{
  "id": "1404.4600",
  "version": "v2",
  "published": "2014-04-17T18:28:20.000Z",
  "updated": "2014-06-30T14:10:32.000Z",
  "title": "Optimal stopping for dynamic risk measures with jumps and obstacle problems",
  "authors": [
    "Roxana Dumitrescu",
    "Marie-Claire Quenez",
    "Agnès Sulem"
  ],
  "categories": [
    "math.OC"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2014-06-30T14:10:32.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "obstacle problem",
      "optimal stopping",
      "partial integro-differential variational inequality",
      "markovian case",
      "value function"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2014arXiv1404.4600D"
    }
  }
}