Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

被引：0

作者：

Roxana Dumitrescu

Marie-Claire Quenez

Agnès Sulem

机构：

[1] Université Paris 9 Dauphine,CEREMADE

[2] CREST and INRIA Paris-Rocquencourt,LPMA

[3] Université Paris 7 Denis Diderot,undefined

[4] INRIA Paris-Rocquencourt,undefined

[5] Université Paris-Est,undefined

来源：

Journal of Optimization Theory and Applications | 2015年 / 167卷

关键词：

Dynamic risk measures; Optimal stopping; Reflected backward stochastic differential equations with jumps; Viscosity solution; Comparison principle; Partial integro-differential variational inequality; 93E20; 60J60; 47N10;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We study the optimal stopping problem for a monotonous dynamic risk measure induced by a Backward Stochastic Differential Equation 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.

引用

页码：219 / 242

页数：23

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