48 citations · 207 across the 31 of their papers we have counts for
36 papers
Optimal long-run control of endemic infections: bang-bang threshold policies in a stochastic SIS model
Matthew Buckland, Sören Christensen, Philip Le Borne +1
We study long-run optimal intervention strategies for endemic infections in a stochastic susceptible-infected-susceptible (SIS) model. The proportion of infected individuals evolve…
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…
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…
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 new integral equation for Brownian stopping problems with finite time horizon
Sören Christensen, Simon Fischer
For classical finite time horizon stopping problems driven by a Brownian motion \[V(t,x) = \sup_{t\leqτ\leq0}E_{(t,x)}[g(τ,W_τ)],\] we derive a new class of Fredholm type integral…