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

zbMATH Keywords

viscosity solutioncomparison principleoptimal stoppingdynamic risk measurespartial integro-differential variational inequalityreflected backward stochastic differential equations with jumps

Mathematics Subject Classification ID

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

Related Items (6)

American options in an imperfect complete market with default ⋮ 𝕃^p solutions of reflected backward stochastic differential equations with jumps ⋮ Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach ⋮ Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps ⋮ Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps ⋮ A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations

Cites Work

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• Generalized Dynkin games and doubly reflected BSDEs with jumps
• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• BSDEs with jumps, optimization and applications to dynamic risk measures
• A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations
• Backward stochastic differential equations and integral-partial differential equations

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