H
H. Mete Soner
Researcher at Princeton University
Publications - 119
Citations - 9017
H. Mete Soner is an academic researcher from Princeton University. The author has contributed to research in topics: Bellman equation & Stochastic control. The author has an hindex of 37, co-authored 109 publications receiving 8522 citations. Previous affiliations of H. Mete Soner include King Saud University & Sabancı University.
Papers
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Book
Controlled Markov processes and viscosity solutions
Wendell H. Fleming,H. Mete Soner +1 more
TL;DR: In this paper, an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions is given, as well as a concise introduction to two-controller, zero-sum differential games.
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Wellposedness of Second Order Backward SDEs
TL;DR: Soner et al. as mentioned in this paper provided an existence and uniqueness theory for an extension of backward SDEs to the second order, which is a fully nonlinear extension of the Feynman-Kac formula.
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Hedging in incomplete markets with HARA utility
TL;DR: In this article, the value function of the stochastic control problem is a smooth solution of the associated Hamilton-Jacobi-Bellman (HJB) equation and the optimal policy is shown to exist and given in a feedback form from the optimality conditions in the HJB equation.
Posted Content
Wellposedness of Second Order Backward SDEs
TL;DR: In this paper, the authors provide an existence and uniqueness theory for an extension of backward SDEs to the second order, based on a stochastic representation of the Feynman Kac formula.
Journal ArticleDOI
Martingale Representation Theorem for the G-expectation
TL;DR: In this paper, a martingale representation theorem for the second-order stochastic target problems and the secondorder backward Stochastic differential equations is proved for the nonlinear theory of G-martingales.