Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
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Publication:740194
DOI10.1016/j.spa.2014.04.007zbMath1293.93783arXiv1212.6744OpenAlexW2031654524MaRDI QIDQ740194
Marie-Claire Quenez, Agnès Sulem
Publication date: 2 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.6744
optimal stoppingjump processesgame problemsdynamic risk measuresreflected backward stochastic differential equationsbackward stochastic differential equations (BSDEs)\(g\)-conditional expectation
Optimal stochastic control (93E20) Diffusion processes (60J60) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)
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