48 citations · 207 across the 31 of their papers we have counts for
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math.PR2013
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…
math.PR2013★ 7 cited
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…
math.PR2013★ 30 cited
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…