48 citations · 207 across the 31 of their papers we have counts for
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math.PR2016
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…
q-fin.PM2016
Optimal portfolio selection under vanishing fixed transaction costs
Sören Christensen, Albrecht Irle, Andreas Ludwig
In this paper, asymptotic results in a long-term growth rate portfolio optimization model under both fixed and proportional transaction costs are obtained. More precisely, the conv…