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METE SONER NORMAN JOHN SOLLENBERGER PROFESSOR

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Mete Soner
Norman John Sollenberger Professor


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METE SONER

H. METE SONER



Norman John Sollenberger Professor

Department of Operations Research and Financial Engineering (ORFE)(Link is
external) (Link opens in new window)

Currently, I am the Chair of ORFE and I am also affiliated with the Bendheim
Center of Finance(Link is external) (Link opens in new window) and with the
Program in Applied & Computation Mathematics.(Link is external) (Link opens in
new window)

My research is on decisions under uncertainty and I work on related problems in
stochastic optimal control, Markov decision processes, nonlinear partial
differential equations, probability theory, mathematical finance and financial
economics.  Recently, I am interested in modern computational approaches to high
dimensional stochastic optimal control and mean-field (or McKean-Vlasov)
stochastic optimal control.

I have co-authored a book, with Wendell Fleming, on viscosity solutions and
stochastic control; Controlled Markov Processes and Viscosity Solutions,
Springer-Verlag, 1993 (second edition in 2006), and authored or co-authored
several articles on nonlinear partial differential equations, viscosity
solutions, stochastic optimal control and mathematical finance. The meeting METE
2018(Link is external) (Link opens in new window) provides an overview and the
scope of my research interest and contributions.

Before 2019, I was a professor of mathematics and the Chair of the department at
ETH Zürich(Link is external) (Link opens in new window) (the Swiss Federal
Institute of Technology in Zurich).  Previously, I also taught at Carnegie
Mellon, and Sabanci and Koc Universities in Istanbul.

Currently, I am Editor-in-Chief of SIAM Journal of Financial Mathematics
(SIFIN),(Link is external) (Link opens in new window) a Co-Editor of Mathematics
and Financial Economics (MAFE)(Link is external) (Link opens in new window) and
an associate editor for Finance and Stochastics(Link is external), Interfaces
and Free Boundaries(Link is external) (Link opens in new window), Mathematics of
Operations Research(Link is external) (Link opens in new window).

During 2011-2016, I have been the Executive Secretary of the Bachelier Finance
Society.(Link is external) (Link opens in new window) In 2014, I received an
Alexander von Humbolt Foundation Research Award. In 2015, I was elected as a
SIAM Fellow. You may download my current CV (Link opens in new window) here.


CONTACT

Mete Soner, 
Norman John Sollenberger Professor
Department of Operations Research and Financial Engineering(Link is external)
(Link opens in new window)
Princeton University(Link is external) (Link opens in new window)
Sherrerd Hall 328, Charlton Street
Princeton, NJ 08544
Email (Link opens in new window)
Office: 328 Sherrerd Hall
Phone: 609-258-5130
CV(Link downloads document)
Photo: Princeton University, Office of Communications.


RECENT PUBLICATIONS

Viscosity Solutions for McKean-Vlasov Control on a torus
H. Mete Soner, Qinxin Yan
SIAM Journal on Control and Optimization
2024
Deep level-set method for Stefan problems
Mykhaylo Shkolnikov, H. Mete Soner, Valentin Tissot-Daguette
Journal of Computational Physics, Vol. 502
2024
Synchronization Games
Felix Höfer, H. Mete Soner
arXiv:2002.08842v2
2024
Synchronization in a Kuramoto Mean Field Game
Rene Carmona, Quentin Cormier, Mete Soner
Communications in Partial Differential Equations, Vol. 48, 1214-1244
2023
Deep Stochastic Optimization in Finance
H. Mete Soner, Max Reppen, Valentin Tissot-Daguette
Digital Finance, Vol. 5, 91-111
2023
Martingale Optimal Transport Duality
Patrick Cheridito, Matti Kiiski, David Proemel, H. Mete Soner
Mathematische Annalen, Vol. 379, 1685-1712
2021
Viability and arbitrage under Knightian uncertainty
Matteo Burzoni, Frank Riedel, H. Mete Soner
Econometrica, Vol. 89, 1207-1234
2021
More Publications


RECENT PRESENTATIONS

Mean Field Games and Gradient Flows
09-03-2024
Location:
Humbold University, Berlin, Germany
Synchronization Games
06-11-2024
Location:
Riemann School of Mathematics, Varese, Italy
Synchronization in a Kuramoto Mean Field Game
11-14-2022
Location:
Illinois Institute of Technology, Applied Math Colloquium
Optimal Stopping in High-dimensions
09-14-2022
Location:
Hebrew University, Jerusalem
Monte-Carlo for high-dimensional problems in quantitative finance
01-22-2021
Location:
6th Asian Quantitative Finance Seminar
Trading with Impact
04-16-2020
Location:
SIAM Webinar
More Presentations



FOOTER

Operations Research & Financial Engineering(Link is external)
Sherrerd Hall, Charlton Street, Princeton, NJ 08544
609-258-0100



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