208 citations · 498 across the 31 of their papers we have counts for
8 papers · 1 filter
Second order stochastic target problems with generalized market impact
Bruno Bouchard, Grégoire Loeper, Halil Mete Soner +1
We extend the study of [7, 18] to stochastic target problems with general market impacts. Namely, we consider a general abstract model which can be associated to a fully nonlinear…
Martingale Optimal Transport and Robust Hedging in Continuous Time
Yan Dolinsky, H. Mete Soner
The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a martingale optimal transport problem is proved. The financial m…
Wellposedness of Second Order Backward SDEs
H. Mete Soner, Nizar Touzi, Jianfeng Zhang
We provide an existence and uniqueness theory for an extension of backward SDEs to the second order. While standard Backward SDEs are naturally connected to semilinear PDEs, our se…
Dual formulation of second order target problems
H. Mete Soner, Nizar Touzi, Jianfeng Zhang
This paper provides a new formulation of second order stochastic target problems introduced in [SIAM J. Control Optim. 48 (2009) 2344-2365] by modifying the reference probability s…
Quasi-sure Stochastic Analysis through Aggregation
H. Mete Soner, Nizar Touzi, Jianfeng Zhang
This paper is on developing stochastic analysis simultaneously under a general family of probability measures that are not dominated by a single probability measure. The interest i…
Martingale Representation Theorem for the G-expectation
H. M. Soner, N. Touzi, J. Zhang
This paper considers the nonlinear theory of G-martingales as introduced by Peng. A martingale representation theorem for this theory is proved by using the techniques and the resu…