Non-Markovian optimal stopping problems and constrained BSDEs with jump

Abstract : We consider a non-Markovian optimal stopping problem on finite horizon. We prove that the value process can be represented by means of a backward stochastic differential equation (BSDE), defined on an enlarged probability space, containing a stochastic integral having a one-jump point process as integrator and an (unknown) process with a sign constraint as integrand. This provides an alternative representation with respect to the classical one given by a reflected BSDE. The connection between the two BSDEs is also clarified. Finally, we prove that the value of the optimal stopping problem is the same as the value of an auxiliary optimization problem where the intensity of the point process is controlled.
Type de document :
Pré-publication, Document de travail
2015
Liste complète des métadonnées


https://hal.archives-ouvertes.fr/hal-01118143
Contributeur : Huyen Pham <>
Soumis le : vendredi 20 février 2015 - 11:11:28
Dernière modification le : vendredi 28 avril 2017 - 01:07:57
Document(s) archivé(s) le : jeudi 21 mai 2015 - 11:35:17

Fichier

stoppingBSDE.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-01118143, version 1

Collections

Citation

Marco Fuhrman, Huyen Pham, Federica Zeni. Non-Markovian optimal stopping problems and constrained BSDEs with jump. 2015. <hal-01118143>

Partager

Métriques

Consultations de
la notice

209

Téléchargements du document

93