Per Stenström

Per Stenström is a Research Fellow at the Institute for Advanced Dynamic Uncertainty, where his work sits at the intersection of partial differential equations and their applications to mathematical finance. He holds a PhD in Mathematics from KTH Royal Institute of Technology, Stockholm, where his doctoral research examined viscosity solutions of degenerate parabolic equations arising in option pricing models under stochastic volatility. His thesis established comparison principles and uniqueness results for a class of operators whose degeneracy structure is determined by the volatility surface, extending the classical Crandall–Ishii framework to settings where standard parabolicity fails at the boundary of the domain.

Following his doctorate, Stenström turned to the regularity theory of free boundary problems — in particular, the question of how smoothly the optimal exercise boundary behaves as a function of time and the underlying state variables. His work in this period produced sharp regularity estimates for a class of obstacle problems associated with American-style contracts under non-constant coefficients, and identified conditions under which the free boundary admits a classical description rather than requiring a viscosity-theoretic one.

At IADU, his research addresses the analytical and numerical treatment of free boundary problems in sovereign and institutional finance, with particular interest in Hamilton–Jacobi–Bellman equations governing optimal stopping and switching decisions under state-dependent uncertainty. His work on regularity theory underpins the Institute's approach to problems in which the policy boundary — the threshold at which an institution should act — is itself an output of the optimisation.