Optimal stopping for dynamic risk measures with jumps and obstacle problems
Date
2015Link to item file
https://arxiv.org/abs/1404.4600v2Dewey
Probabilités et mathématiques appliquéesSujet
partial integro-differential variational inequality; Dynamic risk-measure; obstacle problem; optimal stopping; reflected backward stochastic differential equations with jumps; comparison principleJournal issue
Journal of Optimization Theory and ApplicationsVolume
167Number
1Publication date
2015Article pages
219-242Publisher
PlenumCollections
Metadata
Show full item recordAuthor
Dumitrescu, Roxana
Quenez, Marie-Claire
Sulem, Agnès