H. METE SONER

Norman John Sollenberger Professor

Department of Operations Research and Financial Engineering (ORFE)

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 have been interested in modern computational approaches to high-dimensional stochastic optimal control and mean-field (or McKean-Vlasov) stochastic optimal control, and mean-field games.

I have co-authored a book, with Wendell Fleming, on viscosity solutions and stochastic control; Controlled Markov Processes and Viscosity Solutions, Springer-Verlag, (second edition in 2006), and authored or co-authored several articles on nonlinear partial differential equations, viscosity solutions, stochastic optimal control, and mathematical finance. 

Before joining Princeton in 2019, I was Professor of Mathematics and Chair of the Department at ETH Zürich. Earlier in my career, I taught at Carnegie Mellon University, and Sabancı  and Koç Universities in Istanbul, Türkiye. From July 2022 to July 2026, I served successively as Interim Chair, Associate Chair, and Chair of ORFE. From 2001 to 2007, I was Dean of the College of Administrative Sciences and Economics at Koç University.

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, and Mathematics of Operations Research.

During 2011-2016, I was the Executive Secretary of the Bachelier Finance Society. In 2014, I received an Alexander von Humboldt Foundation Research Award. In 2015, I was elected as a SIAM Fellow. You may download my current CV here.