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PUBLICATIONS of sONER

PUBLICATIONS

 

Books:

 

Lecture Notes and Chapters in Books:

 

 

ARTICLES:

 

In preperation:

 

65. Large liquidity expansion for super-hedging costs, (with U. Çetin and N. Touzi), 2008, in preparation.

64. Duality for 2BSDE’s and stochastic target problems, (with N. Touzi and J. Zhang), 2008, in preparation.

63. Cetin-Jarrow-Protter model in a Binomial market, (with S. Gökay), 2008, preprint.

Preprints:

 

62. The dynamic programming equation for second order stochastic target problems, (with N. Touzi), 2007, submitted.

61. Merton problem with taxes: characterization, computation and approximation, (with I. Ben-Tahar and N.  Touzi),  2008, preprint (this is the revised version of the previous manuscript "Modeling continuous-time financial markets with capital gains taxes".)

60. Option hedging for small investors under liquidity costs, (with U. Çetin and N. Touzi), 2006, submitted to Finance & Stochastics.

 

 

2007:

 

59. Stochastic representations for nonlinear parabolic PDEs, survey article,  (2007).

58. The dynamic programming equation for the problem of optimal investment under capital gains taxes, (with I. Ben-Tahar and N. Touzi),  SIAM Journal on Control and Optimization ,  (2007),  in press.

57. Second order backward stochastic differential equations and fully non-linear parabolic PDE's, (with P. Cheridito, N. Touzi, and N. Victoir), Comm. on Pure and Applied Math.,  60 (7): 1081-1110 (2007).

56. Hedging under Gamma constraints by optimal stopping and face-lifting, (with N. Touzi) Mathematical Finance, 17 (1): 59-79 (2007).

 

2005

 

55. Small time path behavior of double stochastic integrals and applications to stochastic control, (with P. Cheridito and N. Touzi) Annals of Applied Probability,  15 (4): 2472-2495 (2005).

54. The multi-dimensional super-replication problem under gamma constraints,  (with P. Cheridito and N. Touzi)Annales de L'Isntitute Henri Poincare Analyse Nonlineaire,  22 (5): 633-666 (2005).

 

2004

 

53. Stochastic Control for a Class of Random Evolution Models,  (with Max-Olivier Hongler and Ludwig Streit), Applied Mathematics and Optimization,  49:113-121 (2004).

 

2003
 

52. A stochastic representation for mean curvature type flows, (with N. Touzi) Annals of Probability, 31/3, 1145-1165, (2003).
 

2002

 

51. Limiting behavior of the Ginzburg-Landau energy,  (with R.L. Jerrard) J. Functional Analysis, 192, 524-561, (2002).
50. A stochastic representation for level set equations, (with N. Touzi) Communications in PDE's, 27(9&10), 2031-2053, (2002).

49. Dynamic programming for stochastic target problems and geometric flows, (with N. Touzi) Journal of European Mathematical Society, 4/3, 201-236, (2002).

48. The Jacobian and the Ginzburg-Landau energy,  (with R.L. Jerrard) Calculus of Variations, 14 , 151-191, (2002).
47. Stochastic target problems and dynamic programming, (with N. Touzi) SIAM Journal on Control and Optimization, 41, 404-424, (2002).

46. Function of higher bounded variations, (with R.L. Jerrard) Indiana University Mathematics Journal, 51/3 , 645-677, (2002).

 

2000

 
45. Super-replication under Gamma constraints, (with N. Touzi) SIAM Journal on Control and Optimization, 39(1), 73-96, (2000).
 

1999

 

44. Rectifiability of the distributional Jacobian for a class of functions, (with R.L. Jerrard) C.R. Acad. Sci. Paris, t. 329, Serie I, 983-688, (1999).
43. Scaling limits and regularity for a class of Ginzburg-Landau systems, (with R.L. Jerrard) Annales L'Institute H. Poincare, 16/4, 423-466, (1999).

 

1998
 

42. Backward SDE`s with constraints on the gains process, (with J. Cvitanic, I. Karatzas) Annals of Probability, 26, 1522-1551, (1998).
41. Dynamics of Ginzburg-Landau vortices, (with R.L. Jerrard) Arc. Rat. Mech. An., 142, 185-206, (1998).
40. Regularity and convergence of crystalline motion,  (with K. Ishii) SIAM Math. Analysis, 30, 19-37, (1998).
39. Optimal replication of contingent claims under portfolio constraints,  (with M. Broadie, J. Cvitanic) Review of Financial Studies, 11, 59-79, (1998).
38. Option pricing with transaction costs and a nonlinear Black-Scholes equation, (with G. Barles) Finance and Stochastics, 2 (1998), 369--397.
 

1997

 

37. A measure theoretic approach to higher co-dimension mean curvature flow, (with L. Ambrosio) dedicated to Ennion de Giorgi, Ann. Scuola Normale, 25, 27-49, (1997).
36. Ginzburg-Landau equation and motion by mean curvature, I: convergence, Journal of Geometric Analysis, 7,437-475, (1997).

35. Ginzburg-Landau equation and motion by mean curvature, II: development of the interface, Journal of Geometric Analysis, 7,476-491, (1997).
34. Hedging in incomplete market,s with HARA utility (with D. Duffie, W. Fleming, and T. Zariphopoulou) J. Economic Dynamics and Control, 21, 753-782, (1997).

                                                                          

1996


33. Level set approach to mean curvature flow in arbitrary codimension, (with L. Ambrosio) Journal of Differential Geometry, 43, 693-737, (1996).

32. Three-phase boundary motions under constant velocities. I: The vanishing surface tension limit, (with F. Reitich) Proc. Royal Soc.Edinburgh, 126A, 837-865, (1996).

31. Heavy traffic convergence of a controlled, multi-class, queuing system, (with L.F. Martins, S.E. Shreve) SIAM J. Cont. Opt., 34/6, 2133-2171, (1996).
 

1995

 

30. Convergence of the phase field equations to the Mullins-Sekerka problem with a kinetic undercooling, Arc. Rat. Mech. An., 131, 139-197, (1995).
29. There is no nontrivial hedging portfolio for option pricing with transaction costs,  (with S.E. Shreve, and J. Cvitanic) Annals of Applied Prob., 5/2, 327-355, (1995).

28. Anisotropic planar motion of an interface relaxed by the formation of infinitesimal wrinkles, (with M. Gurtin and P.E. Souganidis) J. Differential Equations, 119/1, 54-108, (1995).
 

1994

 

27. Optimal investment and consumption with transaction costs, (with S.E. Shreve) Annals of Applied Probability, 14/3, 609-693, (1994).

 

1993

 

26. Motion of a set by the curvature of its boundary, J. Differential Equations, 101, 313-372, (1993).
25. On the propagation of singularities of semi-convex functions, (with L. Ambrosio and P. Cannarsa) An. Scuola Normali Pisa, Serie IV, Vol.\ XX, 597-616, (1993).

24. A dynamic programming approach to nonlinear boundary control problems of parabolic type, (with P. Cannarsa and F. Gozzi) J. Functional Analysis, 117/1, 25-61, (1993).

23. Front propagation and phase field theory, (with G. Barles and P.E. Souganidis) SIAM J. Cont. Opt., 2/31, special issue dedicated to W. Fleming, 439-469, (1993).
22. Singular perturbations in manufacturing, SIAM J. Cont. Opt., 31, 132-146, (1993).
21. Uniqueness and singularities of rotationally symmetric surfaces moving by mean curvature, (with P.E. Souganidis) Comm. in PDE., 18, 859-894, (1993).
 

1992

 

20. Phase transitions and generalized motion by mean curvature, (with L.C. Evans and P.E. Souganidis) Comm. in Pure and Applied Math., 65, 1097-1123, (1992).

19. Turnpike Sets and Their Analysis in Stochastic Production Planning Problems, (with S.P. Sethi, Q. Zhang, and J. Jiang) Mathematics of Operations Research, 17, 4, 932-950, (1992).
18. Some remarks on the Stefan problem with surface structure, (with M.E. Gurtin) Quarterly of Applied Math., 50, 291-303 (1992).
 

1991

 

17. Optimal investment and consumption with two bonds and transaction costs, (with S.E.Shreve and G.-L.Xin) Mathematical Finance, 1/3, 53-84, (1991).
16. A boundary value problem for Hamilton-Jacobi equations in Hilbert spaces,  (with P. Cannarsa and F. Gozzi) Applied Mathematics and  Optimization, 24, 197-220, (1991).

15. A free boundary problem related to singular stochastic control: parabolic case,  (with S.E. Shreve) Comm. PDE., 16, 373-424, (1991).

14. An asymptotic analysis of hierarchical control of manufacturing systems,  (with J. Lehoczky, S. Sethi and M.Taksar) Math. O.R., 16/3, 596-608, (1991).

 

1990


13. A viscosity solution approach to the asymptotic analysis of queueing systems, (with P. Dupuis and H. Ishii) Annals of Probability, 18/1, 226-255, (1990).
 

1989

 

12. Asymptotic expansions for Markov processes with Levy generators, (with W. Fleming) Applied Mathematics Optimization, 19, 203-223, (1989).

11. Generalized one-sided estimates for solutions of Hamilton-Jacobi equations and applications, (with P. Cannarsa) Nonlinear Analysis, Theory, Methods, 13/3, 305-323, (1989).

10. Regularity of the value function of a two-dimensional singular stochastic control problem, (with S.E. Shreve) SIAM J. Cont. Opt., 27/4, 876-907, (1989).
 

1988

 

9. Mixing Markov chains and their images, (with M. Barnsley and M. Berger) Probability in Eng. and Inf. Sci., 387-414, (1988).

8. Random walks generated by affine mappings, (with M. Berger) J. Theoretical Probability, 1/3, 239-254, (1988).

7. On the Hamilton-Jacobi equations in Banach spaces, J.O.T.A., 57/3, 429-437, (1988).

  

1987

 

6. A remark on the large deviations of an ergodic Markov process, (with W. Fleming, S.-J. Sheu) Stochastics, 22, 187-199, (1987).

5. An optimal stochastic production planning problem with randomly fluctuating demand,  (with W. Fleming, S. Sethi) SIAM J. Cont. Opt., 25, 1494-1502, (1987).
4. On the singularities of the viscosity solutions to Hamilton-Jacobi equations, (with P. Cannarsa) Indiana University Mathematics Journal, 36/3, 501-524, (1987).
 

1986

 

3. Optimal Control with state-space constraint II,  SIAM J. Cont. Opt., 24/3, 1110-1122, (1986).

2. Optimal Control with state-space constraint I,  SIAM J. Cont. Opt., 24/3, 552-562, (1986).

 

1985


1. Optimal control of a one-dimensional storage process, Appl. Math. Opt., 13 (1985), 175-191.

 

 

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last updated on November 24, 2008.