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Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems by Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès is a scholarly article available to read on EtoBox.

What is Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems about?

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.

Author

Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès

Published

2014

Language

EN