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Soner, Halil Mete

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Author ID: soner.halil-mete Recent zbMATH articles by "Soner, Halil Mete"
Published as: Soner, H. M.; Soner, H. Mete; Soner, H. Meté; Soner, Halil Mete
Homepage: https://people.math.ethz.ch/~hmsoner/
External Links: MGP · Math-Net.Ru · Wikidata · dblp · GND
Documents Indexed: 113 Publications since 1985, including 3 Books
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 Communications in Partial Differential Equations
4 Stochastic Processes and their Applications
4 Mathematical Finance
3 The Annals of Probability
3 Mathematics of Operations Research
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 SIAM Journal on Financial Mathematics
1 Communications in Mathematical Physics
1 Stochastics
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 Stochastics
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

103 Publications have been cited 3,918 times in 2,728 Documents Cited by Year
Controlled Markov processes and viscosity solutions. Zbl 0773.60070
Fleming, Wendell H.; Soner, H. Mete
681
1993
Controlled Markov processes and viscosity solutions. 2nd ed. Zbl 1105.60005
Fleming, Wendell H.; Soner, H. Mete
485
2006
Phase transitions and generalized motion by mean curvature. Zbl 0801.35045
Evans, L. C.; Soner, H. M.; Souganidis, P. E.
200
1992
Optimal control with state-space constraint. I. Zbl 0597.49023
Soner, Halil Mete
158
1986
Optimal investment and consumption with transaction costs. Zbl 0813.60051
Shreve, S. E.; Soner, H. M.
157
1994
Front propagation and phase field theory. Zbl 0785.35049
Barles, G.; Soner, H. M.; Souganidis, P. E.
124
1993
Wellposedness of second order backward SDEs. Zbl 1252.60056
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
101
2012
Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051
Barles, Guy; Soner, Halil Mete
93
1998
Optimal control with state-space constraint. II. Zbl 0619.49013
Soner, Halil Mete
91
1986
The Jacobian and the Ginzburg-Landau energy. Zbl 1034.35025
Jerrard, Robert L.; Soner, Halil Mete
85
2002
Martingale representation theorem for the \(G\)-expectation. Zbl 1228.60070
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
77
2011
Martingale optimal transport and robust hedging in continuous time. Zbl 1305.91215
Dolinsky, Yan; Soner, H. Mete
74
2014
Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas
73
2007
Motion of a set by the curvature of its boundary. Zbl 0769.35070
Soner, Halil Mete
70
1993
Level set approach to mean curvature flow in arbitrary codimension. Zbl 0868.35046
Ambrosio, Luigi; Soner, Halil Mete
69
1996
There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012
Soner, H. M.; Shreve, S. E.; Cvitanić, J.
66
1995
Hedging in incomplete markets with HARA utility. Zbl 0899.90026
Duffie, Darrell; Fleming, Wendell; Soner, H. Mete; Zariphopoulou, Thaleia
63
1997
Dynamics of Ginzburg-Landau vortices. Zbl 0923.35167
Jerrard, Robert Leon; Soner, Halil Mete
58
1998
Dual formulation of second order target problems. Zbl 1293.60063
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
50
2013
Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
47
2011
Dynamic programming for stochastic target problems and geometric flows. Zbl 1003.49003
Soner, H. Mete; Touzi, Nizar
41
2002
Regularity of the value function for a two-dimensional singular stochastic control problem. Zbl 0685.93076
Soner, H. Mete; Shreve, Steven E.
40
1989
Functions of bounded higher variation. Zbl 1057.49036
Jerrard, R. L.; Soner, H. M.
35
2002
Option hedging for small investors under liquidity costs. Zbl 1226.91072
Çetin, Umut; Soner, H. Mete; Touzi, Nizar
33
2010
Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019
Soner, H. Mete; Touzi, Nizar
33
2002
A measure theoretic approach to higher codimension mean curvature flows. Zbl 1043.35136
Ambrosio, Luigi; Soner, Halil Mete
33
1997
Asymptotic expansions for Markov processes with Lévy generators. Zbl 0713.60085
Fleming, W. H.; Soner, H. M.
32
1989
Robust hedging with proportional transaction costs. Zbl 1304.91189
Dolinsky, Yan; Soner, H. Mete
28
2014
Convergence of the phase-field equations to the Mullins-Sekerka problem with kinetic undercooling. Zbl 0829.73010
Soner, H. Mete
28
1995
Superreplication under gamma constraints. Zbl 0960.91036
Soner, H. Mete; Touzi, Nizar
27
2000
Martingale optimal transport in the Skorokhod space. Zbl 1337.91092
Dolinsky, Yan; Soner, H. Mete
26
2015
Backward stochastic differential equations with constraints on the gains-process. Zbl 0935.60039
Cvitanić, Jakša; Karatzas, Ioannis; Soner, H. Mete
25
1998
Singularities and uniqueness of cylindrically symmetric surfaces moving by mean curvature. Zbl 0804.53006
Soner, H. M.; Souganidis, P. E.
25
1993
An optimal stochastic production planning problem with randomly fluctuating demand. Zbl 0635.93077
Fleming, W. H.; Sethi, S. P.; Soner, H. M.
25
1987
Superhedging and dynamic risk measures under volatility uncertainty. Zbl 1263.91026
Nutz, Marcel; Soner, H. Mete
24
2012
On the singularities of the viscosity solutions to Hamilton-Jacobi- Bellman equations. Zbl 0612.70016
Cannarsa, Piermarco; Soner, Halil Mete
24
1987
Ginzburg-Landau equation and motion by mean curvature. I: Convergence. Zbl 0935.35060
Soner, Halil Mete
23
1997
A viscosity solution approach to the asymptotic analysis of queueing systems. Zbl 0715.60035
Dupuis, Paul; Ishii, Hitoshi; Soner, H. Meté
23
1990
Homogenization and asymptotics for small transaction costs. Zbl 1280.91158
Soner, H. Mete; Touzi, Nizar
22
2013
The multi-dimensional super-replication problem under gamma constraints. Zbl 1078.91010
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar
22
2005
Optimal control of jump-Markov processes and viscosity solutions. Zbl 0850.93889
Soner, Halil Mete
22
1988
Limiting behavior of the Ginzburg-Landau functional. Zbl 1028.49015
Jerrard, Robert L.; Soner, Halil Mete
21
2002
Generalized one-sided estimates for solutions of Hamilton-Jacobi equations and applications. Zbl 0681.49030
Cannarsa, Piermarco; Soner, Halil Mete
21
1989
Duality and convergence for binomial markets with friction. Zbl 1277.91157
Dolinsky, Yan; Soner, Halil Mete
20
2013
On the propagation of singularities of semi-convex functions. Zbl 0874.49041
Ambrosio, L.; Cannarsa, P.; Soner, H. M.
20
1993
Scaling limits and regularity results for a class of Ginzburg-Landau systems. Zbl 0944.35006
Jerrard, Robert L.; Soner, Halil Mete
19
1999
Hedging with temporary price impact. Zbl 1409.91226
Bank, Peter; Soner, H. Mete; Voß, Moritz
18
2017
Weak approximation of \(G\)-expectations. Zbl 1259.60073
Dolinsky, Yan; Nutz, Marcel; Soner, H. Mete
18
2012
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 mean curvature type geometric flows. Zbl 1080.60076
Soner, H. Mete; Touzi, Nizar
15
2003
On the Hamilton-Jacobi-Bellmann equations in Banach spaces. Zbl 0622.49010
Soner, H. Mete
15
1988
Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
14
2015
Liquidity in a binomial market. Zbl 1277.91170
Gökay, Selim; Soner, Halil Mete
14
2012
Asymptotics for fixed transaction costs. Zbl 1336.91062
Altarovici, Albert; Muhle-Karbe, Johannes; Soner, Halil Mete
13
2015
Vortex density models for superconductivity and superfluidity. Zbl 1269.82070
Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M.
12
2013
A stochastic representation for the level set equations. Zbl 1036.49010
Soner, H. Mete; Touzi, Nizar
12
2002
A free boundary problem related to singular stochastic control: The parabolic case. Zbl 0746.35058
Soner, H. M.; Shreve, S. E.
12
1991
Liquidity models in continuous and discrete time. Zbl 1230.91201
Gökay, Selim; Roch, Alexandre F.; Soner, H. Mete
11
2011
A boundary-value problem for Hamilton-Jacobi equations in Hilbert spaces. Zbl 0745.49025
Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete
11
1991
Convergence of Ginzburg-Landau functionals in three-dimensional superconductivity. Zbl 1255.35201
Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M.
10
2012
The dynamic programming equation for second order stochastic target problems. Zbl 1229.91324
Soner, H. Mete; Touzi, Nizar
10
2009
Regularity and convergence of crystalline motion. Zbl 0963.35082
Ishii, Katsuyuki; Soner, Halil Mete
10
1999
Three-phase boundary motions under constant velocities. I: The vanishing surface tension limit. Zbl 0861.35122
Reitich, Fernando; Soner, H. Mete
10
1996
A dynamic programming approach to nonlinear boundary control problems of parabolic type. Zbl 0823.49017
Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete
10
1993
Turnpike sets and their analysis in stochastic production planning problems. Zbl 0770.90030
Sethi, S.; Soner, H. M.; Zhang, Q.; Jiang, J.
10
1992
Resilient price impact of trading and the cost of illiquidity. Zbl 1295.91047
Roch, Alexandre; Soner, H. Mete
9
2013
Heavy traffic convergence of a controlled, multiclass queueing system. Zbl 0866.90061
Martins, L. F.; Shreve, S. E.; Soner, H. M.
9
1996
Rectifiability of the distributional Jacobian for a class of functions. Zbl 0946.49033
Jerrard, Robert Leon; Soner, Halil Mete
8
1999
Anisotropic motion of an interface relaxed by the formation of infinitesimal wrinkles. Zbl 0828.35054
Gurtin, M. E.; Soner, H. M.; Souganidis, P. E.
8
1995
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 consumption and investment with fixed and proportional transaction costs. Zbl 1372.49031
Altarovici, Albert; Reppen, Max; Soner, H. Mete
7
2017
Approximating stochastic volatility by recombinant trees. Zbl 1329.60248
Akyıldırım, Erdinç; Dolinsky, Yan; Soner, H. Mete
7
2014
Controlled Markov processes, viscosity solutions and applications to mathematical finance. Zbl 0889.35127
Soner, Halil Mete
7
1997
Optimal investment and consumption with two bonds and transaction costs. Zbl 0900.90049
Shreve, S. E.; Soner, H. M.; Xu, G.-L.
7
1991
Singular perturbations in manufacturing. Zbl 0778.90019
Soner, H. Mete
6
1993
Merton problem with taxes: characterization, computation, and approximation. Zbl 1230.91166
Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar
5
2010
Stochastic representations for nonlinear parabolic PDEs. Zbl 1193.60079
Soner, H. Mete
5
2007
Small time path behavior of double stochastic integrals and applications to stochastic control. Zbl 1099.60027
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar
5
2005
Optimal control of a one-dimensional storage process. Zbl 0572.90021
Soner, Halil Mete
5
1985
Constrained optimal transport. Zbl 1408.49030
Ekren, Ibrahim; Soner, H. Mete
4
2018
Facelifting in utility maximization. Zbl 1369.91164
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan
4
2016
Optimal dividend policy with random interest rates. Zbl 1296.91274
Akyildirim, Erdinç; Güney, I. Ethem; Rochet, Jean-Charles; Soner, H. Mete
4
2014
Utility maximization in an illiquid market. Zbl 1284.91193
Soner, H. Mete; Vukelja, M.
4
2013
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
4
2007
Hedging under gamma constraints by optimal stopping and face-lifting. Zbl 1278.91151
Soner, H. Mete; Touzi, Nizar
4
2007
Stochastic optimal control in finance. Zbl 1073.91041
Soner, H. Mete
4
2004
Mixing Markov chains and their images. Zbl 1134.68576
Barnsley, Michael F.; Berger, Marc A.; Soner, H. Meté
4
1988
Convex duality with transaction costs. Zbl 1414.91370
Dolinsky, Yan; Soner, H. Mete
3
2017
Hedging under an expected loss constraint with small transaction costs. Zbl 1345.60030
Bouchard, Bruno; Moreau, Ludovic; Soner, H. Mete
3
2016
Merton problem in a discrete market with frictions. Zbl 1254.91707
Chebbi, Souhail; Soner, Halil Mete
3
2013
Large liquidity expansion of super-hedging costs. Zbl 1263.91017
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
3
2012
Stochastic control for a class of random evolution models. Zbl 1056.60035
Hongler, Max-Olivier; Soner, Halil Mete; Streit, Ludwig
3
2004
A remark on the large deviations of an ergodic Markov process. Zbl 0638.60036
Fleming, W. H.; Sheu, S.-J.; Soner, H. M.
3
1987
Utility maximization in an illiquid market in continuous time. Zbl 1371.91169
Soner, H. Mete; Vukelja, Mirjana
2
2016
The problem of super-replication under constraints. Zbl 1074.91021
Soner, H. Mete; Touzi, Nizar
2
2003
Flow by mean curvature of surfaces of any codimension. Zbl 0878.35053
Ambrosio, Luigi; Soner, Halil Mete
2
1996
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. Zbl 0733.93083
Shreve, S. E.; Soner, H. M.
2
1990
Random walks generated by affine mappings. Zbl 0644.60064
Berger, Marc A.; Soner, H. Mete
2
1988
Viscosity solutions for controlled McKean-Vlasov jump-diffusions. Zbl 07225973
Burzoni, Matteo; Ignazio, Vincenzo; Reppen, A. Max; Soner, H. M.
1
2020
Viscosity solutions for controlled McKean-Vlasov jump-diffusions. Zbl 07225973
Burzoni, Matteo; Ignazio, Vincenzo; Reppen, A. Max; Soner, H. M.
1
2020
Constrained optimal transport. Zbl 1408.49030
Ekren, Ibrahim; Soner, H. Mete
4
2018
Hedging with temporary price impact. Zbl 1409.91226
Bank, Peter; Soner, H. Mete; Voß, Moritz
18
2017
Optimal consumption and investment with fixed and proportional transaction costs. Zbl 1372.49031
Altarovici, Albert; Reppen, Max; Soner, H. Mete
7
2017
Convex duality with transaction costs. Zbl 1414.91370
Dolinsky, Yan; Soner, H. Mete
3
2017
Facelifting in utility maximization. Zbl 1369.91164
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan
4
2016
Hedging under an expected loss constraint with small transaction costs. Zbl 1345.60030
Bouchard, Bruno; Moreau, Ludovic; Soner, H. Mete
3
2016
Utility maximization in an illiquid market in continuous time. Zbl 1371.91169
Soner, H. Mete; Vukelja, Mirjana
2
2016
Martingale optimal transport in the Skorokhod space. Zbl 1337.91092
Dolinsky, Yan; Soner, H. Mete
26
2015
Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
14
2015
Asymptotics for fixed transaction costs. Zbl 1336.91062
Altarovici, Albert; Muhle-Karbe, Johannes; Soner, Halil Mete
13
2015
Martingale optimal transport and robust hedging in continuous time. Zbl 1305.91215
Dolinsky, Yan; Soner, H. Mete
74
2014
Robust hedging with proportional transaction costs. Zbl 1304.91189
Dolinsky, Yan; Soner, H. Mete
28
2014
Approximating stochastic volatility by recombinant trees. Zbl 1329.60248
Akyıldırım, Erdinç; Dolinsky, Yan; Soner, H. Mete
7
2014
Optimal dividend policy with random interest rates. Zbl 1296.91274
Akyildirim, Erdinç; Güney, I. Ethem; Rochet, Jean-Charles; Soner, H. Mete
4
2014
Hedging in an illiquid binomial market. Zbl 1293.91189
Gökay, Selim; Soner, Halil Mete
1
2014
Dual formulation of second order target problems. Zbl 1293.60063
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
50
2013
Homogenization and asymptotics for small transaction costs. Zbl 1280.91158
Soner, H. Mete; Touzi, Nizar
22
2013
Duality and convergence for binomial markets with friction. Zbl 1277.91157
Dolinsky, Yan; Soner, Halil Mete
20
2013
Vortex density models for superconductivity and superfluidity. Zbl 1269.82070
Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M.
12
2013
Resilient price impact of trading and the cost of illiquidity. Zbl 1295.91047
Roch, Alexandre; Soner, H. Mete
9
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
101
2012
Superhedging and dynamic risk measures under volatility uncertainty. Zbl 1263.91026
Nutz, Marcel; Soner, H. Mete
24
2012
Weak approximation of \(G\)-expectations. Zbl 1259.60073
Dolinsky, Yan; Nutz, Marcel; Soner, H. Mete
18
2012
Liquidity in a binomial market. Zbl 1277.91170
Gökay, Selim; Soner, Halil Mete
14
2012
Convergence of Ginzburg-Landau functionals in three-dimensional superconductivity. Zbl 1255.35201
Baldo, S.; Jerrard, R. L.; Orlandi, G.; Soner, H. M.
10
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
77
2011
Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
47
2011
Liquidity models in continuous and discrete time. Zbl 1230.91201
Gökay, Selim; Roch, Alexandre F.; Soner, H. Mete
11
2011
Option hedging for small investors under liquidity costs. Zbl 1226.91072
Çetin, Umut; Soner, H. Mete; Touzi, Nizar
33
2010
Merton problem with taxes: characterization, computation, and approximation. Zbl 1230.91166
Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar
5
2010
The dynamic programming equation for second order stochastic target problems. Zbl 1229.91324
Soner, H. Mete; Touzi, Nizar
10
2009
Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas
73
2007
Stochastic representations for nonlinear parabolic PDEs. Zbl 1193.60079
Soner, H. Mete
5
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
4
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
485
2006
The multi-dimensional super-replication problem under gamma constraints. Zbl 1078.91010
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar
22
2005
Small time path behavior of double stochastic integrals and applications to stochastic control. Zbl 1099.60027
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar
5
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
15
2003
The problem of super-replication under constraints. Zbl 1074.91021
Soner, H. Mete; Touzi, Nizar
2
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
85
2002
Dynamic programming for stochastic target problems and geometric flows. Zbl 1003.49003
Soner, H. Mete; Touzi, Nizar
41
2002
Functions of bounded higher variation. Zbl 1057.49036
Jerrard, R. L.; Soner, H. M.
35
2002
Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019
Soner, H. Mete; Touzi, Nizar
33
2002
Limiting behavior of the Ginzburg-Landau functional. Zbl 1028.49015
Jerrard, Robert L.; Soner, Halil Mete
21
2002
A stochastic representation for the level set equations. Zbl 1036.49010
Soner, H. Mete; Touzi, Nizar
12
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
19
1999
Regularity and convergence of crystalline motion. Zbl 0963.35082
Ishii, Katsuyuki; Soner, Halil Mete
10
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
93
1998
Dynamics of Ginzburg-Landau vortices. Zbl 0923.35167
Jerrard, Robert Leon; Soner, Halil Mete
58
1998
Backward stochastic differential equations with constraints on the gains-process. Zbl 0935.60039
Cvitanić, Jakša; Karatzas, Ioannis; Soner, H. Mete
25
1998
Front propagation. Zbl 0914.35065
Soner, Halil Mete
1
1998
Hedging in incomplete markets with HARA utility. Zbl 0899.90026
Duffie, Darrell; Fleming, Wendell; Soner, H. Mete; Zariphopoulou, Thaleia
63
1997
A measure theoretic approach to higher codimension mean curvature flows. Zbl 1043.35136
Ambrosio, Luigi; Soner, Halil Mete
33
1997
Ginzburg-Landau equation and motion by mean curvature. I: Convergence. Zbl 0935.35060
Soner, Halil Mete
23
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
7
1997
Level set approach to mean curvature flow in arbitrary codimension. Zbl 0868.35046
Ambrosio, Luigi; Soner, Halil Mete
69
1996
Three-phase boundary motions under constant velocities. I: The vanishing surface tension limit. Zbl 0861.35122
Reitich, Fernando; Soner, H. Mete
10
1996
Heavy traffic convergence of a controlled, multiclass queueing system. Zbl 0866.90061
Martins, L. F.; Shreve, S. E.; Soner, H. M.
9
1996
Flow by mean curvature of surfaces of any codimension. Zbl 0878.35053
Ambrosio, Luigi; Soner, Halil Mete
2
1996
There is no nontrivial hedging portfolio for option pricing with transaction costs. Zbl 0837.90012
Soner, H. M.; Shreve, S. E.; Cvitanić, J.
66
1995
Convergence of the phase-field equations to the Mullins-Sekerka problem with kinetic undercooling. Zbl 0829.73010
Soner, H. Mete
28
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.
8
1995
Optimal investment and consumption with transaction costs. Zbl 0813.60051
Shreve, S. E.; Soner, H. M.
157
1994
Controlled Markov processes and viscosity solutions. Zbl 0773.60070
Fleming, Wendell H.; Soner, H. Mete
681
1993
Front propagation and phase field theory. Zbl 0785.35049
Barles, G.; Soner, H. M.; Souganidis, P. E.
124
1993
Motion of a set by the curvature of its boundary. Zbl 0769.35070
Soner, Halil Mete
70
1993
Singularities and uniqueness of cylindrically symmetric surfaces moving by mean curvature. Zbl 0804.53006
Soner, H. M.; Souganidis, P. E.
25
1993
On the propagation of singularities of semi-convex functions. Zbl 0874.49041
Ambrosio, L.; Cannarsa, P.; Soner, H. M.
20
1993
A dynamic programming approach to nonlinear boundary control problems of parabolic type. Zbl 0823.49017
Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete
10
1993
Singular perturbations in manufacturing. Zbl 0778.90019
Soner, H. Mete
6
1993
Phase transitions and generalized motion by mean curvature. Zbl 0801.35045
Evans, L. C.; Soner, H. M.; Souganidis, P. E.
200
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.
12
1991
A boundary-value problem for Hamilton-Jacobi equations in Hilbert spaces. Zbl 0745.49025
Cannarsa, Piermarco; Gozzi, Fausto; Soner, Halil Mete
11
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.
7
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.
2
1990
Regularity of the value function for a two-dimensional singular stochastic control problem. Zbl 0685.93076
Soner, H. Mete; Shreve, Steven E.
40
1989
Asymptotic expansions for Markov processes with Lévy generators. Zbl 0713.60085
Fleming, W. H.; Soner, H. M.
32
1989
Generalized one-sided estimates for solutions of Hamilton-Jacobi equations and applications. Zbl 0681.49030
Cannarsa, Piermarco; Soner, Halil Mete
21
1989
Optimal control of jump-Markov processes and viscosity solutions. Zbl 0850.93889
Soner, Halil Mete
22
1988
On the Hamilton-Jacobi-Bellmann equations in Banach spaces. Zbl 0622.49010
Soner, H. Mete
15
1988
Mixing Markov chains and their images. Zbl 1134.68576
Barnsley, Michael F.; Berger, Marc A.; Soner, H. Meté
4
1988
Random walks generated by affine mappings. Zbl 0644.60064
Berger, Marc A.; Soner, H. Mete
2
1988
An optimal stochastic production planning problem with randomly fluctuating demand. Zbl 0635.93077
Fleming, W. H.; Sethi, S. P.; Soner, H. M.
25
1987
On the singularities of the viscosity solutions to Hamilton-Jacobi- Bellman equations. Zbl 0612.70016
Cannarsa, Piermarco; Soner, Halil Mete
24
1987
A remark on the large deviations of an ergodic Markov process. Zbl 0638.60036
Fleming, W. H.; Sheu, S.-J.; Soner, H. M.
3
1987
...and 3 more Documents
all top 5

Cited by 2,909 Authors

52 Soner, Halil Mete
34 Touzi, Nizar
26 Pham, Huyên
23 Muhle-Karbe, Johannes
22 Bayraktar, Erhan
22 Bouchard, Bruno
21 Barles, Guy
21 Cannarsa, Piermarco
20 Jerrard, Robert Leon
19 Zhang, Jianfeng
18 Possamaï, Dylan
18 Zhang, Qing
17 Dolinsky, Yan
17 Gozzi, Fausto
17 Kurzhanskiĭ, Aleksandr Borisovich
16 Lions, Pierre-Louis
16 Nutz, Marcel
16 Orlandi, Giandomenico
15 Cardaliaguet, Pierre
15 Giga, Yoshikazu
15 Guo, Junyi
15 Yang, Hailiang
15 Young, Virginia R.
14 Bethuel, Fabrice
14 Frankowska, Hélène
14 Smets, Didier
13 Beiglböck, Mathias
13 Peng, Shige
13 Souganidis, Panagiotis E.
12 Bank, Peter
12 Goreac, Dan
12 Ishii, Hitoshi
12 Josa-Fombellida, Ricardo
12 Liang, Zhibin
12 Liu, Zuhan
12 Serfaty, Sylvia
12 Świȩch, Andrzej
12 Taksar, Michael I.
12 Tan, Xiaolu
11 Bai, Lihua
11 Camilli, Fabio
11 Chen, Xinfu
11 Hu, Mingshang
11 Jin, Zhuo
11 Novaga, Matteo
11 Rincón-Zapatero, Juan Pablo
11 Yuen, Kam Chuen
11 Zidani, Hasnaa
10 Barron, Emmanuel Nicholas
10 Dai, Min
10 Guasoni, Paolo
10 Jakobsen, Espen Robstad
10 Ponsiglione, Marcello
10 Spirn, Daniel P.
10 Wang, Falei
9 Bellettini, Giovanni
9 Cesaroni, Annalisa
9 Feng, Xiaobing
9 Gomes, Diogo Luís Aguiar
9 Kharroubi, Idris
9 Krylov, Nicolaĭ Vladimirovich
9 Kupper, Michael
9 Kurzke, Matthias W.
9 Ley, Olivier
9 Lin, Yiqing
9 Sethi, Suresh P.
9 Song, Yongsheng
9 Weerasinghe, Ananda P. N.
9 Yi, Fahuai
9 Zhou, Chao
9 Zhu, Weiqiu
8 Atar, Rami
8 Bian, Baojun
8 Dupuis, Paul
8 Ferrari, Giorgio
8 Fleming, Wendell Helms
8 Fuhrman, Marco
8 Henry-Labordère, Pierre
8 Ji, Shaolin
8 Morimoto, Hiroaki
8 Obloj, Jan K.
8 Perthame, Benoît
8 Ren, Zhenjie
8 Rong, Ximin
8 Schachermayer, Walter
8 Sircar, Ronnie
8 Tourin, Agnès
8 Yao, Dingjun
8 Yin, Gang George
7 Ambrosio, Luigi
7 Azcue, Pablo
7 Bardi, Martino
7 Bettiol, Piernicola
7 Bi, Junna
7 Bokanowski, Olivier
7 Bronsard, Lia
7 Budhiraja, Amarjit S.
7 Campi, Luciano
7 Chen, Ping
7 Cox, Alexander Matthew Gordon
...and 2,809 more Authors
all top 5

Cited in 368 Serials

101 Stochastic Processes and their Applications
85 The Annals of Applied Probability
79 Finance and Stochastics
78 SIAM Journal on Control and Optimization
70 Applied Mathematics and Optimization
69 Insurance Mathematics & Economics
67 Journal of Optimization Theory and Applications
56 Archive for Rational Mechanics and Analysis
56 Journal of Mathematical Analysis and Applications
50 Journal of Differential Equations
48 Journal of Economic Dynamics & Control
46 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
41 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
40 Mathematical Finance
40 International Journal of Theoretical and Applied Finance
37 Communications in Partial Differential Equations
35 Calculus of Variations and Partial Differential Equations
34 Journal of Computational and Applied Mathematics
34 Mathematics and Financial Economics
33 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
32 Automatica
31 The Annals of Probability
31 European Journal of Operational Research
30 Stochastic Analysis and Applications
27 Journal of Computational Physics
26 Quantitative Finance
25 Journal of Functional Analysis
25 Systems & Control Letters
25 NoDEA. Nonlinear Differential Equations and Applications
25 SIAM Journal on Financial Mathematics
24 Transactions of the American Mathematical Society
23 Stochastics
22 Mathematical Methods of Operations Research
21 Applied Mathematics and Computation
21 SIAM Journal on Mathematical Analysis
20 Journal of Mathematical Economics
19 Nonlinear Analysis. Theory, Methods & Applications
18 Comptes Rendus. Mathématique. Académie des Sciences, Paris
16 Computers & Mathematics with Applications
16 Communications on Pure and Applied Mathematics
16 Journal of Statistical Physics
16 Probability Theory and Related Fields
16 Japan Journal of Industrial and Applied Mathematics
16 Discrete and Continuous Dynamical Systems
16 Journal of Industrial and Management Optimization
15 Applied Mathematical Finance
14 Communications in Mathematical Physics
14 Journal of Economic Theory
14 Mathematische Annalen
14 Journal of Mathematical Sciences (New York)
14 Mathematical Control and Related Fields
13 Physica D
13 Journal of Scientific Computing
13 The Journal of Geometric Analysis
13 Scandinavian Actuarial Journal
13 Differential Equations
13 Discrete and Continuous Dynamical Systems. Series B
12 Numerische Mathematik
12 Journal de Mathématiques Pures et Appliquées. Neuvième Série
12 Mathematical Problems in Engineering
12 Dynamic Games and Applications
11 Annali della Scuola Normale Superiore di Pisa. Classe di Scienze. Serie IV
11 Acta Mathematicae Applicatae Sinica. English Series
11 Annals of Finance
10 Applied Numerical Mathematics
10 MCSS. Mathematics of Control, Signals, and Systems
10 Annals of Operations Research
10 Abstract and Applied Analysis
10 Journal of the European Mathematical Society (JEMS)
9 Journal of Mathematical Physics
9 Mathematics of Operations Research
9 Acta Mathematica Sinica. English Series
9 Communications in Contemporary Mathematics
9 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
8 Advances in Applied Probability
8 Mathematics of Computation
8 European Journal of Applied Mathematics
8 Proceedings of the Royal Society of Edinburgh. Section A. Mathematics
8 Bernoulli
8 Discrete Dynamics in Nature and Society
8 Journal of Systems Science and Complexity
7 Computer Methods in Applied Mechanics and Engineering
7 Duke Mathematical Journal
7 SIAM Journal on Numerical Analysis
7 Queueing Systems
7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
7 Stochastics and Stochastics Reports
7 Interfaces and Free Boundaries
7 The ANZIAM Journal
7 ASTIN Bulletin
7 Probability, Uncertainty and Quantitative Risk
6 Chaos, Solitons and Fractals
6 Advances in Mathematics
6 Optimal Control Applications & Methods
6 Mathematical and Computer Modelling
6 Science in China. Series A
6 Journal of Global Optimization
6 International Journal of Computer Mathematics
6 Applied Mathematics. Series B (English Edition)
6 Economic Theory
...and 268 more Serials
all top 5

Cited in 51 Fields

1,123 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
936 Probability theory and stochastic processes (60-XX)
903 Partial differential equations (35-XX)
885 Calculus of variations and optimal control; optimization (49-XX)
826 Systems theory; control (93-XX)
284 Numerical analysis (65-XX)
237 Operations research, mathematical programming (90-XX)
123 Differential geometry (53-XX)
122 Statistical mechanics, structure of matter (82-XX)
70 Ordinary differential equations (34-XX)
64 Global analysis, analysis on manifolds (58-XX)
59 Mechanics of deformable solids (74-XX)
52 Operator theory (47-XX)
51 Fluid mechanics (76-XX)
48 Statistics (62-XX)
44 Biology and other natural sciences (92-XX)
43 Dynamical systems and ergodic theory (37-XX)
42 Integral equations (45-XX)
33 Mechanics of particles and systems (70-XX)
33 Classical thermodynamics, heat transfer (80-XX)
32 Real functions (26-XX)
26 Computer science (68-XX)
24 Functional analysis (46-XX)
23 Measure and integration (28-XX)
18 Quantum theory (81-XX)
13 Optics, electromagnetic theory (78-XX)
11 Difference and functional equations (39-XX)
11 Information and communication theory, circuits (94-XX)
10 Convex and discrete geometry (52-XX)
8 Approximations and expansions (41-XX)
6 Potential theory (31-XX)
5 Functions of a complex variable (30-XX)
5 General topology (54-XX)
5 Geophysics (86-XX)
4 Combinatorics (05-XX)
4 Several complex variables and analytic spaces (32-XX)
4 Integral transforms, operational calculus (44-XX)
3 General and overarching topics; collections (00-XX)
3 Algebraic topology (55-XX)
2 Mathematical logic and foundations (03-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
2 Geometry (51-XX)
1 History and biography (01-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 Sequences, series, summability (40-XX)
1 Manifolds and cell complexes (57-XX)
1 Relativity and gravitational theory (83-XX)
1 Mathematics education (97-XX)

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