Section: New Results

Backward Stochastic (Partial) Differential equations with jumps and stochastic control

Participants : Roxana-Larisa Dumitrescu, Marie-Claire Quenez, Agnès Sulem.

We have studied optimization problems for BSDEs with jumps, optimal stopping for dynamic risk measures induced by BSDEs with jumps and associated reflected BSDEs, and generalized Dynkin games associated to double barriers reflected BSDEs with jumps [32] , [38] , [42] . A. Sulem, with B. Øksendal and T. Zhang has also studied optimal stopping for Stochastic Partial Differential equations and associated reflected SPDEs [34] , and optimal control of Forward-Backward SDEs [54] .