Jesper Lund Pedersen

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Constrained dynamic optimality and binomial terminal wealth SIAM Journal on Control and Optimization	2018-04-11	Paper
Optimal mean-variance portfolio selection Mathematics and Financial Economics	2017-03-07	Paper
Optimal mean-variance selling strategies Mathematics and Financial Economics	2016-03-08	Paper
Variance optimal stopping for geometric Lévy processes Advances in Applied Probability	2015-04-17	Paper
Explicit solutions to some optimal variance stopping problems Stochastics	2012-01-03	Paper
Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹ Stochastic Models	2005-12-09	Paper
scientific article; zbMATH DE number 2163521 (Why is no real title available?)	2005-04-29	Paper
The Azéma-Yor embedding in non-singular diffusions. Stochastic Processes and their Applications	2005-02-25	Paper
scientific article; zbMATH DE number 1983453 (Why is no real title available?)	2004-02-20	Paper
Optimal prediction of the ultimate maximum of Brownian motion Stochastics and Stochastic Reports	2003-12-18	Paper
The minimum maximum of a continuous martingale with given initial and terminal laws The Annals of Probability	2003-05-06	Paper
Best bounds in Doob's maximal inequality for Bessel processes Journal of Multivariate Analysis	2001-10-06	Paper
Discounted optimal stopping problems for the maximum process Journal of Applied Probability	2001-07-12	Paper
Solving non–linear optimal stopping problems by the method of time–change Stochastic Analysis and Applications	2001-02-06	Paper
Computing the expectation of the Azéma-Yor stopping times Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	1999-01-05	Paper
Computing the expectation of the Azéma-Yor stopping times Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	1999-01-05	Paper

Research outcomes over time

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