Section: New Results

Optimal stopping for Backward stochastic (partial) differential equations with jumps

Agnès Sulem, Rui Chen and R. Dumitrescu have addressed the problem of optimal stopping for general mean-field backward stochastic differential equations driven by a Brownian motion and an independent Poisson random measure. Existence, uniqueness, comparison and dual representation results have been obtained. Links with reflected mean-field BSDEs have been established and application to global dynamic risk measure theory has been investigated.

American options in markets with imperfections and default have been studied by Agnès Sulem, M.C. Quenez and R. Dumitrescu [28].