This paper is concerned with a comparison principle for viscosity solutions to Hamilton-Jacobi (HJ), -Bellman (HJB), and -Isaacs (HJI) equations for general classes of partial integro-differential operators. Our approach innovates in three ways: (1) We reinterpret the classical...

This paper is concerned with a comparison principle for viscosity solutions to Hamilton-Jacobi (HJ), -Bellman (HJB), and -Isaacs (HJI) equations for general classes of partial integro-differential operators. Our approach innovates in three ways: (1) We reinterpret the classical...

We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution are proved by a double penalization approach under regularity assumptions on the obstacle. In a suitable regime switching diffusion...

The paper studies the robust maximization of utility from terminal wealth in a diffusion financial market model. The underlying model consists of a tradable risky asset whose price is described by a diffusion process with misspecified trend and volatility coefficients, and a non-tradable asset...