On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems

• 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. 

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

NATURVETENSKAP  -- Matematik -- Beräkningsmatematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Computational Mathematics (hsv//eng)

Nyckelord

Backward stochastic differential equation

Snell envelope

Volterra integral equation

Time-inconsistent optimal stopping problem

Mathematics

Matematik

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)