48 citations · 69 across the 8 of their papers we have counts for
9 papers
Splitting infinity: a de Finetti game with state-dependent profit rates and singular control for diffusions
Piotr Chlebicki, Kristoffer Lindensjö
We study a game of resource extraction of a common good under one-dimensional diffusive dynamics with player actions corresponding to singular stochastic control up to absorption a…
Time-inconsistent singular control problems: Reflection and Absolutely continuous controls with exploding rates
Andi Bodnariu, Kristoffer Lindensjö, Neofytos Rodosthenous
We study a time-inconsistent singular stochastic control problem for a general one-dimensional diffusion, where time-inconsistency arises from a non-exponential discount function.…
General Markovian randomized equilibrium existence and construction in zero-sum Dynkin games for diffusions
Sören Christensen, Kristoffer Lindensjö
One of the most classical games for stochastic processes is the zero-sum Dynkin (stopping) game. We present a complete equilibrium solution to a general formulation of this game wi…
Markovian randomized equilibria for general Markovian Dynkin games in discrete time
Sören Christensen, Kristoffer Lindensjö, Berenice Anne Neumann
We study a general formulation of the classical two-player Dynkin game in a discrete time Markovian setting. We identify an appropriate class of mixed strategies -- \textit{Markovi…
Local time pushed mixed stopping and smooth fit for time-inconsistent stopping problems
Andi Bodnariu, Sören Christensen, Kristoffer Lindensjö
We consider the game-theoretic approach to time-inconsistent stopping of a one-dimensional diffusion where the time-inconsistency is due to the presence of a non-exponential (weigh…
Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application
Sören Christensen, Kristoffer Lindensjö
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consider…
On time-inconsistent stopping problems and mixed strategy stopping times
Sören Christensen, Kristoffer Lindensjö
A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is develo…
Constructive martingale representation in functional Itô calculus: a local martingale extension
Kristoffer Lindensjö
The constructive martingale representation theorem of functional Itô calculus is extended, from the space of square integrable martingales, to the space of local martingales. The s…
An explicit formula for optimal portfolios in complete Wiener driven markets: a functional Itô calculus approach
Kristoffer Lindensjö
We consider a standard optimal investment problem in a complete financial market driven by a Wiener process and derive an explicit formula for the optimal portfolio process in term…