arXiv:1404.4600 Abstract | arXiv Analytics

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Optimal stopping for dynamic risk measures with jumps and obstacle problems

Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem

Published 2014-04-17, updated 2014-06-30Version 2

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.

Categories: math.OC

Keywords: obstacle problem, optimal stopping, partial integro-differential variational inequality, markovian case, value function

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