Halil Mete Soner
Halil Mete Soner
Department of Operations Research and Financial Engineering, Princeton University
Verified email at princeton.edu - Homepage
Cited by
Cited by
Controlled Markov processes and viscosity solutions
WH Fleming, HM Soner
Springer Science & Business Media, 2006
Optimal investment and consumption with transaction costs
SE Shreve, HM Soner
The Annals of Applied Probability, 609-692, 1994
Phase transitions and generalized motion by mean curvature
LC Evans, HM Soner, PE Souganidis
Communications on Pure and Applied Mathematics 45 (9), 1097-1123, 1992
Optimal control with state-space constraint I
HM Soner
SIAM Journal on Control and Optimization 24 (3), 552-561, 1986
Front propagation and phase field theory
G Barles, HM Soner, PE Souganidis
SIAM Journal on Control and Optimization 31 (2), 439-469, 1993
Option pricing with transaction costs and a nonlinear Black-Scholes equation
G Barles, HM Soner
Finance and Stochastics, 1998
There is no nontrivial hedging portfolio for option pricing with transaction costs
HM Soner, SE Shreve, J Cvitanic
The Annals of Applied Probability 5 (2), 327-355, 1995
Optimal control with state-space constraint. II
HM Soner
SIAM journal on control and optimization 24 (6), 1110-1122, 1986
Level set approach to mean curvature flow in arbitrary codimension
L Ambrosio, HM Soner
Motion of a set by curvature
M Soner
J. Differential Equations 101, 313-372, 1993
Hedging in incomplete markets with HARA utility
D Duffie, W Fleming, HM Soner, T Zariphopoulou
Journal of Economic Dynamics and Control 21 (4-5), 753-782, 1997
Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs
P Cheridito, HM Soner, N Touzi, N Victoir
Communications on Pure and Applied Mathematics: A Journal Issued by the …, 2007
Wellposedness of second order backward SDEs
HM Soner, N Touzi, J Zhang
Probability Theory and Related Fields 153 (1-2), 149-190, 2012
The jacobian and the Ginzburg-Landau energy
RL Jerrard, HM Soner
Calculus of Variations and Partial Differential Equations 14 (2), 151-191, 2002
Martingale representation theorem for the G-expectation
HM Soner, N Touzi, J Zhang
Stochastic Processes and their Applications 121 (2), 265-287, 2011
Dynamic programming for stochastic target problems and geometric flows
HM Soner, N Touzi
Journal of the European Mathematical Society 4 (3), 201-236, 2002
An optimal stochastic production planning problem with randomly fluctuating demand
WH Fleming, SP Sethi, HM Soner
SIAM Journal on Control and optimization 25 (6), 1494-1502, 1987
Dynamics of Ginzburg-Landau vortices
RL Jerrard, HM Soner
Archive for rational mechanics and analysis 142 (2), 99-125, 1998
Option hedging for small investors under liquidity costs
U Cetin, HM Soner, N Touzi
Finance and Stochastics 14 (3), 317-341, 2010
Quasi-sure stochastic analysis through aggregation
M Soner, N Touzi, J Zhang
Electronic Journal of Probability 16, 1844-1879, 2011
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