Research output per year
Research output per year
Personal profile
Short presentation
I work with applied probability, mainly in the area of finansial mathematics and insurance mathematics
Primary fields of research
- (Non-linear) optimal stopping problems
- (Non-linear) stochastic control problems
- Detection problems and stochastic filtering
- Multivariate point processes
Teaching
- Stochastic processes in life insurance
- Continuous time finance
- Optimal stopping
- Levy processes
CV
- 2018 - 2020: Villum EXperiment
- 2006 - : Associate professor, University of Copenhagen
- 2002 - 2005: Steno research follow, University of Copenhagen
- 2000 - 2002: Postdoc, ETH Zurich
- 2000: Postdoc, Univerisyt of Copenhagen
Keywords
- Faculty of Science
- applied probability
- insurance mathematics
- financial mathematics
Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Detecting the presence of a random drift in Brownian motion
Johnson, P., Pedersen, J. L., Peskir, G. & Zucca, C., 2022, In: Stochastic Processes and Their Applications. 150, p. 1068-1090Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile3 Citations (Scopus)14 Downloads (Pure) -
Regulation of the mammalian-brain V-ATPase through ultraslow mode-switching
Kosmidis, E., Shuttle, C. G., Preobraschenski, J., Ganzella, M., Johnson, P. J., Veshaguri, S., Holmkvist, J., Møller, M. P., Marantos, O., Marcoline, F., Grabe, M., Pedersen, J. L., Jahn, R. & Stamou, D., 2022, In: Nature. 611, 7937, p. 827-834 23 p.Research output: Contribution to journal › Journal article › Research › peer-review
12 Citations (Scopus) -
Pump, Rest and Repeat: Single Molecule Measurements Reveal Mode-Switching in the Mammalian Brain V-ATPase
Kosmidis, E. I., Preobraschenski, J., Shuttle, C., Veshaguri, S., Johnson, P. J., Pedersen, J. L., Jahn, R. & Stamou, D., 1 Feb 2021, In: Biophysical Journal. 120, 3, p. 74a-75a 2 p., 361-Pos.Research output: Contribution to journal › Conference abstract in journal › Research › peer-review
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Constrained Dynamic Optimality and Binomial Terminal Wealth
Pedersen, J. L. & Peskir, G., 2018, In: SIAM Journal on Control and Optimization. 56, 2, p. 1342-1357Research output: Contribution to journal › Journal article › Research › peer-review
8 Citations (Scopus) -
Optimal mean-variance portfolio selection
Pedersen, J. L. & Peskir, G., 2017, In: Mathematics and Financial Economics. 11, 2, p. 137–160Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile49 Citations (Scopus)341 Downloads (Pure) -
Optimal mean–variance selling strategies
Pedersen, J. L. & Peskir, G., 2016, In: Mathematics and Financial Economics. 10, 2, p. 203-220Research output: Contribution to journal › Journal article › Research › peer-review
25 Citations (Scopus) -
Rationality Parameter for Exercising American Put
Gad, K. S. T. & Pedersen, J. L., Jun 2015, In: Risks. 3, 2, p. 103-111Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile193 Downloads (Pure) -
Variance optimal stopping for geometric Levy processes
Gad, K. S. T. & Pedersen, J. L., 2015, In: Advances in Applied Probability. 47, 1, p. 128-145Research output: Contribution to journal › Journal article › Research › peer-review
5 Citations (Scopus)