3 citations · 5 across the 5 of their papers we have counts for
5 papers
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…
Uniqueness of First Passage Time Distributions via Fredholm Integral Equations
Sören Christensen, Simon Fischer, Oskar Hallmann
Let be a standard Brownian motion with and let be a continuous function with . The first passage time (from below) is then…
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…
Optimal stopping of strong Markov processes
Sören Christensen, Paavo Salminen, Bao Quoc Ta
We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Marko…