Robust optimal problem for dynamic risk measures governed by BSDEs with jumps and delayed generator
Probability
2021-10-06 v1
Abstract
The aim of this paper is to study an optimal stopping problem for dynamic risk measures induced by backward stochastic differential equations with jumps and delayed generator. Firstly, we connect the value function of this problem to reflected BSDEs with jump and delayed generator. Furthermore, after establishing existence and uniqueness result for this reflected BSDE, we use its to address through a mixed/optimal stopping game problem for the previous dynamic risk measure in ambiguity case.
Cite
@article{arxiv.2110.02075,
title = {Robust optimal problem for dynamic risk measures governed by BSDEs with jumps and delayed generator},
author = {Tuo Navegue and Auguste Aman},
journal= {arXiv preprint arXiv:2110.02075},
year = {2021}
}
Comments
24 pages