Optimal stopping for dynamic risk measures with jumps and obstacle problems

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Date
2015
Link to item file
https://arxiv.org/abs/1404.4600v2
Dewey
Probabilités et mathématiques appliquées
Sujet
partial integro-differential variational inequality; Dynamic risk-measure; obstacle problem; optimal stopping; reflected backward stochastic differential equations with jumps; comparison principle
Journal issue
Journal of Optimization Theory and Applications
Volume
167
Number
1
Publication date
2015
Article pages
219-242
Publisher
Plenum
DOI
http://dx.doi.org/10.1007/s10957-014-0635-2
URI
https://basepub.dauphine.fr/handle/123456789/13151
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Author
Dumitrescu, Roxana
Quenez, Marie-Claire
Sulem, Agnès
Type
Article accepté pour publication ou publié
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.