Sören Christensen

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Person:329056

Available identifiers

zbMath Open christensen.soren.1MaRDI QIDQ329056

List of research outcomes

PublicationDate of PublicationType
Two sided ergodic singular control and mean field game for diffusions2023-06-15Paper
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit2022-09-29Paper
A general method for finding the optimal threshold in discrete time2022-07-08Paper
The monotone case approach for the solution of certain multidimensional optimal stopping problems2020-04-07Paper
Impulse control and expected suprema2019-09-16Paper
Optimal portfolio selection under vanishing fixed transaction costs2019-09-16Paper
On optimal stopping of multidimensional diffusions2019-06-28Paper
Utility maximisation in a factor model with constant and proportional transaction costs2019-01-18Paper
Multidimensional investment problem2018-03-01Paper
A General Verification Result for Stochastic Impulse Control Problems2017-03-17Paper
Classification error in multiclass discrimination from Markov data2016-10-21Paper
WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES2016-04-14Paper
Convergence of switching diffusions2015-08-19Paper
Resolvent-techniques for multiple exercise problems2015-04-21Paper
Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci2014-07-10Paper
Worst-case optimal investment with a random number of crashes2014-06-11Paper
A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING2014-04-23Paper
On the solution of general impulse control problems using superharmonic functions2014-02-06Paper
On the distribution of random variables corresponding to Musielak–Orlicz norms2013-12-16Paper
American Options with guarantee – A class of two-sided stopping problems2013-10-25Paper
Optimal Multiple Stopping with Random Waiting Times2013-10-18Paper
Riesz representation and optimal stopping with two case studies2013-09-10Paper
Optimal decision under ambiguity for diffusion processes2013-08-02Paper
Optimal stopping of strong Markov processes2013-03-06Paper
Generalized Fibonacci numbers and Blackwell's renewal theorem2012-09-18Paper
Phase-Type Distributions and Optimal Stopping for Autoregressive Processes2012-04-20Paper
An Inversion Formula for Orlicz Norms and Sequences of Random Variables2012-04-05Paper
A harmonic function technique for the optimal stopping of diffusions2012-01-03Paper
An Elementary Approach to Optimal Stopping Problems for AR(1) Sequences2011-03-21Paper
A note on pasting conditions for the American perpetual optimal stopping problem2009-03-04Paper

Research outcomes over time


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