Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (RBSDEs). The financial position is given by an RCLL adapted process. We first state some properties of RBSDEs with jumps...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Stochastic processes and their applications 2014-09, Vol.124 (9), p.3031-3054
Hauptverfasser:	Quenez, Marie-Claire, Sulem, Agnès
Format:	Artikel
Sprache:	eng
Schlagworte:	[formula omitted]-conditional expectation Backward stochastic differential equations Dynamic risk measures Game problems Jump processes Mathematics Optimal stopping Probability Reflected backward stochastic equations
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!