4 papers · 1 filter
General Optimal Stopping with Linear Costs
Sören Christensen, Tobias Sohr
This article treats both discrete time and continuous time stopping problems for general Markov processes on the real line with general linear costs. Using an auxiliary function of…
Note on the (non-)smoothness of discrete time value functions
Simon Fischer, Sören Christensen
We consider the discrete time stopping problem \[ V(t,x) = \sup_τE_{(t,x)}[g(τ, X_τ)],\] where is a random walk. It is well known that the value function is in general not…
A Solution Technique for Lévy Driven Long Term Average Impulse Control Problems
Sören Christensen, Tobias Sohr
This article treats long term average impulse control problems with running costs in the case that the underlying process is a Lévy process. Under quite general conditions we chara…
A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty
Luis H. R. Alvarez E., Sören Christensen
We investigate the impact of Knightian uncertainty on the optimal timing policy of an ambiguity averse decision maker in the case where the underlying factor dynamics follow a mult…