Optimal stopping for dynamic risk measures with jumps and obstacle problems
DOI10.1007/S10957-014-0635-2zbMath1327.93412arXiv1404.4600OpenAlexW1963661842MaRDI QIDQ887103
Roxana Dumitrescu, Agnès Sulem, Marie-Claire Quenez
Publication date: 28 October 2015
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.4600
viscosity solutioncomparison principleoptimal stoppingdynamic risk measurespartial integro-differential variational inequalityreflected backward stochastic differential equations with jumps
Optimal stochastic control (93E20) Diffusion processes (60J60) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)
Related Items (6)
Cites Work
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- Backward stochastic differential equations and integral-partial differential equations
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