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arxiv: 1404.4600 · v2 · pith:KPHOB74Wnew · submitted 2014-04-17 · 🧮 math.OC

Optimal stopping for dynamic risk measures with jumps and obstacle problems

classification 🧮 math.OC
keywords obstacleproblemdynamicjumpsoptimalriskstoppingbsde
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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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