48 citations · 207 across the 31 of their papers we have counts for
6 papers · 1 filter
Competition versus Cooperation: A class of solvable mean field impulse control problems
Sören Christensen, Berenice Anne Neumann, Tobias Sohr
We discuss a class of explicitly solvable mean field type control problems/mean field games with a clear economic interpretation. More precisely, we consider long term average impu…
Moment constrained optimal dividends: precommitment \& consistent planning
Sören Christensen, Kristoffer Lindensjö
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control probl…
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…
Nonparametric learning for impulse control problems
Sören Christensen, Claudia Strauch
One of the fundamental assumptions in stochastic control of continuous time processes is that the dynamics of the underlying (diffusion) process is known. This is, however, usually…
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…
On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
Sören Christensen, Kristoffer Lindensjö
Standard Markovian optimal stopping problems are consistent in the sense that the first entrance time into the stopping set is optimal for each initial state of the process. Clearl…