Pedersen, J. L.; Peskir, G. Optimal mean-variance selling strategies. (English) Zbl 1334.60066 Math. Financ. Econ. 10, No. 2, 203-220 (2016). MSC: 60G40 60J65 91B06 90C30 PDFBibTeX XMLCite \textit{J. L. Pedersen} and \textit{G. Peskir}, Math. Financ. Econ. 10, No. 2, 203--220 (2016; Zbl 1334.60066) Full Text: DOI
Jensen, B.; Pedersen, J. L. A digitalized employee option. (English) Zbl 1284.91547 Stochastics 79, No. 1-2, 103-115 (2007). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{B. Jensen} and \textit{J. L. Pedersen}, Stochastics 79, No. 1--2, 103--115 (2007; Zbl 1284.91547) Full Text: DOI
Pedersen, Jesper Lund Optimal stopping problems for time-homogeneous diffusions: a review. (English) Zbl 1087.60039 Baeza-Yates, Ricardo (ed.) et al., Recent advances in applied probability. Papers presented at the international workshop on applied probability, IWAP 2002, Caracas, Venezuela, January 14–17, 2002. New York, NY: Springer (ISBN 0-387-23378-4/hbk). 427-454 (2005). Reviewer: B. Grigelionis (Vilnius) MSC: 60G40 60J60 PDFBibTeX XMLCite \textit{J. L. Pedersen}, in: Recent advances in applied probability. Papers presented at the international workshop on applied probability, IWAP 2002, Caracas, Venezuela, January 14--17, 2002. New York, NY: Springer. 427--454 (2005; Zbl 1087.60039)
Pedersen, Jesper Lund Optimal prediction of the ultimate maximum of Brownian motion. (English) Zbl 1032.60038 Stochastics Stochastics Rep. 75, No. 4, 205-219 (2003). MSC: 60G40 60J65 60J60 PDFBibTeX XMLCite \textit{J. L. Pedersen}, Stochastics Stochastics Rep. 75, No. 4, 205--219 (2003; Zbl 1032.60038) Full Text: DOI
Pedersen, Jesper Lund Discounted optimal stopping problems for the maximum process. (English) Zbl 0980.60050 J. Appl. Probab. 37, No. 4, 972-983 (2000). MSC: 60G40 60H30 60G44 91B28 PDFBibTeX XMLCite \textit{J. L. Pedersen}, J. Appl. Probab. 37, No. 4, 972--983 (2000; Zbl 0980.60050) Full Text: DOI Link
Pedersen, Jesper Lund Best bounds in Doob’s maximal inequality for Bessel processes. (English) Zbl 0970.60049 J. Multivariate Anal. 75, No. 1, 36-46 (2000). Reviewer: Thomas Simon (Berlin) MSC: 60G40 60J60 60E15 60G44 PDFBibTeX XMLCite \textit{J. L. Pedersen}, J. Multivariate Anal. 75, No. 1, 36--46 (2000; Zbl 0970.60049)
Pedersen, J. L.; Peskir, G. Solving nonlinear optimal stopping problems by the method of time-change. (English) Zbl 0968.60039 Stochastic Anal. Appl. 18, No. 5, 811-835 (2000). Reviewer: Vigirdas Mackevičius (Vilnius) MSC: 60G40 60E15 60J60 60J25 PDFBibTeX XMLCite \textit{J. L. Pedersen} and \textit{G. Peskir}, Stochastic Anal. Appl. 18, No. 5, 811--835 (2000; Zbl 0968.60039) Full Text: DOI