Work

Robust optimal problem for dynamic risk measures governed by BSDEs with jumps and delayed generator

Year: 2021

Type: preprint

Abstract: The aim of this paper is to study an optimal stopping problem for dynamic risk measures induced by backward stochastic differential equations with jumps and delayed generator. Firstly, we connect the value function of this problem to reflected BSDEs with jump and delayed generator. Furthermore, after establishing existence and uniqueness result for this reflected BSDE, we use its to address through a mixed/optimal stopping game problem for the previous dynamic risk measure in ambiguity case.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2110.02075

Authors: Navegue, Tuo, Aman, Auguste

Institution: Université Félix Houphouët-Boigny

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3202588916

Cites: 15

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Related to: 10