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

2021/10/02 by Navègué Tuo, Tuo Navegue, Navegue, Tuo +2
Economics, Econometrics and Finance · Mathematics · Social Sciences · #47N10 #60F05 #60H15 #60J60 #93E20 #Credit Risk and Financial Regulations #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:47N10 #msc:60F05 #msc:60H15 #msc:60J60 #msc:93E20

paper · pdf · doi:10.48550/arxiv.2110.02075

24 pages

arxiv created 2021/10/02 · openalex publication_date 2021/10/02 · arxiv updated 2021/10/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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