Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

DOI10.1016/J.SPA.2014.04.007zbMATH Open1293.93783arXiv1212.6744OpenAlexW2031654524MaRDI QIDQ740194FDOQ740194

Authors: Marie-Claire Quenez, Agnès Sulem 

Publication date: 2 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (RBSDEs). We first provide general existence, uniqueness and comparison theorems for RBSDEs with jumps in the case of a RCLL adapted obstacle. We then show that the value function of the optimal stopping problem is characterized as the solution of an RBSDE. The existence of an optimal stopping time is obtained when the obstacle is left-upper semi-continuous along stopping times. Finally, robust optimal stopping problems related to the case with model ambiguity are investigated.

Full work available at URL: https://arxiv.org/abs/1212.6744

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zbMATH Keywords

optimal stoppingjump processesdynamic risk measuresreflected backward stochastic differential equationsbackward stochastic differential equations (BSDEs)\(g\)-conditional expectationgame problems

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Optimal stochastic control (93E20)

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Cited In (38)

• BSDEs with jumps and two completely separated irregular barriers in a general filtration
• \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
• Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• RBSDEs with optional barriers: monotone approximation
• Singular control optimal stopping of memory mean-field processes
• Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps
• Dynamic risk measure for BSVIE with jumps and semimartingale issues
• Doubly reflected backward stochastic differential equations in the predictable setting
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• American options in a non-linear incomplete market model with default
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• Optimal stopping for dynamic risk measures with jumps and obstacle problems
• Optimal stopping under g-Expectation with -integrable reward process
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