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1

Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

Altarovici, Albert, Reppen, Max, Soner, H. Mete

Journal:

SIAM Journal on Control and Optimization

Year:

2017

Language:

english

File:

PDF, 1.99 MB

english, 2017

2

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

Patrick Cheridito, H. Mete Soner, Nizar Touzi, Nicolas Victoir

Journal:

Communications on Pure and Applied Mathematics

Year:

2007

Language:

english

File:

PDF, 234 KB

english, 2007

3

[Lecture Notes in Mathematics] Mathematical Aspects of Evolving Interfaces Volume 1812 || Lecture Notes on Optimal Transport Problems

Ambrosio, Luigi, Deckelnick, Klaus, Dziuk, Gerhard, Mimura, Masayasu, Solonnikov, Vsevolod A., Soner, Halil Mete

Year:

2003

Language:

english

File:

PDF, 463 KB

english, 2003

4

Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications

Bouchard, Bruno, Soner, H. Mete, Touzi, Nizar

Journal:

Journal of Optimization Theory and Applications

Year:

2018

Language:

english

File:

PDF, 300 KB

english, 2018

5

HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTING

H. Mete Soner, Nizar Touzi

Journal:

Mathematical Finance

Year:

2007

Language:

english

File:

PDF, 271 KB

english, 2007

6

LIQUIDITY IN A BINOMIAL MARKET

Selim Gökay, Halil Mete Soner

Journal:

Mathematical Finance

Year:

2012

Language:

english

File:

PDF, 686 KB

english, 2012

7

Optimal Control with State-Space Constraint I

Soner, Halil Mete

Journal:

SIAM Journal on Control and Optimization

Year:

1986

Language:

english

File:

PDF, 898 KB

english, 1986

8

Optimal Control with State-Space Constraint. II

Soner, Halil Mete

Journal:

SIAM Journal on Control and Optimization

Year:

1986

Language:

english

File:

PDF, 966 KB

english, 1986

9

RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY

ROCH, ALEXANDRE, METE SONER, H.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2013

Language:

english

File:

PDF, 324 KB

english, 2013

10

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

Dolinsky, Yan, Soner, H. Mete

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 141 KB

english, 2016

11

Level set approach to mean curvature flow in arbitrary codimension

Ambrosio, Luigi, Soner, Halil Mete

Journal:

Journal Of Differential Geometry

Year:

1996

Language:

english

File:

PDF, 3.22 MB

english, 1996

12

A Primer on Portfolio Choice with Small Transaction Costs

Muhle-Karbe, Johannes, Reppen, Max, Soner, H. Mete

Journal:

Annual Review of Financial Economics

Year:

2017

Language:

english

File:

PDF, 843 KB

english, 2017

13

Limiting Behavior of the Ginzburg–Landau Functional

Robert L. Jerrard, Halil Mete Soner

Journal:

Journal of Functional Analysis

Year:

2002

Language:

english

File:

PDF, 319 KB

english, 2002

14

Hedging in incomplete markets with HARA utility

Darrell Duffie, Wendell Fleming, H.Mete Soner, Thaleia Zariphopoulou

Journal:

Journal of Economic Dynamics and Control

Year:

1997

Language:

english

File:

PDF, 1.45 MB

english, 1997

15

Optimal control of a one-dimensional storage process

Halil Mete Soner

Journal:

Applied Mathematics & Optimization

Year:

1985

Language:

english

File:

PDF, 793 KB

english, 1985

16

Optimal investment strategies with a reallocation constraint

Feyzullah Egriboyun, H. Mete Soner

Journal:

Mathematical Methods of Operations Research

Year:

2010

Language:

english

File:

PDF, 831 KB

english, 2010

17

Dynamics of Ginzburg‐Landau Vortices

Robert Leon Jerrard, Halil Mete Soner

Journal:

Archive for Rational Mechanics and Analysis

Year:

1998

Language:

english

File:

PDF, 260 KB

english, 1998

18

The Jacobian and the Ginzburg-Landau energy

Robert L. Jerrard, Halil Mete Soner

Journal:

Calculus of Variations and Partial Differential Equations

Year:

2002

Language:

english

File:

PDF, 344 KB

english, 2002

19

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

Guy Barles, Halil Mete Soner

Journal:

Finance and Stochastics

Year:

1998

Language:

english

File:

PDF, 262 KB

english, 1998

20

Wellposedness of second order backward SDEs

Soner, H. Mete, Touzi, Nizar, Zhang, Jianfeng

Journal:

Probability Theory and Related Fields

Year:

2012

Language:

english

File:

PDF, 440 KB

english, 2012

21

Merton Problem with Taxes: Characterization, Computation, and Approximation

Tahar, Imen Ben, Soner, H. Mete, Touzi, Nizar

Journal:

SIAM Journal on Financial Mathematics

Year:

2010

Language:

english

File:

PDF, 1.62 MB

english, 2010

22

Duality and convergence for binomial markets with friction

Yan Dolinsky, Halil Mete Soner

Journal:

Finance and Stochastics

Year:

2013

Language:

english

File:

PDF, 885 KB

english, 2013

23

Optimal dividend policy with random interest rates

Akyildirim, Erdinç, Güney, I. Ethem, Rochet, Jean-Charles, Soner, H. Mete

Journal:

Journal of Mathematical Economics

Year:

2014

Language:

english

File:

PDF, 372 KB

english, 2014

24

Martingale optimal transport and robust hedging in continuous time

Dolinsky, Yan, Soner, H. Mete

Journal:

Probability Theory and Related Fields

Year:

2014

Language:

english

File:

PDF, 376 KB

english, 2014

25

A brief history of mathematics in finance

Akyıldırım, Erdinç, Soner, Halil Mete

Journal:

Borsa Istanbul Review

Year:

2014

Language:

english

File:

PDF, 1.05 MB

english, 2014

26

Robust hedging with proportional transaction costs

Dolinsky, Yan, Soner, H. Mete

Journal:

Finance and Stochastics

Year:

2014

Language:

english

File:

PDF, 715 KB

english, 2014

27

Utility maximization in an illiquid market

Mete Soner, H., Vukelja, M.

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2013

Language:

english

File:

PDF, 221 KB

english, 2013

28

Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

Soner, H. Mete, Touzi, Nizar

Journal:

SIAM Journal on Control and Optimization

Year:

2002

Language:

english

File:

PDF, 209 KB

english, 2002

29

Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case

Possamaï, Dylan, Soner, H. Mete, Touzi, Nizar

Journal:

Communications in Partial Differential Equations

Year:

2015

Language:

english

File:

PDF, 1.14 MB

english, 2015

30

Martingale optimal transport in the Skorokhod space

Dolinsky, Yan, Soner, H. Mete

Journal:

Stochastic Processes and their Applications

Year:

2015

Language:

english

File:

PDF, 388 KB

english, 2015

31

TRADING WITH SMALL PRICE IMPACT

Moreau, Ludovic, Muhle-Karbe, Johannes, Soner, H. Mete

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 538 KB

english, 2015

32

Hedging Under an Expected Loss Constraint with Small Transaction Costs

Bouchard, Bruno, Moreau, Ludovic, Soner, H. Mete

Journal:

SIAM Journal on Financial Mathematics

Year:

2016

Language:

english

File:

PDF, 758 KB

english, 2016

33

Hedging with temporary price impact

Bank, Peter, Soner, H. Mete, Voß, Moritz

Journal:

Mathematics and Financial Economics

Year:

2017

Language:

english

File:

PDF, 765 KB

english, 2017

34

Constrained Optimal Transport

Ekren, Ibrahim, Soner, H. Mete

Journal:

Archive for Rational Mechanics and Analysis

Year:

2018

Language:

english

File:

PDF, 635 KB

english, 2018

35

Resilient Price Impact of Trading and the Cost of Illiquidity

Roch, Alexandre, Soner, Halil Mete

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 341 KB

english, 2011

36

Martingale optimal transport duality

Cheridito, Patrick, Kiiski, Matti, PrÃ¶mel, David J., Soner, H. Mete

Journal:

Mathematische Annalen

Year:

2020

Language:

english

File:

PDF, 489 KB

english, 2020

37

Conditional Davis pricing

Larsen, Kasper, Soner, Halil Mete, Å½itkoviÄ, Gordan

Journal:

Finance and Stochastics

Year:

2020

File:

PDF, 986 KB

2020

38

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

Piermarco Cannarsa, Halil Mete Soner

Journal:

Nonlinear Analysis: Theory, Methods & Applications

Year:

1989

Language:

english

File:

PDF, 1.13 MB

english, 1989

39

The multi-dimensional super-replication problem under gamma constraints

Patrick Cheridito, H. Mete Soner, Nizar Touzi

Journal:

Annales de l'Institut Henri Poincare (C) Non Linear Analysis

Year:

2005

File:

PDF, 305 KB

2005

40

Martingale representation theorem for the -expectation

H. Mete Soner, Nizar Touzi, Jianfeng Zhang

Journal:

Stochastic Processes and their Applications

Year:

2011

Language:

english

File:

PDF, 309 KB

english, 2011

41

Rectifiability of the distributional Jacobian for a class of functions

Robert Leon Jerrard, Halil Mete Soner

Journal:

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

Year:

1999

File:

PDF, 431 KB

1999

42

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

Journal:

Archive for Rational Mechanics and Analysis

Year:

1995

Language:

english

File:

PDF, 1.86 MB

english, 1995

43

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

Piermarco Cannarsa, Fausto Gozzi, Halil Mete Soner

Journal:

Applied Mathematics & Optimization

Year:

1991

Language:

english

File:

PDF, 1013 KB

english, 1991

44

On the Hamilton-Jacobi-Bellman equations in Banach spaces

Journal:

Journal of Optimization Theory and Applications

Year:

1988

Language:

english

File:

PDF, 364 KB

english, 1988

45

Stochastic control for a class of random evolution models

Max-Olivier Hongler, Halil Mete Soner, Ludwig Streit

Journal:

Applied Mathematics & Optimization

Year:

2004

Language:

english

File:

PDF, 336 KB

english, 2004

46

Ginzburg-Landau equation and motion by mean curvature, II: Development of the initial interface

Halil Mete Soner

Journal:

Journal of Geometric Analysis

Year:

1997

Language:

english

File:

PDF, 422 KB

english, 1997

47

Stochastic Control for a Class of Random Evolution Models

Max-Olivier Hongler, Halil Mete Soner, Ludwig Streit

Journal:

Applied Mathematics & Optimization

Year:

2004

Language:

english

File:

PDF, 160 KB

english, 2004

48

Option hedging for small investors under liquidity costs

Umut Çetin, H. Mete Soner, Nizar Touzi

Journal:

Finance and Stochastics

Year:

2010

Language:

english

File:

PDF, 569 KB

english, 2010

49

Dynamic programming for stochastic target problems and geometric flows

H. Mete Soner, Nizar Touzi

Journal:

Journal of the European Mathematical Society

Year:

2002

Language:

english

File:

PDF, 294 KB

english, 2002

50

Random walks generated by affine mappings

Marc A. Berger, H. Mete Soner

Journal:

Journal of Theoretical Probability

Year:

1988

Language:

english

File:

PDF, 541 KB

english, 1988

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