BSDEs with jumps, optimization and applications to dynamic risk measures

By Marie Claire Quenez, Agnès Sulem. 2013

153 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b223ca720a365719a4aad4508edf1192f0b5d705

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Citations in the corpus

Optimal stopping with f-expectations: The irregular case (2016, methodology): “eneral case where X is not necessarily bounded by using a localization argument similar to that used in [30, Th. 66, Ch. IV]. We make the following assumption on the driver (cf., e.g., Theorem 4.2 in [31]). The assumption will be used, in particular, in the proof of the comparison theorem for RBSDE.”
Generalized Dynkin games and doubly reflected BSDEs with jumps (2013, background): “ount some ambiguity on the model via the probability measures Qu,v as well as some ambiguity on the instantaneous reward. This case corresponds to the classical mixed game problems studied in [3] and [21]. The above proofs provide some alternative short proofs of their results. 5 Comparison theorems”
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration (2014, methodology): “But instead of using Girsanov’s theorem to obtain the comparison between two solutions, we generalize the argument of [35], which is less restrictive.”
Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (2015, unknown): “For every t T the process ( Y , ψ, M ) solves the BSDE From Lemma 10 in [23] and Lemma 4.1 in [30], we have e Our assumptions ensure that ζ is non negative and belongs to H k (0 , T ) .”
Reflected BSDEs when the obstacle is not right-continuous and optimal stopping (2015, unknown): “ity property of Ef(·), we derive YS = E f S,τ ε S (Yτ S ) ≤ Ef S,τε S (ξτ S +ε) ≤ Ef S,τε S (ξτε S )+Lε a.s., (4.32) where the last inequality follows from the estimates on BSDEs (see Proposition A.4 [26]). Inequality (4.30) thus holds. From (4.32) we also deduce YS ≤ ess sup τ∈TS,T Ef S,τ(ξτ)+Lε a.”