Sören Christensen

Associate professor in mathematical statistics, Mathematical Sciences

Sören Christensen’s research covers the theory of stochastic processes and their applications with a particular interest in stochastic control problems motivated by finance and economics. In particular, he has studied optimal stopping, impulse-control and worst-case problems. Applications include pricing of American options, optimal harvesting, and portfolio optimization.

Sören furthermore works on numerical methods, applications of probabilistic methods in Banach space theory, agent-based models, stochastic analysis, pattern recognition, and in the popular scientific field.
​In the past, Sören gave courses on Stochastic Processes, Stochastic Analysis, Continuous time finance, Stochastic Control in Mathematical Finance, Advanced topics in probability theory, and Stochastics for Computer Sciences.
Lecture notes (LaTeX, mainly in German) are available upon request.
Stochastic Control and Financial Applications, 2016

Also visit my personal website.
​Furthermore, popular-scientific articles and blog-entries are available, see “Other activities”

Preprints and working papers can be found on my personal website.

Sören writes a weekly newspaper column on statistics and probability (in German), see http://www.achtung-statistik.de.
You can also find a book published by Springer here.
Moreover, he regularly writes blog-entries on statistical issues in economics, see here.

Published: Thu 25 Feb 2016.