H. M. Soner

Finance · 1992–2014

A researcher in the Science corpus: 15 papers; trusts 40 researchers and is trusted by 48 researchers here, as inferred from the citation graph.

Subfields

• Finance — 78 citations into it; #718 of 10,518 by trust here, #764 by citations
• Economics and Econometrics — 26 citations into it; #8,724 of 23,481 by trust here, #11,156 by citations
• Management Science and Operations Research — 24 citations into it; #1,710 of 11,946 by trust here, #1,959 by citations
• Demography — 17 citations into it; #346 of 4,236 by trust here, #557 by citations
• Applied Mathematics — 13 citations into it; #1,385 of 7,620 by trust here, #1,356 by citations
• Mathematical Physics — 8 citations into it; #2,301 of 8,562 by trust here, #1,398 by citations

Whom H. M. Soner trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Shige Peng
2. Nizar Touzi
3. David Hobson *
4. Laurent Denis
5. Jianfeng Zhang
6. Yongsheng Song
7. Patrick Cheridito
8. Jan Obłój
9. Claude Martini
10. Mete Soner

Who trusts H. M. Soner overall

1. Marcel Nutz
2. Nizar Touzi
3. Ariel Neufeld
4. Jianfeng Zhang
5. Yongsheng Song
6. Shige Peng
7. Yan Dolinsky
8. Bruno Bouchard
9. Ibrahim Ekren
10. Huyen Pham

Papers from H. M. Soner's perspective

Ordered by how strongly the researchers H. M. Soner trusts endorse each paper. Same corpus, a different order for every researcher.

1. A THEORETICAL FRAMEWORK FOR THE PRICING OF CONTINGENT CLAIMS IN THE PRESENCE OF MODEL UNCERTAINTY
2. Forward-Backward Stochastic Differential Equations and their Applications
3. Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
4. A Forward-Backward Stochastic Algorithm For Quasi-Linear PDEs
5. Controlled Markov processes and viscosity solutions
6. Martingale characterization of G-Brownian motion
7. Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims
8. Some properties on G-evaluation and its applications to G-martingale decomposition
9. Random G-expectations.
10. THE RANGE OF TRADED OPTION PRICES

Their papers

• Dual Formulation of Second Order Target Problems (2010) — 158 citations
• Functions of bounded higher variation (2002) — 96 citations
• Martingale Representation Theorem for the G-Expectation (2010) — 214 citations
• Dynamic programming for stochastic target problems and geometric flows (2002) — 170 citations
• Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2005) — 283 citations
• The multi-dimensional super-replication problem under gamma constraints (2005) — 74 citations
• Martingale optimal transport in the Skorokhod space (2014) — 66 citations
• Weak approximation of G-expectations (2011) — 50 citations
• TRADING WITH SMALL PRICE IMPACT (2014) — 59 citations
• Martingale optimal transport and robust hedging in continuous time (2012) — 243 citations
• Wellposedness of second order backward SDEs (2010) — 330 citations
• A stochastic representation for mean curvature type geometric flows (2003) — 59 citations
• Limiting Behavior of the Ginzburg–Landau Functional (2002) — 49 citations
• The Jacobian and the Ginzburg-Landau energy (2002) — 233 citations
• Controlled Markov processes and viscosity solutions (1992)