48 citations · 207 across the 31 of their papers we have counts for
8 papers · 1 filter
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…
Moment constrained optimal dividends: precommitment \& consistent planning
Sören Christensen, Kristoffer Lindensjö
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control probl…
Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application
Sören Christensen, Kristoffer Lindensjö
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consider…
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…
Nonparametric learning for impulse control problems
Sören Christensen, Claudia Strauch
One of the fundamental assumptions in stochastic control of continuous time processes is that the dynamics of the underlying (diffusion) process is known. This is, however, usually…
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…
A Solvable Two-dimensional Optimal Stopping Problem in the Presence of Ambiguity
Sören Christensen, Luis H. R. Alvarez E
According to conventional wisdom, ambiguity accelerates optimal timing by decreasing the value of waiting in comparison with the unambiguous benchmark case. We study this mechanism…