Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

Roxana Dumitrescu; Marie Claire Quenez; Agnès Sulem

doi:10.1007/s10957-014-0635-2

Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

Roxana Dumitrescu
, Marie Claire Quenez
, Agnès Sulem

Université Paris Dauphine
Laboratoire de Probabilités, Statistique et Modélisation
INRIA Institut National de Recherche en Informatique et en Automatique
Université Gustave Eiffel

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

11 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	219-242
Nombre de pages	24
journal	Journal of Optimization Theory and Applications
Volume	167
Numéro de publication	1
Les DOIs	https://doi.org/10.1007/s10957-014-0635-2
état	Publié - 14 oct. 2015

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title = "Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems",

abstract = "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.",

keywords = "Comparison principle, Dynamic risk measures, Optimal stopping, Partial integro-differential variational inequality, Reflected backward stochastic differential equations with jumps, Viscosity solution",

author = "Roxana Dumitrescu and Quenez, \{Marie Claire\} and Agn{\`e}s Sulem",

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KW - Comparison principle

KW - Dynamic risk measures

KW - Optimal stopping

KW - Partial integro-differential variational inequality

KW - Reflected backward stochastic differential equations with jumps

KW - Viscosity solution

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Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

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