Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
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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.
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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
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- Reflected BSDEs with optional barrier in a general filtration
- The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem
- [[:Publication:1722018|Doubly reflected BSDEs and \(\mathcal{E} ^Template:F\)-Dynkin games: beyond the right-continuous case]]
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