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, 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 of the scope of my research interest and contributions.

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.