The boys are aged 13 and 16 while the two girls are both 15, police said.
“They have given matching accounts saying that they were at the location and that they started the fire, so they have admitted to the events that actually took place,” duty officer Jørn Bystrup said.
The two girls and the older boy have been charged with arson under Danish criminal law.
The prosecution authority found there was no need to hold them in custody.
“That is partly because there are no contradictions in their statements,” Bystrup said.
Police tracked down the four teenagers with the help of information provided by the public, he also confirmed.
Local media Jydske Vestkysten reported that videos were sent on Snapchat showing four young people with a small fire on a seat inside one of the carriages.
Members of the public were initially advised to stay indoors as the carriages burned on Monday afternoon, due to concerns about potential dangerous chemicals in the smoke.
Fire services later said there was no asbestos in the fumes.
Forensic investigation of the train carriages will take place in the coming days.
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