Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

Roxana Dumitrescu 1, 2 Marie-Claire Quenez 3 Agnès Sulem 1
1 MATHRISK - Mathematical Risk handling
Inria Paris-Rocquencourt, UPEM - Université Paris-Est Marne-la-Vallée, ENPC - École des Ponts ParisTech
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.
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Article dans une revue
Journal of Optimization Theory and Applications, Springer Verlag, 2015, 167 (1), pp.23. 〈10.1007/s10957-014-0635-2〉
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https://hal.inria.fr/hal-01096501
Contributeur : Martine Verneuille <>
Soumis le : mercredi 17 décembre 2014 - 16:03:51
Dernière modification le : jeudi 27 avril 2017 - 09:46:12

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Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem. Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems. Journal of Optimization Theory and Applications, Springer Verlag, 2015, 167 (1), pp.23. 〈10.1007/s10957-014-0635-2〉. 〈hal-01096501〉

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