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
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Bayesian changepoint detection for epidemic models
Johnson, P. & Pedersen, J. L., 2025, In: Scientific Reports. 15, 1, 13 p., 20545.Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile2 Citations (Scopus)7 Downloads (Pure) -
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 AccessFile4 Citations (Scopus)32 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
24 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 AccessFile56 Citations (Scopus)380 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
26 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 AccessFile10 Citations (Scopus)232 Downloads (Pure)