BSDEs with jumps, optimization and applications to dynamic risk measures

Marie-Claire Quenez; Agnès Sulem

hal-00709632, version 1

BSDEs with jumps, optimization and applications to dynamic risk measures

Marie-Claire Quenez () ^1, 2, Agnès Sulem ²

N° RR-7997 (2012)

Résumé : In the Brownian case, the links between dynamic risk measures and BSDEs have been widely studied. In this paper, we study the case with jumps. We first study the properties of BSDEs driven by a Brownian motion and a Poisson random measure. In particular, we provide a comparison theorem, under quite weak assumptions, extending that of Royer \cite{R}. We then give some properties of dynamic risk measures induced by BSDEs with jumps. We provide a representation property of such dynamic risk measures in the convex case as well as some new results on a robust optimization problem, related to the case of model ambiguity

1 : Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
CNRS : UMR7599 – Université Pierre et Marie Curie [UPMC] - Paris VI – Université Paris VII - Paris Diderot
2 : MATHRISK (INRIA Paris-Rocquencourt)
INRIA – Ecole des Ponts ParisTech – Université Paris-Est Marne-la-Vallée (UPEMLV)

hal-00709632, version 1
http://hal.inria.fr/hal-00709632
oai:hal.inria.fr:hal-00709632
Contributeur : Martine Verneuille <>
Soumis le : Mardi 19 Juin 2012, 10:27:24
Dernière modification le : Mercredi 9 Janvier 2013, 11:00:22

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