Sören Christensen

Available identifiers

zbMath Open christensen.soren.1WikidataQ102366113 ScholiaQ102366113MaRDI QIDQ329056

List of research outcomes

Publication	Date of Publication	Type
Data-driven rules for multidimensional reflection problems	2024-11-28	Paper
Learning to reflect: a unifying approach for data-driven stochastic control strategies	2024-07-02	Paper
Two sided ergodic singular control and mean field game for diffusions	2023-06-15	Paper
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit	2022-09-29	Paper
A general method for finding the optimal threshold in discrete time	2022-07-08	Paper
The monotone case approach for the solution of certain multidimensional optimal stopping problems	2020-04-07	Paper
Optimal portfolio selection under vanishing fixed transaction costs	2019-09-16	Paper
Impulse control and expected suprema	2019-09-16	Paper
On optimal stopping of multidimensional diffusions	2019-06-28	Paper
Utility maximisation in a factor model with constant and proportional transaction costs	2019-01-18	Paper
Multidimensional investment problem	2018-03-01	Paper
A General Verification Result for Stochastic Impulse Control Problems	2017-03-17	Paper
Classification error in multiclass discrimination from Markov data	2016-10-21	Paper
Worst-case portfolio optimization in a market with bubbles	2016-04-14	Paper
Convergence of switching diffusions	2015-08-19	Paper
Resolvent-techniques for multiple exercise problems	2015-04-21	Paper
Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci	2014-07-10	Paper
Worst-case optimal investment with a random number of crashes	2014-06-11	Paper
A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING	2014-04-23	Paper
On the solution of general impulse control problems using superharmonic functions	2014-02-06	Paper
On the distribution of random variables corresponding to Musielak-Orlicz norms	2013-12-16	Paper
American options with guarantee -- a class of two-sided stopping problems	2013-10-25	Paper
Optimal Multiple Stopping with Random Waiting Times	2013-10-18	Paper
Riesz representation and optimal stopping with two case studies	2013-09-10	Paper
Optimal decision under ambiguity for diffusion processes	2013-08-02	Paper
Optimal stopping of strong Markov processes	2013-03-06	Paper
Generalized Fibonacci numbers and Blackwell's renewal theorem	2012-09-18	Paper
Phase-Type Distributions and Optimal Stopping for Autoregressive Processes	2012-04-20	Paper
An Inversion Formula for Orlicz Norms and Sequences of Random Variables	2012-04-05	Paper
A harmonic function technique for the optimal stopping of diffusions	2012-01-03	Paper
An Elementary Approach to Optimal Stopping Problems for AR(1) Sequences	2011-03-21	Paper
A note on pasting conditions for the American perpetual optimal stopping problem	2009-03-04	Paper

Research outcomes over time

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