Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems
We study the optimal stopping problem for a monotonous dynamic risk measure induced by a Backward Stochastic Differential Equation 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.
optimal stopping dynamic risk measures viscosity solution partial integro-differential variational inequality reflected backward stochastic differential equations with jumps comparison principle 93e20 60j60 47n10