canevari, Giacomo
9 Cosso, Andrea
9 Falcone, Maurizio
9 Hobson, David Graham
9 Jaimungal, Sebastian
9 Ji, Shaolin
...and 3,584 more Authors
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Cited in 443 Serials

113 Stochastic Processes and their Applications
108 Applied Mathematics and Optimization
107 SIAM Journal on Control and Optimization
99 The Annals of Applied Probability
93 Mathematical Finance
92 Finance and Stochastics
78 Insurance Mathematics & Economics
74 Journal of Optimization Theory and Applications
67 Journal of Mathematical Analysis and Applications
63 Archive for Rational Mechanics and Analysis
57 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
56 Journal of Differential Equations
53 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
51 Journal of Economic Dynamics & Control
48 International Journal of Theoretical and Applied Finance
48 Mathematics and Financial Economics
44 Communications in Partial Differential Equations
44 Calculus of Variations and Partial Differential Equations
44 SIAM Journal on Financial Mathematics
42 Journal of Computational and Applied Mathematics
42 Quantitative Finance
40 Automatica
35 Journal of Computational Physics
34 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
33 The Annals of Probability
33 Stochastic Analysis and Applications
33 European Journal of Operational Research
32 SIAM Journal on Mathematical Analysis
31 Journal of Functional Analysis
31 NoDEA. Nonlinear Differential Equations and Applications
30 Journal of Industrial and Management Optimization
30 Stochastics
29 Systems & Control Letters
27 Transactions of the American Mathematical Society
24 Mathematical Methods of Operations Research
23 Applied Mathematics and Computation
23 Journal of Mathematical Economics
22 Computers & Mathematics with Applications
22 Probability Theory and Related Fields
21 Optimal Control Applications & Methods
21 Discrete and Continuous Dynamical Systems
20 Communications on Pure and Applied Mathematics
20 Journal of Scientific Computing
19 Mathematics of Operations Research
19 Japan Journal of Industrial and Applied Mathematics
19 Applied Mathematical Finance
19 Discrete and Continuous Dynamical Systems. Series B
19 Dynamic Games and Applications
19 Mathematical Control and Related Fields
19 Nonlinear Analysis. Theory, Methods & Applications
18 Comptes Rendus. Mathématique. Académie des Sciences, Paris
17 Journal of Statistical Physics
16 Communications in Mathematical Physics
16 Journal of Economic Theory
16 Mathematische Annalen
16 Physica D
16 Annals of Operations Research
16 The Journal of Geometric Analysis
16 Differential Equations
16 Probability, Uncertainty and Quantitative Risk
15 Journal of Mathematical Sciences (New York)
15 Mathematical Problems in Engineering
15 Scandinavian Actuarial Journal
14 Numerische Mathematik
14 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
13 Journal de Mathématiques Pures et Appliquées. Neuvième Série
13 Interfaces and Free Boundaries
13 Journal of the European Mathematical Society (JEMS)
12 Applied Numerical Mathematics
12 Acta Mathematicae Applicatae Sinica. English Series
12 Annals of Finance
11 International Journal of Control
11 Annali della Scuola Normale Superiore di Pisa. Classe di Scienze. Serie IV
11 Communications in Statistics. Theory and Methods
11 Electronic Journal of Probability
11 Abstract and Applied Analysis
11 Discrete Dynamics in Nature and Society
10 Advances in Applied Probability
10 Bernoulli
10 Journal of Systems Science and Complexity
9 Journal of Mathematical Physics
9 Optimization
9 MCSS. Mathematics of Control, Signals, and Systems
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 Methodology and Computing in Applied Probability
9 North American Actuarial Journal
8 Mathematics of Computation
8 SIAM Journal on Numerical Analysis
8 Queueing Systems
8 European Journal of Applied Mathematics
8 International Journal of Computer Mathematics
8 Potential Analysis
8 Economic Theory
8 Communications in Nonlinear Science and Numerical Simulation
8 The ANZIAM Journal
8 Journal of Evolution Equations
8 Stochastics and Dynamics
...and 343 more Serials
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Cited in 52 Fields

1,518 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,238 Probability theory and stochastic processes (60-XX)
1,200 Partial differential equations (35-XX)
1,154 Calculus of variations and optimal control; optimization (49-XX)
1,075 Systems theory; control (93-XX)
407 Numerical analysis (65-XX)
304 Operations research, mathematical programming (90-XX)
160 Differential geometry (53-XX)
147 Statistical mechanics, structure of matter (82-XX)
92 Ordinary differential equations (34-XX)
82 Global analysis, analysis on manifolds (58-XX)
73 Operator theory (47-XX)
73 Mechanics of deformable solids (74-XX)
73 Fluid mechanics (76-XX)
70 Statistics (62-XX)
70 Biology and other natural sciences (92-XX)
52 Dynamical systems and ergodic theory (37-XX)
50 Computer science (68-XX)
48 Integral equations (45-XX)
47 Real functions (26-XX)
40 Classical thermodynamics, heat transfer (80-XX)
39 Mechanics of particles and systems (70-XX)
31 Measure and integration (28-XX)
31 Functional analysis (46-XX)
29 Quantum theory (81-XX)
15 Optics, electromagnetic theory (78-XX)
15 Information and communication theory, circuits (94-XX)
13 Convex and discrete geometry (52-XX)
12 Difference and functional equations (39-XX)
11 Approximations and expansions (41-XX)
7 General topology (54-XX)
7 Geophysics (86-XX)
6 Combinatorics (05-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 General and overarching topics; collections (00-XX)
4 History and biography (01-XX)
4 Geometry (51-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 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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