48 citations · 207 across the 31 of their papers we have counts for
4 papers · 2 filters
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…