Jesper Lund Pedersen

Jesper Lund Pedersen

Associate Professor

ORCID: 0000-0003-2308-5548

Publication year:
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1 - 10 out of 13Page size: 10
  1. 2002
  2. Published

    The minimum maximum of a continuous martingale with given initial and terminal laws

    Hobson, D. G. & Pedersen, Jesper Lund, 2002, In: Annals of Probability. 30, 2, p. 978-999

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. 2003
  4. Published

    Optimal prediction of the ultimate maximum of Brownian motion

    Pedersen, Jesper Lund, 2003, In: Stochastics: An International Journal of Probability and Stochastic Processes . 75, 4, p. 205-219

    Research output: Contribution to journal › Journal article › Research › peer-review

  5. 2005
  6. Published

    Representations of first hitting time density of an Ornstein-Uhlenbeck Process

    Alili, L., Patie, P. & Pedersen, Jesper Lund, 2005, In: Stochastic Models. 21, 4, p. 967-980

    Research output: Contribution to journal › Journal article › Research › peer-review

  7. 2007
  8. Published

    A digitalized employee option

    Pedersen, Jesper Lund & Jensen, B., 2007, In: Stochastics: An International Journal of Probability and Stochastic Processes . 79, 1-2

    Research output: Contribution to journal › Journal article › Research › peer-review

  9. 2011
  10. Published

    Explicit solutions to some optimal variance stopping problems

    Pedersen, Jesper Lund, 2011, In: Stochastics: An International Journal of Probability and Stochastic Processes . 83, 4–6, p. 505–518 14 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  11. 2015
  12. Published

    Variance optimal stopping for geometric Levy processes

    Gad, K. S. T. & Pedersen, Jesper Lund, 2015, In: Advances in Applied Probability. 47, 1, p. 128-145

    Research output: Contribution to journal › Journal article › Research › peer-review

  13. Published

    Rationality Parameter for Exercising American Put

    Gad, K. S. T. & Pedersen, Jesper Lund, Jun 2015, In: Risks. 3, 2, p. 103-111

    Research output: Contribution to journal › Journal article › Research › peer-review

  14. 2016
  15. Published

    Optimal mean–variance selling strategies

    Pedersen, Jesper Lund & Peskir, G., 2016, In: Mathematics and Financial Economics. 10, 2, p. 203-220

    Research output: Contribution to journal › Journal article › Research › peer-review

  16. 2017
  17. Published

    Optimal mean-variance portfolio selection

    Pedersen, Jesper Lund & Peskir, G., 2017, In: Mathematics and Financial Economics. 11, 2, p. 137–160

    Research output: Contribution to journal › Journal article › Research › peer-review

  18. 2018
  19. Published

    Constrained Dynamic Optimality and Binomial Terminal Wealth

    Pedersen, Jesper Lund & Peskir, G., 2018, In: SIAM Journal on Control and Optimization. 56, 2, p. 1342-1357

    Research output: Contribution to journal › Journal article › Research › peer-review

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