Kristofer LindensjöAssociate Professor

About me

I am an Associate Professor (Sw: Docent, Universitetslektor) with focus on financial mathematics and mathematical economics. My research is mainly within the theory for stochastic control and stochastic games in continuous time, and is typically motivated by problems in mathematical finance, economics and insurance.

PhD student position: probability, stochastic processes, stochastic control, optimal stopping

If you are interested in a PhD position within the general area of probability, stochastic processes, stochastic control, optimal stopping, then feel free to send me an email (no fancy preparation needed, just send me a short email). Positions are usually announced in March/April. See also: general information: PhD studies.

There is currently an open PhD position, see:

NOTE: if you are interested in applying in my field then do not forget to specifically mention my name and/or the project title "Stochastic control and optimal stopping for game theory" in your application letter.

PhD student project: Stochastic control and optimal stopping for game theory

PhD Student Positions

General information: PhD studies

For students who want to write a thesis (bachelor or master)

If you think that you may want to write a thesis (bachelor or master) under my supervision (preferably in mathematical finance, stochastic control or related subjects), then feel free to contact me for an informal discussion (no fancy preparation needed, just send me a short email).

Preprints

[15] Sören Christensen, K. Lindensjö & Berenice Anne Neumann. Markovian randomized equilibria for general Markovian Dynkin games in discrete time (link to arXiv preprint), submitted.

Publications

[14] Andi Bodnariu & K. Lindensjö. A controller-stopper-game with hidden controller type (link to arXiv preprint), accepted in Stochastic Processes and their Applications (2024+).

[13] Andi Bodnariu, Sören Christensen & K. Lindensjö. Local time pushed mixed stopping and smooth fit for time-inconsistent stopping problems (link to arXiv preprint), SIAM Journal on Control and Optimization, 62(2), 2024.

[12] Erik Ekström & K. Lindensjö. De Finetti’s Control Problem with Competition (link to journal, open access), Applied Mathematics and Optimization, 87, 16 (2023).

[11] Erik Ekström, K. Lindensjö & Marcus Olofsson. How to detect a salami slicer: a stochastic controller-stopper game with unknown competition (link to arXiv preprint), SIAM Journal on Control and Optimization, 60(1), 2022. https://doi.org/10.1137/21M139044X.

[10] Sören Christensen & K. Lindensjö. Moment constrained optimal dividends: precommitment & consistent planning (link to arXiv preprint), Advances in Applied Probability 54(2), 2022. https://doi.org/10.1017/apr.2021.38.

[9] Sören Christensen & K. Lindensjö. On time-inconsistent stopping problems and mixed strategy stopping times (link to journal), Stochastic Processes and their Applications, 130(5), 2886-2917, 2020 (link to arXiv preprint).

[8] Hampus Engsner, K. Lindensjö & Filip Lindskog. The value of a liability cash flow in discrete time subject to capital requirements (link to journal, open access), Finance and Stochastics, 24, 125-167, 2020.

[7] Sören Christensen & K. Lindensjö. Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application (link to publication, open access), in Stochastic Modeling and Control, (eds: J. Jakubowski, M. Niewęgłowski, M. Rásonyi and Ł. Stettner), Banach Center Publications (Institute of Mathematics, Polish Academy of Sciences) 122, 53-76, 2020.

[6] K. Lindensjö & Filip Lindskog. Optimal dividends and capital injection under dividend restrictions (link to journal, open access), Mathematical Methods of Operations Research, 92(3):461–487, 2020.

[5] K. Lindensjö. A regular equilibrium solves the extended HJB system (link to journal), Operations Research Letters, 47(5), 427–432, 2019, (link to arXiv preprint).*

[4] Sören Christensen & K. Lindensjö. On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems (link to journal), SIAM Journal on Control and Optimization, 56(6), 4228–4255, 2018, (link to arXiv preprint).

[3] K. Lindensjö. Constructive martingale representation in functional Itô calculus: a local martingale extension (link to publication), chapter 9 in S. Silvestrov et al. (eds.), Stochastic Processes and Applications, Springer Proceedings in Mathematics & Statistics 271, 165–172, 2018, (link to arXiv preprint).

[2] K. Lindensjö. Optimal investment and consumption under partial information (link to journal), Mathematical Methods of Operations Research, 83(1):87-107, 2016.

[1] K. Lindensjö. The end of the month option and other embedded options in futures contracts (link to journal), Asia-Pacific Financial Markets, 23(1):69-83, 2016.

Co-authors (alphabetical order): Andi Bodnariu (current PHD student), Berenice Anne Neumann, Sören Christensen, Erik Ekström, Hampus Engsner, Filip Lindskog, Marcus Olofsson, Joanna Tyrcha. 

*An early preprint version of this paper had the title Time-inconsistent stochastic control: solving the extended HJB system is a necessary condition for regular equilibria.

Academic positions

Associate Professor at the Department of Mathematics, Stockholm University (Spring semester 2020 – present).

Researcher at the Department of Mathematics, Uppsala University (Fall semester 2019).

Lecturer and postdoc at the Department of Mathematics, Stockholm University (Spring semester 2016 – Spring semester 2019).

Visiting Researcher at the Department of Finance, Copenhagen Business School (Fall semester 2013, during PhD studies).

Visiting Researcher at the Department of Mathematics, ETH Zurich (Fall semester 2010, Spring semester 2012, during PhD studies). 

Education

Docent - Department of Mathematics, Stockholm University, Sep. 2020.

PhD - Mathematical Finance, Stockholm School of Economics, Nov. 2013. Supervisor: Tomas Björk, professor of Mathematical Finance. Dissertation title: Essays in Financial Mathematics.

MSc - Mathematics, Stockholm University, June 2006.

MSc - Economics and Business, specialization in Finance, Stockholm School of Economics, June 2006.

Teaching and teaching material

I have given courses on bachelor, master and PhD level in e.g.,: Stochastic differential equations, Probability theory, Financial mathematics, Mathematical economics, Economics, Econometrics, Statistics and Stochastic control. I have supervised several Bachelor’s and Master’s Degree projects.

Patrik Andersson, K. Lindensjö & Joanna Tyrcha. Notes in Econometrics, Available at the Department of Mathematics, Stockholm University, 2018.

I teach for example within the following programmes (in Swedish):

Studera kandidatprogrammet i matematisk ekonomi och statistik

Studera masterprogrammet i försäkringsmatematik (aktuarieprogrammet)

Nonacademic positions after PhD studies

Handelsbanken Capital Markets, Stockholm, 2014-2015. I had several positions, the last one as a derivatives trader.

See also: Kristoffer Lindensjö on ResearchGate