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Reflected backward stochastic differential equations with jumps and partial integro-differential variational inequalities

Abstract : We study the links between reflected backward stochastic differential equations (reflected BSDEs) with jumps and partial integro-differential variational inequalities (PIDVIs). In a Markovian framework, we show that the solution of the reflected BSDE corresponds to the unique viscosity solution of the PIDVI. We apply these results to an optimal stopping problem for dynamic risk measures induced by BSDEs with jumps.
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https://hal.inria.fr/hal-00780601
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Submitted on : Thursday, January 24, 2013 - 2:49:17 PM
Last modification on : Wednesday, September 23, 2020 - 4:30:03 AM
Long-term archiving on: : Thursday, April 25, 2013 - 3:52:58 AM

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  • HAL Id : hal-00780601, version 1

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Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem. Reflected backward stochastic differential equations with jumps and partial integro-differential variational inequalities. [Research Report] RR-8213, INRIA. 2013, pp.23. ⟨hal-00780601⟩

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