3 papers
math.OC2020
Competition versus Cooperation: A class of solvable mean field impulse control problems
Sören Christensen, Berenice Anne Neumann, Tobias Sohr
We discuss a class of explicitly solvable mean field type control problems/mean field games with a clear economic interpretation. More precisely, we consider long term average impu…
math.PR2020
General Optimal Stopping with Linear Costs
Sören Christensen, Tobias Sohr
This article treats both discrete time and continuous time stopping problems for general Markov processes on the real line with general linear costs. Using an auxiliary function of…
math.PR2019
A Solution Technique for Lévy Driven Long Term Average Impulse Control Problems
Sören Christensen, Tobias Sohr
This article treats long term average impulse control problems with running costs in the case that the underlying process is a Lévy process. Under quite general conditions we chara…