Mete Soner


Mete Soner Princeton 2019

Norman John Sollenberger Professor

Operations Research and Financial Engineering, Princeton University

I am also affiliated with the Bendheim Center of Finance and with the Program in Applied & Computation Mathematics.

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 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 (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 the acting chair of ORFE.

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 StochasticsInterfaces and Free Boundaries, Mathematics of Operations Research.

During 2011-2016, I have been the Executive Secretary of the Bachelier Finance Society. 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 here.


Mete Soner, 
Norman John Sollenberger Professor
Sherrerd Hall 328, Charlton Street
Princeton, NJ 08544
Office: 328 Sherrerd Hall
Phone: 609-258-5130
grad college
Photo: Princeton University, Office of Communications.

Recent Publications

Soner, H. Mete, and Qinxin Yan. “Viscosity Solutions for McKean-Vlasov Control on a Torus.” archiv:2212.11053 n. pag. Print.
Carmona, Rene, Quentin Cormier, and Mete Soner. “Synchronization in a Kuramoto Mean Field Game.” arXiv:2210.12912v1 n. pag. Print.
Soner, H. Mete, Max Reppen, and Valentin Tissot-Daguette. “Neural Optimal Stopping Boundary.” n. pag. Print.
Reppen, Max, and H. Mete Soner. “Deep Empirical Risk Minimization in Finance: Looking into the Future.” Mathematical Finance n. pag. Print.
Soner, H. Mete, Max Reppen, and Valentin Tissot-Daguette. “Deep Stochastic Optimization in Finance.” Digital Finance n. pag. Print.
Dai, Min et al. “Leveraged Exchange-Traded Funds With Market Closure and Frictions.” Management Science (2022): n. pag.
Keppo, Jussi, Max Reppen, and H. Mete Soner. “Discrete Dividend Payments in Continuous Time.” Mathematics of Operations Research 46.3 (2021): 895–911. Print.
Cheridito, Patrick et al. “Martingale Optimal Transport Duality.” Mathematische Annalen 379.3-4 (2021): 1685–1712. Print.
Burzoni, Matteo, Frank Riedel, and H. Mete Soner. “Viability and Arbitrage under Knightian Uncertainty.” Econometrica 89.3 (2021): 1207–1234. Print.
Burzoni, Matteo et al. “Viscosity Solutions for Controlled McKean–Vlasov Jump-Diffusions.” SIAM Journal on Control and Optimization 58.3 (2020): 1676–1699. Print.
Larsen, Kasper, H. Mete Soner, and Gordan Zitkovic. “Conditional Davis Prices.” Finance & Stochastics 24.3 (2020): 565–599. Print.
Bouchard, Bruno et al. “Second Order Stochastic Target Problems With Generalized Market Impact.” SIAM Journal on Control and Optimisation 57.6 (2019): 4125–4149. Print.

Recent Presentations

Synchronization in a Kuramoto Mean Field Game
Illinois Institute of Technology, Applied Math Colloquium
Optimal Stopping in High-dimensions
Hebrew University, Jerusalem
Monte-Carlo for high-dimensional problems in quantitative finance
6th Asian Quantitative Finance Seminar
Trading with Impact
SIAM Webinar
Martingale Optimal Transport
Princeton, PACM
Optimal Dividends
4th Eastern Conference on Mathematical Finance, Boston