1 citations · 1 across the 3 of their papers we have counts for
4 papers
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…
On the existence of Markovian randomized equilibria in Dynkin games of war-of-attrition-type
Sören Christensen, Boy Schultz
In optimal stopping problems, a Markov structure guarantees Markovian optimal stopping times (first exit times). Surprisingly, there is no analogous result for Markovian stopping g…
On first passage time problems of Brownian motion -- The inverse method of images revisited
Sören Christensen, Oskar Hallmann, Maike Klein
Let be a standard Brownian motion with and let be a continuous function with . In this article, we look at the classical…
On the time consistent solution to optimal stopping problems with expectation constraint
Sören Christensen, Maike Klein, Boy Schultz
We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping.…