Martingale Optimal Transport Duality

Citation:

Cheridito, Patrick, et al. “Martingale Optimal Transport Duality”. Mathematische Annalen 379.3-4 (2021): , 379, 3-4, 1685-1712. Print.

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Last updated on 09/25/2022

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Mete Soner, Professor

Department of Operations Research and Financial Engineering

Princeton University

Sherrerd Hall 328, Charlton Street

Princeton, NJ 08544

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Office: 328 Sherrerd Hall

Phone: 609-258-5130

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Recent Publications

Burzoni, Matteo, Frank Riedel, and H. Mete Soner. “Viability and arbitrage under Knightian uncertainty”. Econometrica 89.3 (2021): , 89, 3, 1207-1234. Print.

Viability.pdf

Cheridito, Patrick, et al. “Martingale Optimal Transport Duality”. Mathematische Annalen 379.3-4 (2021): , 379, 3-4, 1685-1712. Print.

martingaleoptimaltransportdual.pdf

Keppo, Jussi, Max Reppen, and H. Mete Soner. “Discrete dividend payments in continuous time”. Mathematics of Operations Research 46.3 (2021): , 46, 3, 895-911. Print.

Discrete Dividends.pdf

Bouchard, Bruno, et al. “Second order stochastic target problems with generalized market impact”. SIAM Journal on Control and Optimisation 57.6 (2019): , 57, 6, 4125-4149. Print.

Impact.pdf

Larsen, Kasper, H. Mete Soner, and Gordan Zitkovic. “Conditional Davis prices”. Finance & Stochastics 24.3 (2020): , 24, 3, 565-599. Print.

Davis prices.pdf

Burzoni, Matteo, et al. “Viscosity solutions for controlled McKean–Vlasov jump-diffusions”. SIAM Journal on Control and Optimization 58.3 (2020): , 58, 3, 1676-1699. Print.

McKean-Vlasov with jumps.pdf

Reppen, Max, and H. Mete Soner. “Deep Empirical Risk Minimization in finance: looking into the future”. Mathematical Finance (In Press). Print.

Soner, H. Mete, Max Reppen, and Valentin Tissot-Daguette. “Deep Stochastic Optimization in Finance”. Digital Finance (Forthcoming). Print.

Deep ERM.pdf

Soner, H. Mete, Max Reppen, and Valentin Tissot-Daguette. “Neural Optimal Stopping Boundary”. (Submitted). Print.

neural_optimal_stopping_boundary.pdf

Dai, Min, et al. “Leveraged Exchange-Traded Funds with Market Closure and Frictions”. Management Science (2022). Web. Publisher's Version

Carmona, Rene, Quentin Cormier, and H. Mete Soner. “Synchronization in a Kuramoto Mean Field Game”. arXiv:2210.12912v1 (Submitted). Print.

Kuramoto MFG.pdf

Soner, H. Mete, and Qinxin Yan. “Viscosity Solutions for McKean-Vlasov Control on a torus”. archiv:2212.11053 (Submitted). Print.

McKean-Vlasov MFG.pdf

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Mete Soner

Martingale Optimal Transport Duality

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