A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS

A Viscosity Solution Approach to the Asymptotic Analysis of Queueing Systems

article published in 1990

A boundary-value problem for Hamilton-Jacobi equations in hilbert spaces

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

A remark on the large deviations of an ergodic markov process

article

An Optimal Stochastic Production Planning Problem with Randomly Fluctuating Demand

article

An asymptotic analysis of hierarchical control of manufacturing systems

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

Approximating stochastic volatility by recombinant trees

Asymptotic expansions for Markov processes with l�vy generators

Asymptotics for fixed transaction costs

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

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

Dual formulation of second order target problems

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

Duality and convergence for binomial markets with friction

Dynamic programming for stochastic target problems and geometric flows

article

Dynamics of Ginzburg-Landau Vortices

article

Facelifting in utility maximization

Front Propagation and Phase Field Theory

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

article

HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTING

Heavy Traffic Convergence of a Controlled, Multiclass Queueing System

Hedging Under an Expected Loss Constraint with Small Transaction Costs

Hedging in an illiquid binomial market

scholarly article by Selim Gökay & Halil Mete Soner published April 2014 in Nonlinear Analysis

Hedging in incomplete markets with HARA utility

Hedging with temporary price impact

Homogenization and Asymptotics for Small Transaction Costs

Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case

LIQUIDITY IN A BINOMIAL MARKET

article

Level set approach to mean curvature flow in arbitrary codimension

scientific article published in 1996

Limiting Behavior of the Ginzburg–Landau Functional

article

Martingale optimal transport and robust hedging in continuous time

Martingale representation theorem for the G -expectation

article published in 2011

Merton Problem with Taxes: Characterization, Computation, and Approximation

Merton problem in a discrete market with frictions

Merton problem in an infinite horizon and a discrete time with frictions

On the Hamilton-Jacobi-Bellman equations in Banach spaces

Optimal Control with State-Space Constraint I

Optimal Control with State-Space Constraint. II

Optimal Investment and Consumption with Transaction Costs

scientific article published in 1994

Optimal Replication of Contingent Claims under Portfolio Constraints

Optimal control of a one-dimensional storage process

Optimal dividend policy with random interest rates

scholarly article by Erdinç Akyildirim et al published March 2014 in Journal of Mathematical Economics

Optimal investment strategies with a reallocation constraint

Option hedging for small investors under liquidity costs

article published in 2009

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

article published in 1998

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

RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY

article

Rectifiability of the distributional Jacobian for a class of functions

article

Regularity and Convergence of Crystalline Motion

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

Robust hedging with proportional transaction costs

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

article

Second-Order Stochastic Target Problems with Generalized Market Impact ⬇️

scholarly article

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

Singular Perturbations in Manufacturing

Singularities and uniqueness of cylindrically symmetric surfaces moving by mean curvature

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

Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

Stochastic control for a class of random evolution models

Superhedging and Dynamic Risk Measures under Volatility Uncertainty

Superreplication Under Gamma Constraints

TRADING WITH SMALL PRICE IMPACT

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

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

The multi-dimensional super-replication problem under gamma constraints

article

Utility maximization in an illiquid market

article

Utility maximization in an illiquid market in continuous time

Weak approximation of G -expectations

Wellposedness of second order backward SDEs

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