48 citations · 207 across the 31 of their papers we have counts for
Showing 2019 · math.OCShow all
3 papers · 2 filters
math.OC2019
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…
math.OC2019
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…
math.OC2019★ 4 cited
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…