most citedOptimal stopping for dynamic risk measures with jumps and obstacle problems

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math.OC2014★ 1 cited

Optimal stopping for dynamic risk measures with jumps and obstacle problems

Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem

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 solut…