17 citations · 19 across the 4 of their papers we have counts for
7 papers
Flexible forward improvement iteration for infinite time horizon Markovian optimal stopping problems
Sören Christensen, Albrecht Irle, Julian Peter Lemburg
In this paper, we propose an extension of the forward improvement iteration algorithm, originally introduced in Irle (2006) and recently reconsidered in Miclo and Villeneuve (2021)…
A General Method for Finding the Optimal Threshold in Discrete Time
Sören Christensen, Albrecht Irle
We develop an approach for solving one-sided optimal stopping problems in discrete time for general underlying Markov processes on the real line. The main idea is to transform the…
The Monotone Case Approach for the Solution of Certain Multidimensional Optimal Stopping Problems
Sören Christensen, Albrecht Irle
This paper studies explicitly solvable multidimensional optimal stopping problems of sum- and product-type in discrete and continuous time using the monotone case approach. It give…
Optimal portfolio selection under vanishing fixed transaction costs
Sören Christensen, Albrecht Irle, Andreas Ludwig
In this paper, asymptotic results in a long-term growth rate portfolio optimization model under both fixed and proportional transaction costs are obtained. More precisely, the conv…
Classification error in multiclass discrimination from Markov data
Sören Christensen, Albrecht Irle, Lars Willert
As a model for an on-line classification setting we consider a stochastic process , the present time-point being denoted by 0, with observables $ \ldots,X_{-n}…
Convergence of switching diffusions
Sören Christensen, Albrecht Irle
This paper studies the asymptotic behavior of processes with switching. More precisely, the stability under fast switching for diffusion processes and discrete state space Markovia…