Optimal stopping for dynamic risk measures with jumps and obstacle problems

DOI10.1007/S10957-014-0635-2MaRDI QIDQ887103zbMATH OpenOpenAlexFDO

Authors Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem

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

zbMATH Keywords

comparison principledynamic risk measuresoptimal stoppingpartial integro-differential variational inequalityreflected backward stochastic differential equations with jumpsviscosity solution

Mathematics Subject Classification ID

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

Abstract: We study the optimal stopping problem for a monotonous dynamic risk measure induced by a BSDE 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.

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Cites work

• A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations
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• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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Cited in

(14)

• Optimal stopping in mean field games, an obstacle problem approach
• Optimal stopping for dynamic convex risk measures
• Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
• Optimal stopping problem for jump-diffusion processes with regime-switching
• Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach
• A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations
• American options in an imperfect complete market with default
• \(\mathbb{L}^{p}\) solutions of reflected backward stochastic differential equations with jumps
• Probabilistic representation for viscosity solutions to double-obstacle quasi-variational inequalities
• Reflected BSDE driven by a marked point process with a convex/concave generator
• A propagation of chaos result for weakly interacting nonlinear Snell envelopes
• Optimal stopping of BSDEs with constrained jumps and related double obstacle PDEs
• Dynamic optimality in optimal variance stopping problems
• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

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