48 citations · 207 across the 31 of their papers we have counts for
3 papers · 1 filter
Competition versus Cooperation: A class of solvable mean field impulse control problems
Sören Christensen, Berenice Anne Neumann, Tobias Sohr
We discuss a class of explicitly solvable mean field type control problems/mean field games with a clear economic interpretation. More precisely, we consider long term average impu…
Are American options European after all?
Sören Christensen, Jan Kallsen, Matthias Lenga
We call a given American option representable if there exists a European claim which dominates the American payoff at any time and such that the values of the two options coincide…
General Optimal Stopping with Linear Costs
Sören Christensen, Tobias Sohr
This article treats both discrete time and continuous time stopping problems for general Markov processes on the real line with general linear costs. Using an auxiliary function of…