tIt is thought Mr Pedersen had been visiting his father in Andover
Two children are thought to have been stabbed by their father before he took his own life, the BBC understands.
Police believe the man was Michael Pedersen, from Surrey, who was found in Newton Stacey, Hampshire, with his children Ben, seven, and Freya, six.
The children had already been found dead before their mother reported them missing on Sunday evening, police said.
Mr Pedersen, 51, was an ex-serviceman who survived an IRA attack in London