H. Mete Soner

25 papers Journal 25
YearRankTypeTitle / Venue / Authors
2025 J jnl
Stopping Times of Boundaries: Relaxation and Continuity.
SIAM J. Control. Optim.
H. Mete Soner, Valentin Tissot-Daguette
2024 J jnl
Deep level-set method for Stefan problems.
J. Comput. Phys.
Mykhaylo Shkolnikov, H. Mete Soner, Valentin Tissot-Daguette
2024 J jnl
Viscosity Solutions for McKean-Vlasov Control on a Torus.
SIAM J. Control. Optim.
H. Mete Soner, Qinxin Yan
2023 J jnl
Deep Level-set Method for Stefan Problems.
CoRR
Mykhaylo Shkolnikov, H. Mete Soner, Valentin Tissot-Daguette
2023 J jnl
Leveraged Exchange-Traded Funds with Market Closure and Frictions.
Manag. Sci.
Min Dai, Steven Kou, H. Mete Soner, Chen Yang
2021 J jnl
Discrete Dividend Payments in Continuous Time.
Math. Oper. Res.
Jussi Keppo, A. Max Reppen, H. Mete Soner
2020 J jnl
Bias-Variance Trade-off and Overlearning in Dynamic Decision Problems.
CoRR
A. Max Reppen, H. Mete Soner
2020 J jnl
Viscosity Solutions for Controlled McKean-Vlasov Jump-Diffusions.
SIAM J. Control. Optim.
Matteo Burzoni, Vincenzo Ignazio, A. Max Reppen, H. Mete Soner
2018 J jnl
Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications.
J. Optim. Theory Appl.
Bruno Bouchard, H. Mete Soner, Nizar Touzi
2017 J jnl
Convex Duality with Transaction Costs.
Math. Oper. Res.
Yan Dolinsky, H. Mete Soner
2017 J jnl
Optimal Consumption and Investment with Fixed and Proportional Transaction Costs.
SIAM J. Control. Optim.
Albert Altarovici, A. Max Reppen, H. Mete Soner
2016 J jnl
Hedging Under an Expected Loss Constraint with Small Transaction Costs.
SIAM J. Financial Math.
Bruno Bouchard, Ludovic Moreau, H. Mete Soner
2016 J jnl
Utility maximization in an illiquid market in continuous time.
Math. Methods Oper. Res.
H. Mete Soner, Mirjana Vukelja
2014 J jnl
Robust hedging with proportional transaction costs.
Finance Stochastics
Yan Dolinsky, H. Mete Soner
2013 J jnl
Homogenization and Asymptotics for Small Transaction Costs.
SIAM J. Control. Optim.
H. Mete Soner, Nizar Touzi
2012 J jnl
Large liquidity expansion of super-hedging costs.
Asymptot. Anal.
Dylan Possamaï, H. Mete Soner, Nizar Touzi
2012 J jnl
Superhedging and Dynamic Risk Measures under Volatility Uncertainty.
SIAM J. Control. Optim.
Marcel Nutz, H. Mete Soner
2010 J jnl
Merton Problem with Taxes: Characterization, Computation, and Approximation.
SIAM J. Financial Math.
Imen Ben Tahar, H. Mete Soner, Nizar Touzi
2010 J jnl
Optimal investment strategies with a reallocation constraint.
Math. Methods Oper. Res.
Feyzullah Egriboyun, H. Mete Soner
2010 J jnl
Option hedging for small investors under liquidity costs.
Finance Stochastics
Umut Çetin, H. Mete Soner, Nizar Touzi
2009 J jnl
The Dynamic Programming Equation for Second Order Stochastic Target Problems.
SIAM J. Control. Optim.
H. Mete Soner, Nizar Touzi
2007 J jnl
The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes.
SIAM J. Control. Optim.
Imen Ben Tahar, H. Mete Soner, Nizar Touzi
2002 J jnl
Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions.
SIAM J. Control. Optim.
H. Mete Soner, Nizar Touzi
2000 J jnl
Superreplication Under Gamma Constraints.
SIAM J. Control. Optim.
H. Mete Soner, Nizar Touzi
1991 J jnl
An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty.
Math. Oper. Res.
John P. Lehoczky, Suresh P. Sethi, H. Mete Soner, Michael I. Taksar