Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

Roxana Dumitrescu (), Marie-Claire Quenez () and Agnès Sulem ()
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Roxana Dumitrescu: Université Paris 9 Dauphine
Marie-Claire Quenez: Université Paris 7 Denis Diderot
Agnès Sulem: INRIA Paris-Rocquencourt

Journal of Optimization Theory and Applications, 2015, vol. 167, issue 1, No 11, 219-242

Abstract: 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: Dynamic risk measures; Optimal stopping; Reflected backward stochastic differential equations with jumps; Viscosity solution; Comparison principle; Partial integro-differential variational inequality; 93E20; 60J60; 47N10 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-014-0635-2

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