Halil Mete Soner

According to our database, Halil Mete Soner authored at least 29 papers between 1991 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Viscosity Solutions for McKean-Vlasov Control on a Torus.

H. Mete Soner, Qinxin Yan

SIAM J. Control. Optim., 2024

Deep level-set method for Stefan problems.

Mykhaylo Shkolnikov, H. Mete Soner, Valentin Tissot-Daguette

J. Comput. Phys., 2024

2023

Leveraged Exchange-Traded Funds with Market Closure and Frictions.

Min Dai, Steven Kou, H. Mete Soner, Chen Yang

Manag. Sci., April, 2023

2021

Discrete Dividend Payments in Continuous Time.

Jussi Keppo, A. Max Reppen, H. Mete Soner

Math. Oper. Res., 2021

2020

Viscosity Solutions for Controlled McKean-Vlasov Jump-Diffusions.

Matteo Burzoni, Vincenzo Ignazio, A. Max Reppen, H. Mete Soner

SIAM J. Control. Optim., 2020

Bias-Variance Trade-off and Overlearning in Dynamic Decision Problems.

A. Max Reppen, H. Mete Soner

CoRR, 2020

2019

Second-Order Stochastic Target Problems with Generalized Market Impact.

Bruno Bouchard, Grégoire Loeper, Halil Mete Soner, Chao Zhou

SIAM J. Control. Optim., 2019

2018

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

Bruno Bouchard, H. Mete Soner, Nizar Touzi

J. Optim. Theory Appl., 2018

2017

Optimal Consumption and Investment with Fixed and Proportional Transaction Costs.

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

SIAM J. Control. Optim., 2017

Convex Duality with Transaction Costs.

Yan Dolinsky, H. Mete Soner

Math. Oper. Res., 2017

2016

Hedging Under an Expected Loss Constraint with Small Transaction Costs.

Bruno Bouchard, Ludovic Moreau, H. Mete Soner

SIAM J. Financial Math., 2016

Utility maximization in an illiquid market in continuous time.

H. Mete Soner, Mirjana Vukelja

Math. Methods Oper. Res., 2016

Facelifting in utility maximization.

Kasper Larsen, Halil Mete Soner, Gordan Zitkovic

Finance Stochastics, 2016

2015

Asymptotics for fixed transaction costs.

Albert Altarovici, Johannes Muhle-Karbe, Halil Mete Soner

Finance Stochastics, 2015

2014

Robust hedging with proportional transaction costs.

Yan Dolinsky, H. Mete Soner

Finance Stochastics, 2014

2013

Homogenization and Asymptotics for Small Transaction Costs.

H. Mete Soner, Nizar Touzi

SIAM J. Control. Optim., 2013

Duality and convergence for binomial markets with friction.

Yan Dolinsky, Halil Mete Soner

Finance Stochastics, 2013

2012

Superhedging and Dynamic Risk Measures under Volatility Uncertainty.

Marcel Nutz, H. Mete Soner

SIAM J. Control. Optim., 2012

Large liquidity expansion of super-hedging costs.

Dylan Possamaï, H. Mete Soner, Nizar Touzi

Asymptot. Anal., 2012

2010

Merton Problem with Taxes: Characterization, Computation, and Approximation.

Imen Ben Tahar, H. Mete Soner, Nizar Touzi

SIAM J. Financial Math., 2010

Optimal investment strategies with a reallocation constraint.

Feyzullah Egriboyun, H. Mete Soner

Math. Methods Oper. Res., 2010

Option hedging for small investors under liquidity costs.

Umut Çetin, H. Mete Soner, Nizar Touzi

Finance Stochastics, 2010

2009

The Dynamic Programming Equation for Second Order Stochastic Target Problems.

H. Mete Soner, Nizar Touzi

SIAM J. Control. Optim., 2009

2007

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

Imen Ben Tahar, H. Mete Soner, Nizar Touzi

SIAM J. Control. Optim., 2007

2002

Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions.

H. Mete Soner, Nizar Touzi

SIAM J. Control. Optim., 2002

2000

Superreplication Under Gamma Constraints.

H. Mete Soner, Nizar Touzi

SIAM J. Control. Optim., 2000

1998

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

Guy Barles, Halil Mete Soner

Finance Stochastics, 1998

1992

Turnpike Sets and Their Analysis in Stochastic Production Planning Problems.

Suresh P. Sethi, Halil Mete Soner, Qing Zhang, H. Jiang

Math. Oper. Res., 1992

1991

An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty.

John P. Lehoczky, Suresh P. Sethi, H. Mete Soner, Michael I. Taksar

Math. Oper. Res., 1991