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

Authors
Publication date
2014
Publication type
Journal Article
Summary 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.
Publisher
Springer Science and Business Media LLC
Topics of the publication
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