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  • Search: subject:"g-conditional expectation"
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Backward stochastic differential equations 1 Dynamic risk measures 1 Game problems 1 Jump processes 1 Optimal stopping 1 Reflected backward stochastic equations 1 g-conditional expectation 1
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Quenez, Marie-Claire 1 Sulem, Agnès 1
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Stochastic Processes and their Applications 1
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Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
Quenez, Marie-Claire; Sulem, Agnès - In: Stochastic Processes and their Applications 124 (2014) 9, pp. 3031-3054
We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (RBSDEs). The financial position is given by an RCLL adapted process. We first state some properties of RBSDEs with...
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