List of works - Halil Mete Soner

Option pricing with transaction costs and a nonlinear Black-Scholes equation

article published in 1998

Optimal Investment and Consumption with Transaction Costs

scientific article published in 1994

Front Propagation and Phase Field Theory

Phase transitions and generalized motion by mean curvature

scholarly article by L. C. Evans et al published October 1992 in Communications on Pure and Applied Mathematics

Option hedging for small investors under liquidity costs

article published in 2009

LIQUIDITY IN A BINOMIAL MARKET

article

Optimal Control with State-Space Constraint I

Dynamic programming for stochastic target problems and geometric flows

article

Homogenization and Asymptotics for Small Transaction Costs

Superreplication Under Gamma Constraints

Hedging in incomplete markets with HARA utility

Wellposedness of second order backward SDEs

article by H. Mete Soner et al published 4 February 2011 in Probability Theory and Related Fields

Martingale representation theorem for the G -expectation

article published in 2011

Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem

Optimal Replication of Contingent Claims under Portfolio Constraints

RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY

article

The multi-dimensional super-replication problem under gamma constraints

article

The Dynamic Programming Equation for Second Order Stochastic Target Problems

article by H. Mete Soner & Nizar Touzi published January 2009 in SIAM Journal on Control and Optimization

Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

scholarly article by Patrick Cheridito et al published 2007 in Communications on Pure and Applied Mathematics

Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

Convergence of the phase-field equations to the mullins-sekerka problem with kinetic undercooling

Q57635964

article

An Optimal Stochastic Production Planning Problem with Randomly Fluctuating Demand

article

Limiting Behavior of the Ginzburg–Landau Functional

article

A Viscosity Solution Approach to the Asymptotic Analysis of Queueing Systems

article published in 1990

Utility maximization in an illiquid market

article

Asymptotics for fixed transaction costs

Small time path behavior of double stochastic integrals and applications to stochastic control

A free boundary problem related to singular stochastic control: the parabolic case

Asymptotic expansions for Markov processes with l�vy generators

Regularity and Convergence of Crystalline Motion

Duality and convergence for binomial markets with friction

Weak approximation of G -expectations

TRADING WITH SMALL PRICE IMPACT

Optimal Control with State-Space Constraint. II

Singular Perturbations in Manufacturing

Dual formulation of second order target problems

article by H. Mete Soner et al published February 2013 in Annals of Applied Probability

Dynamics of Ginzburg-Landau Vortices

article

Scaling limits and regularity results for a class of Ginzburg-Landau systems

article

Level set approach to mean curvature flow in arbitrary codimension

scientific article published in 1996

A remark on the large deviations of an ergodic markov process

article

Corrigendum to “Martingale optimal transport in the Skorokhod space” [Stochastic Process. Appl. 125(10) (2015) 3893–3931]

scholarly article by Yan Dolinsky & H. Mete Soner published January 2016 in Stochastic Processes and their Applications

Anisotropic Motion of an Interface Relaxed by the Formation of Infinitesimal Wrinkles

Approximating stochastic volatility by recombinant trees

Utility maximization in an illiquid market in continuous time

Facelifting in utility maximization

Q57636101

article published in 1987

Generalized one-sided estimates for solutions of Hamilton-Jacobi equations and applications

article

List of works by Halil Mete Soner

Option pricing with transaction costs and a nonlinear Black-Scholes equation

Optimal Investment and Consumption with Transaction Costs

Front Propagation and Phase Field Theory

Phase transitions and generalized motion by mean curvature

Option hedging for small investors under liquidity costs

LIQUIDITY IN A BINOMIAL MARKET

Optimal Control with State-Space Constraint I

Dynamic programming for stochastic target problems and geometric flows

Homogenization and Asymptotics for Small Transaction Costs

Superreplication Under Gamma Constraints

Hedging in incomplete markets with HARA utility

Wellposedness of second order backward SDEs

Martingale representation theorem for the G -expectation

Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem

Optimal Replication of Contingent Claims under Portfolio Constraints

RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY

The multi-dimensional super-replication problem under gamma constraints

The Dynamic Programming Equation for Second Order Stochastic Target Problems

Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

Convergence of the phase-field equations to the mullins-sekerka problem with kinetic undercooling

Q57635964

An Optimal Stochastic Production Planning Problem with Randomly Fluctuating Demand

Limiting Behavior of the Ginzburg–Landau Functional

A Viscosity Solution Approach to the Asymptotic Analysis of Queueing Systems

Utility maximization in an illiquid market

Asymptotics for fixed transaction costs

Small time path behavior of double stochastic integrals and applications to stochastic control

A free boundary problem related to singular stochastic control: the parabolic case

Asymptotic expansions for Markov processes with l�vy generators

Regularity and Convergence of Crystalline Motion

Duality and convergence for binomial markets with friction

Weak approximation of G -expectations

TRADING WITH SMALL PRICE IMPACT

Optimal Control with State-Space Constraint. II

Singular Perturbations in Manufacturing

Dual formulation of second order target problems

Dynamics of Ginzburg-Landau Vortices

Scaling limits and regularity results for a class of Ginzburg-Landau systems

Level set approach to mean curvature flow in arbitrary codimension

A remark on the large deviations of an ergodic markov process

Corrigendum to “Martingale optimal transport in the Skorokhod space” [Stochastic Process. Appl. 125(10) (2015) 3893–3931]

Anisotropic Motion of an Interface Relaxed by the Formation of Infinitesimal Wrinkles

Approximating stochastic volatility by recombinant trees

Utility maximization in an illiquid market in continuous time

Facelifting in utility maximization

Q57636101

Generalized one-sided estimates for solutions of Hamilton-Jacobi equations and applications

The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes

Heavy Traffic Convergence of a Controlled, Multiclass Queueing System