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On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems
Linnaeus Univ LNU, Dept Math, Växjö, Sweden..
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
2021 (English)In: Systems & control letters (Print), ISSN 0167-6911, E-ISSN 1872-7956, Vol. 155, p. 104989-, article id 104989Article in journal (Refereed) Published
Abstract [en]

We introduce a class of one-dimensional continuous reflected backward stochastic Volterra integral equations driven by Brownian motion, where the reflection keeps the solution above a given stochastic process (lower obstacle). We prove existence and uniqueness by a fixed point argument and derive a comparison result. Moreover, we show how the solution of our problem is related to a time-inconsistent optimal stopping problem and derive an optimal strategy.

Place, publisher, year, edition, pages
Elsevier BV , 2021. Vol. 155, p. 104989-, article id 104989
Keywords [en]
Backward stochastic differential equation, Snell envelope, Volterra integral equation, Time-inconsistent optimal stopping problem
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-309318DOI: 10.1016/j.sysconle.2021.104989ISI: 000754889700003Scopus ID: 2-s2.0-85110267391OAI: oai:DiVA.org:kth-309318DiVA, id: diva2:1641526
Note

QC 20220302

Available from: 2022-03-02 Created: 2022-03-02 Last updated: 2022-06-25Bibliographically approved

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Djehiche, Boualem

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