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
收藏
页码：219 / 242
页数：23
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