Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems
Résumé
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.