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Journal Articles Journal of Optimization Theory and Applications Year : 2015

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.

Dates and versions

hal-01096501 , version 1 (17-12-2014)

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Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem. Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems. Journal of Optimization Theory and Applications, 2015, 167 (1), pp.23. ⟨10.1007/s10957-014-0635-2⟩. ⟨hal-01096501⟩
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