Concepedia

Jesper Lund Pedersen

JL

10

Publications

580

Citations

10

H-Index

2000

Active since

Affiliations

University of Copenhagen(Current)

Aarhus University

University of Manchester

ETH Zurich

Jesper Lund Pedersen is an author at University of Copenhagen specializing in probability theory, engineering, and stochastic optimization.

ORCID

Top concepts

Publications per year

2000–2022

10

Publications

10

Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process<sup>1</sup>

Larbi Alili, Pierre Patie, Jesper Lund Pedersen · Stochastic Models · 2005 · 223 citations

, , +12

Optimal mean-variance portfolio selection

Jesper Lund Pedersen, Goran Peškir · Mathematics and Financial Economics · 2016 · 82 citations · Full text

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

David Hobson, Jesper Lund Pedersen · The Annals of Probability · 2002 · 52 citations · Full text

, , +9

Discounted optimal stopping problems for the maximum process

Jesper Lund Pedersen · Journal of Applied Probability · 2000 · 50 citations

, , +10

Optimal mean–variance selling strategies

Jesper Lund Pedersen, Goran Peškir · Mathematics and Financial Economics · 2015 · 47 citations

, , +5

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