Reflected backward stochastic differential equations with jumps and partial integro-differential variational inequalities
type: Dataset
description: We study the links between reflected backward stochastic differential equations (reflected BSDEs) with jumps and partial integro-differential variational inequalities (PIDVIs). In a Markovian framework, we show that the solution of the reflected BSDE corresponds to the unique viscosity solution of the PIDVI. We apply these results to an optimal stopping problem for dynamic risk measures induced by BSDEs with jumps.
landing page: https://inria.hal.science/hal-00780601
identifier: Report N°: RR-8213
keyword: dynamic-risk-measures
keyword: infoeu-reposemanticsreport
keyword: mathmath-apmathematics-mathanalysis-of-pdes-mathap
keyword: mathmath-prmathematics-mathprobability-mathpr
keyword: optimal-stopping
keyword: partial-integro-differential-variational-inequality
keyword: reflected-backward-stochastic-differential-equations-with-jumps
keyword: reports
keyword: viscosity-solution
issued: 2026-05-14T22:46:59.970791
modified: 2026-05-14T22:46:59.970796
language: en
contact point: Organization
  fn: CCSD

test_moissonnage_selune
type: Agent

Reflected backward stochastic differential equations with jumps and partial integro-differential variational inequalities
type: Distribution
format: HTML
access URL: https://inria.hal.science/hal-00780601
issued: 2026-05-14T22:46:59.974322
modified: 2026-05-14T22:46:59.945222