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ORCIDHalil Mete Soner
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- affiliation: ETH Zürich
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Journal Articles
- 2024
[j28]Mykhaylo Shkolnikov, H. Mete Soner, Valentin Tissot-Daguette
:
Deep level-set method for Stefan problems. J. Comput. Phys. 503: 112828 (2024)- [j27]H. Mete Soner, Qinxin Yan:
Viscosity Solutions for McKean-Vlasov Control on a Torus. SIAM J. Control. Optim. 62(2): 903-923 (2024) - 2023
- [j26]Min Dai, Steven Kou, H. Mete Soner, Chen Yang:
Leveraged Exchange-Traded Funds with Market Closure and Frictions. Manag. Sci. 69(4): 2517-2535 (2023) - 2021
- [j25]Jussi Keppo, A. Max Reppen, H. Mete Soner:
Discrete Dividend Payments in Continuous Time. Math. Oper. Res. 46(3): 895-911 (2021) - 2020
- [j24]Matteo Burzoni, Vincenzo Ignazio, A. Max Reppen, H. Mete Soner:
Viscosity Solutions for Controlled McKean-Vlasov Jump-Diffusions. SIAM J. Control. Optim. 58(3): 1676-1699 (2020) - 2019
- [j23]Bruno Bouchard, Grégoire Loeper, Halil Mete Soner, Chao Zhou:
Second-Order Stochastic Target Problems with Generalized Market Impact. SIAM J. Control. Optim. 57(6): 4125-4149 (2019) - 2018
- [j22]Bruno Bouchard, H. Mete Soner, Nizar Touzi:
Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications. J. Optim. Theory Appl. 179(2): 363-365 (2018) - 2017
- [j21]Yan Dolinsky, H. Mete Soner:
Convex Duality with Transaction Costs. Math. Oper. Res. 42(2): 448-471 (2017) - [j20]Albert Altarovici, A. Max Reppen, H. Mete Soner:
Optimal Consumption and Investment with Fixed and Proportional Transaction Costs. SIAM J. Control. Optim. 55(3): 1673-1710 (2017) - 2016
- [j19]Kasper Larsen, Halil Mete Soner, Gordan Zitkovic:
Facelifting in utility maximization. Finance Stochastics 20(1): 99-121 (2016) - [j18]H. Mete Soner, Mirjana Vukelja:
Utility maximization in an illiquid market in continuous time. Math. Methods Oper. Res. 84(2): 285-321 (2016) - [j17]Bruno Bouchard, Ludovic Moreau, H. Mete Soner:
Hedging Under an Expected Loss Constraint with Small Transaction Costs. SIAM J. Financial Math. 7(1): 508-551 (2016) - 2015
- [j16]Albert Altarovici, Johannes Muhle-Karbe, Halil Mete Soner:
Asymptotics for fixed transaction costs. Finance Stochastics 19(2): 363-414 (2015) - 2014
- [j15]Yan Dolinsky, H. Mete Soner:
Robust hedging with proportional transaction costs. Finance Stochastics 18(2): 327-347 (2014) - 2013
- [j14]Yan Dolinsky, Halil Mete Soner:
Duality and convergence for binomial markets with friction. Finance Stochastics 17(3): 447-475 (2013) - [j13]H. Mete Soner, Nizar Touzi:
Homogenization and Asymptotics for Small Transaction Costs. SIAM J. Control. Optim. 51(4): 2893-2921 (2013) - 2012
- [j12]Dylan Possamaï, H. Mete Soner, Nizar Touzi:
Large liquidity expansion of super-hedging costs. Asymptot. Anal. 79(1-2): 45-64 (2012) - [j11]Marcel Nutz, H. Mete Soner:
Superhedging and Dynamic Risk Measures under Volatility Uncertainty. SIAM J. Control. Optim. 50(4): 2065-2089 (2012) - 2010
- [j10]Umut Çetin, H. Mete Soner, Nizar Touzi:
Option hedging for small investors under liquidity costs. Finance Stochastics 14(3): 317-341 (2010) - [j9]Feyzullah Egriboyun, H. Mete Soner:
Optimal investment strategies with a reallocation constraint. Math. Methods Oper. Res. 71(3): 551-585 (2010) - [j8]Imen Ben Tahar, H. Mete Soner, Nizar Touzi:
Merton Problem with Taxes: Characterization, Computation, and Approximation. SIAM J. Financial Math. 1(1): 366-395 (2010) - 2009
- [j7]H. Mete Soner, Nizar Touzi:
The Dynamic Programming Equation for Second Order Stochastic Target Problems. SIAM J. Control. Optim. 48(4): 2344-2365 (2009) - 2007
- [j6]Imen Ben Tahar, H. Mete Soner, Nizar Touzi:
The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes. SIAM J. Control. Optim. 46(5): 1779-1801 (2007) - 2002
- [j5]H. Mete Soner, Nizar Touzi:
Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions. SIAM J. Control. Optim. 41(2): 404-424 (2002) - 2000
- [j4]H. Mete Soner, Nizar Touzi:
Superreplication Under Gamma Constraints. SIAM J. Control. Optim. 39(1): 73-96 (2000) - 1998
- [j3]Guy Barles, Halil Mete Soner:
Option pricing with transaction costs and a nonlinear Black-Scholes equation. Finance Stochastics 2(4): 369-397 (1998) - 1992
- [j2]Suresh P. Sethi, Halil Mete Soner, Qing Zhang, H. Jiang:
Turnpike Sets and Their Analysis in Stochastic Production Planning Problems. Math. Oper. Res. 17(4): 932-950 (1992) - 1991
- [j1]John P. Lehoczky, Suresh P. Sethi, H. Mete Soner, Michael I. Taksar:
An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty. Math. Oper. Res. 16(3): 596-608 (1991)
Informal and Other Publications
- 2023
- [i2]Mykhaylo Shkolnikov, H. Mete Soner, Valentin Tissot-Daguette:
Deep Level-set Method for Stefan Problems. CoRR abs/2306.11601 (2023) - 2020
- [i1]A. Max Reppen, H. Mete Soner:
Bias-Variance Trade-off and Overlearning in Dynamic Decision Problems. CoRR abs/2011.09349 (2020)
Coauthor Index
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