Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

被引:39
|
作者
Quenez, Marie-Claire [1 ,2 ]
Sulem, Agnes [2 ,3 ]
机构
[1] Univ Paris 07, LPMA, F-75251 Paris 05, France
[2] INRIA Paris Rocquencourt, Domaine Voluceau, F-78153 Le Chesnay, France
[3] Univ Paris Est, F-77455 Marne La Vallee, France
关键词
Backward stochastic differential equations; Reflected backward stochastic equations; g-conditional expectation; Jump processes; Optimal stopping; Dynamic risk measures; Game problems;
D O I
10.1016/j.spa.2014.04.007
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (RBSDEs). The financial position is given by an RCLL adapted process. We first state some properties of RBSDEs with jumps when the obstacle process is RCLL only. We then prove that the value function of the optimal stopping problem is characterized as the solution of an RBSDE. The existence of optimal stopping times is obtained when the obstacle is left-upper semi-continuous along stopping times. Finally, we investigate robust optimal stopping problems related to the case with model ambiguity and their links with mixed control/optimal stopping game problems. We prove that, under some hypothesis, the value function is equal to the solution of an RBSDE. We then study the existence of saddle points when the obstacle is left-upper semi-continuous along stopping times. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码:3031 / 3054
页数:24
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