| Year |
Citation |
Score |
| 2020 |
Reppen AM, Rochet JC, Soner HM. Optimal dividend policies with random profitability Mathematical Finance. 30: 228-259. DOI: 10.1111/Mafi.12223 |
0.575 |
|
| 2020 |
Cheridito P, Kiiski M, Prömel DJ, Soner HM. Martingale optimal transport duality Mathematische Annalen. 1-28. DOI: 10.1007/S00208-019-01952-Y |
0.393 |
|
| 2018 |
Bouchard B, Soner HM, Touzi N. Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications Journal of Optimization Theory and Applications. 179: 363-365. DOI: 10.1007/S10957-018-1409-Z |
0.431 |
|
| 2018 |
Ekren I, Soner HM. Constrained Optimal Transport Archive For Rational Mechanics and Analysis. 227: 929-965. DOI: 10.1007/S00205-017-1178-0 |
0.456 |
|
| 2017 |
Dolinsky Y, Soner HM. Convex duality with transaction costs Mathematics of Operations Research. 42: 448-471. DOI: 10.1287/Moor.2016.0811 |
0.498 |
|
| 2017 |
Muhle-Karbe J, Reppen M, Soner HM. A Primer on Portfolio Choice with Small Transaction Costs Review of Financial Economics. 9: 301-331. DOI: 10.1146/Annurev-Financial-110716-032445 |
0.441 |
|
| 2017 |
Altarovici A, Reppen AM, Soner HM. Optimal consumption and investment with fixed and proportional transaction costs Siam Journal On Control and Optimization. 55: 1673-1710. DOI: 10.1137/15M1053633 |
0.561 |
|
| 2017 |
Bank P, Soner HM, Voß M. Hedging with Temporary Price Impact Mathematics and Financial Economics. 11: 215-239. DOI: 10.1007/S11579-016-0178-4 |
0.576 |
|
| 2016 |
Ounaies S, Bonnisseau JM, Chebbi S, Soner HM. Merton problem in an infinite horizon and a discrete time with frictions Journal of Industrial and Management Optimization. 12: 1323-1331. DOI: 10.3934/jimo.2016.12.1323 |
0.455 |
|
| 2016 |
Bouchard B, Moreau L, Soner HM. Hedging Under an Expected Loss Constraint with Small Transaction Costs Siam Journal On Financial Mathematics. 7: 508-551. DOI: 10.1137/15M1006787 |
0.47 |
|
| 2016 |
Dolinsky Y, Soner HM. Corrigendum to “Martingale optimal transport in the Skorokhod space” [Stochastic Process. Appl. 125(10) (2015) 3893–3931] Stochastic Processes and Their Applications. 126: 312-313. DOI: 10.1016/J.Spa.2015.09.013 |
0.368 |
|
| 2016 |
Soner HM, Vukelja M. Utility maximization in an illiquid market in continuous time Mathematical Methods of Operations Research. 1-37. DOI: 10.1007/S00186-016-0544-2 |
0.581 |
|
| 2015 |
Moreau L, Muhle-Karbe J, Soner HM. Trading with small price impact Mathematical Finance. DOI: 10.1111/Mafi.12098 |
0.496 |
|
| 2015 |
Possamaï D, Soner HM, Touzi N. Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case Communications in Partial Differential Equations. 40: 2005-2046. DOI: 10.1080/03605302.2015.1053916 |
0.519 |
|
| 2015 |
Dolinsky Y, Soner HM. Martingale optimal transport in the Skorokhod space Stochastic Processes and Their Applications. 125: 3893-3931. DOI: 10.1016/J.Spa.2015.05.009 |
0.519 |
|
| 2015 |
Larsen K, Soner HM, Žitković G. Facelifting in utility maximization Finance and Stochastics. DOI: 10.1007/S00780-015-0274-Y |
0.458 |
|
| 2015 |
Altarovici A, Muhle-Karbe J, Soner HM. Asymptotics for fixed transaction costs Finance and Stochastics. 19: 363-414. DOI: 10.1007/s00780-015-0261-3 |
0.318 |
|
| 2014 |
Akyildirim E, Dolinsky Y, Soner HM. Approximating stochastic volatility by recombinant trees Annals of Applied Probability. 24: 2176-2205. DOI: 10.1214/13-Aap977 |
0.401 |
|
| 2014 |
Gökay S, Soner HM. Hedging in an illiquid binomial market Nonlinear Analysis: Real World Applications. 16: 1-16. DOI: 10.1016/j.nonrwa.2013.09.001 |
0.401 |
|
| 2014 |
Akyildirim E, Güney IE, Rochet JC, Soner HM. Optimal dividend policy with random interest rates Journal of Mathematical Economics. 51: 93-101. DOI: 10.1016/J.Jmateco.2014.01.005 |
0.41 |
|
| 2014 |
Dolinsky Y, Soner HM. Robust hedging with proportional transaction costs Finance and Stochastics. 18: 327-347. DOI: 10.1007/S00780-014-0227-X |
0.542 |
|
| 2013 |
Roch A, Soner HM. Resilient Price Impact of Trading and the Cost of Illiquidity International Journal of Theoretical and Applied Finance. 16: 1350037. DOI: 10.2139/Ssrn.1923840 |
0.411 |
|
| 2013 |
Soner HM, Touzi N, Zhang J. Dual formulation of second order target problems Annals of Applied Probability. 23: 308-347. DOI: 10.1214/12-Aap844 |
0.543 |
|
| 2013 |
Soner HM, Touzi N. Homogenization and asymptotics for small transaction costs Siam Journal On Control and Optimization. 51: 2893-2921. DOI: 10.1137/120870165 |
0.551 |
|
| 2013 |
Soner HM, Vukelja M. Utility maximization in an illiquid market Stochastics An International Journal of Probability and Stochastic Processes. 85: 692-706. DOI: 10.1080/17442508.2013.795568 |
0.516 |
|
| 2013 |
Chebbi S, Soner HM. Merton problem in a discrete market with frictions Nonlinear Analysis: Real World Applications. 14: 179-187. DOI: 10.1016/j.nonrwa.2012.05.011 |
0.444 |
|
| 2013 |
Dolinsky Y, Soner HM. Martingale optimal transport and robust hedging in continuous time Probability Theory and Related Fields. 1-37. DOI: 10.1007/S00440-013-0531-Y |
0.556 |
|
| 2012 |
Possamaï D, Soner HM, Touzi N. Large liquidity expansion of super-hedging costs Asymptotic Analysis. 79: 45-64. DOI: 10.3233/Asy-2011-1089 |
0.361 |
|
| 2012 |
Nutz M, Soner HM. Superhedging and dynamic risk measures under volatility uncertainty Siam Journal On Control and Optimization. 50: 2065-2089. DOI: 10.2139/Ssrn.1739781 |
0.403 |
|
| 2012 |
Gökay S, Soner HM. Liquidity in a binomial market Mathematical Finance. 22: 250-276. DOI: 10.1111/j.1467-9965.2010.00462.x |
0.328 |
|
| 2012 |
Soner HM, Touzi N, Zhang J. Wellposedness of second order backward SDEs Probability Theory and Related Fields. 153: 149-190. DOI: 10.1007/S00440-011-0342-Y |
0.379 |
|
| 2011 |
Soner HM, Touzi N, Zhang J. Martingale representation theorem for the G-expectation Stochastic Processes and Their Applications. 121: 265-287. DOI: 10.1016/J.Spa.2010.10.006 |
0.414 |
|
| 2010 |
Tahar IB, Soner HM, Touzi N. Merton problem with Taxes: Characterization, computation, and approximation Siam Journal On Financial Mathematics. 1: 366-395. DOI: 10.1137/080742178 |
0.574 |
|
| 2010 |
Çetin U, Soner HM, Touzi N. Option hedging for small investors under liquidity costs Finance and Stochastics. 14: 317-341. DOI: 10.1007/S00780-009-0116-X |
0.402 |
|
| 2010 |
Egriboyun F, Soner HM. Optimal investment strategies with a reallocation constraint Mathematical Methods of Operations Research. 71: 551-585. DOI: 10.1007/S00186-010-0306-5 |
0.516 |
|
| 2009 |
Soner HM, Touzi N. The dynamic programming equation for second order stochastic target problems Siam Journal On Control and Optimization. 48: 2344-2365. DOI: 10.1137/07071130X |
0.522 |
|
| 2007 |
Tahar IB, Soner HM, Touzi N. The dynamic programming equation for the problem of optimal investment under capital gains taxes Siam Journal On Control and Optimization. 46: 1779-1801. DOI: 10.1137/050646044 |
0.558 |
|
| 2007 |
Soner HM, Touzi N. Hedging under gamma constraints by optimal stopping and face-lifting Mathematical Finance. 17: 59-79. DOI: 10.1111/J.1467-9965.2007.00294.X |
0.567 |
|
| 2005 |
Cheridito P, Soner HM, Touzi N. Small time path behavior of double stochastic integrals and applications to stochastic control Annals of Applied Probability. 15: 2472-2495. DOI: 10.1214/105051605000000557 |
0.358 |
|
| 2005 |
Cheridito P, Soner HM, Touzi N. The multi-dimensional super-replication problem under gamma constraints Annales De L'Institut Henri Poincare. Annales: Analyse Non Lineaire/Nonlinear Analysis. 22: 633-666. DOI: 10.1016/J.Anihpc.2004.10.012 |
0.466 |
|
| 2004 |
Hongler MO, Soner HM, Streit L. Stochastic control for a class of random evolution models Applied Mathematics and Optimization. 49: 113-121. DOI: 10.1007/s00245-003-0786-2 |
0.335 |
|
| 2003 |
Soner HM, Touzi N. A stochastic representation for mean curvature type geometric flows Annals of Probability. 31: 1145-1165. DOI: 10.1214/Aop/1055425773 |
0.355 |
|
| 2003 |
Soner HM, Touzi N. Stochastic target problems, dynamic programming, and viscosity solutions Siam Journal On Control and Optimization. 41: 404-424. DOI: 10.1137/S0363012900378863 |
0.57 |
|
| 2002 |
Soner HM, Touzi N. A stochastic representation for the level set equations Communications in Partial Differential Equations. 27: 2031-2053. DOI: 10.1081/Pde-120016135 |
0.445 |
|
| 2002 |
Soner HM, Touzi N. Dynamic programming for stochastic target problems and geometric flows Journal of the European Mathematical Society. 4: 201-236. DOI: 10.1007/S100970100039 |
0.494 |
|
| 2000 |
Soner HM, Touzi N. Superreplication Under Gamma Constraints Siam Journal On Control and Optimization. 39: 73-96. DOI: 10.1137/S0363012998348991 |
0.553 |
|
| 1998 |
Cvitanić J, Karatzas I, Soner HM. Backward stochastic differential equations with constraints on the gains-process Annals of Probability. 26: 1522-1551. DOI: 10.1214/Aop/1022855872 |
0.328 |
|
| 1998 |
Broadie M, Cvitanić J, Soner HM. Optimal Replication of Contingent Claims under Portfolio Constraints Review of Financial Studies. 11: 59-79. DOI: 10.1093/Rfs/11.1.59 |
0.492 |
|
| 1998 |
Broadie M, Cvitanić J, Soner HM. Optimal replication of contingent claims under portfolio constraints Review of Financial Studies. 11: 59-79. |
0.413 |
|
| 1997 |
Duffie D, Fleming W, Soner HM, Zariphopoulou T. Hedging in incomplete markets with HARA utility Journal of Economic Dynamics and Control. 21: 753-782. DOI: 10.1016/S0165-1889(97)00002-X |
0.588 |
|
| 1997 |
Duffie D, Fleming W, Soner HM, Zariphopoulou T. Hedging in incomplete markets with HARA utility Journal of Economic Dynamics and Control. 21: 753-782. |
0.518 |
|
| 1996 |
Martins LF, Shreve SE, Soner HM. Heavy traffic convergence of a controlled, multiclass queueing system Siam Journal On Control and Optimization. 34: 2133-2171. DOI: 10.1137/S0363012994265882 |
0.432 |
|
| 1996 |
Reitich F, Soner HM. Three-phase boundary motions under constant velocities. I: The vanishing surface tension limit Royal Society of Edinburgh - Proceedings A. 126: 837-865. DOI: 10.1017/S0308210500023106 |
0.368 |
|
| 1995 |
Soner HM. Convergence of the phase-field equations to the mullins-sekerka problem with kinetic undercooling Archive For Rational Mechanics and Analysis. 131: 139-197. DOI: 10.1007/Bf00386194 |
0.41 |
|
| 1993 |
Soner HM. Singular perturbations in manufacturing Siam Journal On Control and Optimization. 31: 132-146. DOI: 10.1137/0331010 |
0.607 |
|
| 1993 |
Cannarsa P, Gozzi F, Soner HM. A Dynamic Programming Approach to Nonlinear Boundary Control Problems of Parabolic Type Journal of Functional Analysis. 117: 25-61. DOI: 10.1006/jfan.1993.1122 |
0.389 |
|
| 1992 |
Gurtin ME, Soner HM. Some Remarks On The Stefan Problem With Surface Structure Quarterly of Applied Mathematics. 50: 291-303. DOI: 10.1090/Qam/1162277 |
0.487 |
|
| 1991 |
Soner HM, Shreve SE. A free boundary problem related to singular stochastic control: The parabolic case Communications in Partial Differential Equations. 16: 373-424. DOI: 10.1080/03605309108820763 |
0.325 |
|
| 1991 |
Cannarsa P, Gozzi F, Soner HM. A boundary-value problem for Hamilton-Jacobi equations in hilbert spaces Applied Mathematics &Amp; Optimization. 24: 197-220. DOI: 10.1007/BF01447742 |
0.463 |
|
| 1990 |
Dupuis P, Ishii H, Soner HM. A Viscosity Solution Approach To The Asymptotic Analysis Of Queueing Systems Annals of Probability. 18: 226-255. DOI: 10.1214/Aop/1176990947 |
0.48 |
|
| 1990 |
Sethi SP, Soner HM, Zhang Q, Jiang J. Turnpike sets in stochastic production planning problems Proceedings of the Ieee Conference On Decision and Control. 2: 590-595. |
0.456 |
|
| 1989 |
Soner HM, Shreve SE. Regularity of the value function for a two-dimensional singular stochastic control problem Siam Journal On Control and Optimization. 27: 876-907. DOI: 10.1137/0327047 |
0.492 |
|
| 1988 |
Soner HM. On the Hamilton-Jacobi-Bellman equations in Banach spaces Journal of Optimization Theory and Applications. 57: 429-437. DOI: 10.1007/Bf02346162 |
0.454 |
|
| 1988 |
Soner HM, Lehoczky JP, Sethi SP, Taksar M. Asymptotic analysis of hierarchical control of manufacturing systems Proceedings of the Ieee Conference On Decision and Control. 1856-1857. |
0.385 |
|
| 1987 |
Fleming WH, Seth SP, Soner HM. OPTIMAL STOCHASTIC PRODUCTION PLANNING PROBLEM WITH RANDOMLY FLUCTUATING DEMAND Siam Journal On Control and Optimization. 25: 1494-1502. |
0.486 |
|
| 1985 |
Soner HM. Optimal control of a one-dimensional storage process Applied Mathematics &Amp; Optimization. 13: 175-191. DOI: 10.1007/BF01442206 |
0.435 |
|
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