Optimal stopping for dynamic risk measures with jumps and obstacle problems
Optimization and Control
2014-07-01 v2
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.
Keywords
Cite
@article{arxiv.1404.4600,
title = {Optimal stopping for dynamic risk measures with jumps and obstacle problems},
author = {Roxana Dumitrescu and Marie-Claire Quenez and Agnès Sulem},
journal= {arXiv preprint arXiv:1404.4600},
year = {2014}
}