48 citations · 207 across the 31 of their papers we have counts for
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math.PR2017
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…
math.PR2017
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…