Optimal stopping for dynamic risk measures with jumps and obstacle problems
Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès (2015), Optimal stopping for dynamic risk measures with jumps and obstacle problems, Journal of Optimization Theory and Applications, 167, 1, p. 219-242. http://dx.doi.org/10.1007/s10957-014-0635-2
TypeArticle accepté pour publication ou publié
External document linkhttps://arxiv.org/abs/1404.4600v2
Journal nameJournal of Optimization Theory and Applications
MetadataShow full item record
Abstract (EN)We study the optimal stopping problem for a monotonous dynamic risk measure induced by a BSDE with jumps in the Markovian case. We show that the value function is a viscosity solution of an obstacle problem for a partial integro-differential variational inequality, and we provide an uniqueness result for this obstacle problem.
Subjects / Keywordspartial integro-differential variational inequality; Dynamic risk-measure; obstacle problem; optimal stopping; reflected backward stochastic differential equations with jumps; comparison principle
Showing items related by title and author.
A Weak Dynamic Programming Principle for Combined Optimal Stopping / Stochastic Control with Ef -conditional Expectations Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès (2016) Article accepté pour publication ou publié