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arXiv · 1404.4600

Optimal stopping for dynamic risk measures with jumps and obstacle problems

Roxana Dumitrescu·Marie-Claire Quenez·Agnès Sulem
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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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Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem. 2014-06-30. Optimal stopping for dynamic risk measures with jumps and obstacle problems. https://arxiv.org/abs/1404.4600

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