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个人简介
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.
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 provides an overview and the scope of my research interest and contributions.
Currently, I am Editor-in-Chief of SIAM Journal of Financial Mathematics (SIFIN), a Co-Editor of Mathematics and Financial Economics (MAFE) and an associate editor for Finance and Stochastics, Interfaces and Free Boundaries, Mathematics of Operations Research.
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 provides an overview and the scope of my research interest and contributions.
Currently, I am Editor-in-Chief of SIAM Journal of Financial Mathematics (SIFIN), a Co-Editor of Mathematics and Financial Economics (MAFE) and an associate editor for Finance and Stochastics, Interfaces and Free Boundaries, Mathematics of Operations Research.
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JOURNAL OF COMPUTATIONAL PHYSICS (2024): 112828
H. Mete Soner, Qinxin Yan
SIAM JOURNAL ON CONTROL AND OPTIMIZATIONno. 2 (2024): 903-923
arXiv (Cornell University) (2023)
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