48 citations · 207 across the 31 of their papers we have counts for
21 papers · 1 filter
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…
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…
On the Sn/n-Problem
Sören Christensen, Simon Fischer
The Chow-Robbins game is a classical still partly unsolved stopping problem introduced by Chow and Robbins in 1965. You repeatedly toss a fair coin. After each toss, you decide if…
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…
A General Method for Finding the Optimal Threshold in Discrete Time
Sören Christensen, Albrecht Irle
We develop an approach for solving one-sided optimal stopping problems in discrete time for general underlying Markov processes on the real line. The main idea is to transform the…
The Monotone Case Approach for the Solution of Certain Multidimensional Optimal Stopping Problems
Sören Christensen, Albrecht Irle
This paper studies explicitly solvable multidimensional optimal stopping problems of sum- and product-type in discrete and continuous time using the monotone case approach. It give…
On optimal stopping of multidimensional diffusions
Sören Christensen, Fabián Crocce, Ernesto Mordecki +1
This paper develops an approach for solving perpetual discounted optimal stopping problems for multidimensional diffusions, with special emphasis on the -dimensional Wiener proc…
Impulse control and expected suprema
Sören Christensen, Paavo Salminen
We consider a class of impulse control problems for general underlying strong Markov processes on the real line, which allows for an explicit solution. The optimal impulse times ar…
Convergence of switching diffusions
Sören Christensen, Albrecht Irle
This paper studies the asymptotic behavior of processes with switching. More precisely, the stability under fast switching for diffusion processes and discrete state space Markovia…
Resolvent-Techniques For Multiple Exercise Problems
Sören Christensen, Jukka Lempa
We study optimal multiple stopping of strong Markov processes with random refraction periods. The refraction periods are assumed to be exponentially distributed with a common rate…
Riesz representation and optimal stopping with two case studies
Sören Christensen, Paavo Salminen
In this paper we demonstrate that the Riesz representation of excessive functions is a useful and enlightening tool to study optimal stopping problems. After a short general discus…
On the Solution of General Impulse Control Problems Using Superharmonic Functions
Sören Christensen
In this paper, a characterization of the solution of impulse control problems in terms of superharmonic functions is given. In a general Markovian framework, the value function of…
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…
Generalized Fibonacci Numbers and Blackwell's Renewal Theorem
Sören Christensen
We investigate a connection between generalized Fibonacci numbers and renewal theory for stochastic processes. Using Blackwell's renewal theorem we find an approximation to the gen…
Phasetype distributions, autoregressive processes and overshoot
Sören Christensen
Autoregressive processes are intensively studied in statistics and other fields of applied stochastics. For many applications the overshoot and the threshold-time are of special in…