48 citations · 207 across the 31 of their papers we have counts for
3 papers · 1 filter
Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs
Sören Christensen, Marc Wittlinger
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exce…
Optimal multiple stopping with random waiting times
Sören Christensen, Albrecht Irle, Stephan Jürgens
In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length , the so called refr…
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…