Christensen, Sören
- Moment constrained optimal dividends: precommitment & consistent planning
2019/09/24 by Christensen, Sören, Lindensjö, Kristoffer · 2 citations
#60G40 #60J70 #91A10 #91A25 #91B02 #91B51 #91G80 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC)
- On optimal stopping of multidimensional diffusions
2016/11/03 by Christensen, Sören, Crocce, Fabián, Mordecki, Ernesto +1 · 1 citation
#60G40 #62L15 #FOS: Mathematics #Probability (math.PR)
- Two sided ergodic singular control and mean field game for diffusions
2023/06/15 by Christensen, Sören, Mordecki, Ernesto, Eguren, Facundo Oliú · 1 citation
#91A16 #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- Data-driven optimal stopping: A pure exploration analysis
2023/12/10 by Sören Christensen, Niklas Dexheimer, Christensen, Sören +3 · 1 citation
Computer Science · Decision Sciences · Economics, Econometrics and Finance · #60J60 #62M05 #93E35 #Advanced Bandit Algorithms Research #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (stat.ML) #Optimization and Control (math.OC) #Optimization and Search Problems #Statistics Theory (math.ST) #Stochastic processes and financial applications