Optimal stopping for dynamic risk measures with jumps and obstacle problems
| Autor: | Agnès Sulem, Roxana Dumitrescu, Marie-Claire Quenez |
|---|---|
| Přispěvatelé: | Mathematical Risk handling (MATHRISK), Inria Paris-Rocquencourt, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Université Paris-Est Marne-la-Vallée (UPEM)-École des Ponts ParisTech (ENPC), CEntre de REcherches en MAthématiques de la DEcision (CEREMADE), Centre National de la Recherche Scientifique (CNRS)-Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL), Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Centre National de la Recherche Scientifique (CNRS)-Université Paris Diderot - Paris 7 (UPD7)-Université Pierre et Marie Curie - Paris 6 (UPMC), Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS), Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS) |
| Rok vydání: | 2014 |
| Předmět: |
Mathematical optimization
Control and Optimization Applied Mathematics 010102 general mathematics Management Science and Operations Research 01 natural sciences Dynamic risk measure 010104 statistics & probability Stochastic differential equation Optimization and Control (math.OC) Obstacle Bellman equation Variational inequality Obstacle problem FOS: Mathematics Optimal stopping Dynamic risk measures · Optimal stopping · Reflected backward stochastic differential equations with jumps · Viscosity solution · Comparison principle · Partial integro-differential variational inequality [MATH]Mathematics [math] 0101 mathematics Viscosity solution Mathematics - Optimization and Control Mathematics |
| Zdroj: | Journal of Optimization Theory and Applications Journal of Optimization Theory and Applications, Springer Verlag, 2015, 167 (1), pp.23. ⟨10.1007/s10957-014-0635-2⟩ Journal of Optimization Theory and Applications, 2015, 167 (1), pp.23. ⟨10.1007/s10957-014-0635-2⟩ |
| ISSN: | 0022-3239 1573-2878 |
| DOI: | 10.48550/arxiv.1404.4600 |
| Popis: | International audience; We study the optimal stopping problem for a monotonous dynamic riskmeasure induced by a Backward Stochastic Differential Equation with jumps in theMarkovian case.We show that the value function is a viscosity solution of an obstacleproblem for a partial integro-differential variational inequality and we provide anuniqueness result for this obstacle problem. |
| Databáze: | OpenAIRE |
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