{"id":"https://openalex.org/W1963661842","doi":"https://doi.org/10.1007/s10957-014-0635-2","title":"Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems","display_name":"Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems","publication_year":2014,"publication_date":"2014-08-13","ids":{"openalex":"https://openalex.org/W1963661842","doi":"https://doi.org/10.1007/s10957-014-0635-2","mag":"1963661842"},"language":"en","primary_location":{"id":"doi:10.1007/s10957-014-0635-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10957-014-0635-2","pdf_url":null,"source":{"id":"https://openalex.org/S52430896","display_name":"Journal of Optimization Theory and Applications","issn_l":"0022-3239","issn":["0022-3239","1573-2878"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Optimization Theory and Applications","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5025785606","display_name":"Roxana Dumitrescu","orcid":"https://orcid.org/0000-0002-9637-6824"},"institutions":[{"id":"https://openalex.org/I1326498283","display_name":"Institut national de recherche en informatique et en automatique","ror":"https://ror.org/02kvxyf05","country_code":"FR","type":"funder","lineage":["https://openalex.org/I1326498283"]},{"id":"https://openalex.org/I171048554","display_name":"Centre de Recherche en Math\u00e9matiques de la D\u00e9cision","ror":"https://ror.org/03s0gj002","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I171048554","https://openalex.org/I2746051580","https://openalex.org/I4210141950","https://openalex.org/I56435720"]},{"id":"https://openalex.org/I56435720","display_name":"Universit\u00e9 Paris Dauphine-PSL","ror":"https://ror.org/052bz7812","country_code":"FR","type":"education","lineage":["https://openalex.org/I2746051580","https://openalex.org/I56435720"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Roxana Dumitrescu","raw_affiliation_strings":["CEREMADE, Universit\u00e9 Paris 9 Dauphine, Place de Mar\u00e9chal de Lattre de Tassigny, 75016, Paris, France","CREST and INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France"],"affiliations":[{"raw_affiliation_string":"CEREMADE, Universit\u00e9 Paris 9 Dauphine, Place de Mar\u00e9chal de Lattre de Tassigny, 75016, Paris, France","institution_ids":["https://openalex.org/I56435720","https://openalex.org/I171048554"]},{"raw_affiliation_string":"CREST and INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France","institution_ids":["https://openalex.org/I1326498283"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5109088142","display_name":"Marie-Claire Quenez","orcid":null},"institutions":[{"id":"https://openalex.org/I169173203","display_name":"D\u00e9l\u00e9gation Paris 7","ror":"https://ror.org/00bw5n526","country_code":"FR","type":"government","lineage":["https://openalex.org/I154526488","https://openalex.org/I169173203"]},{"id":"https://openalex.org/I204730241","display_name":"Universit\u00e9 Paris Cit\u00e9","ror":"https://ror.org/05f82e368","country_code":"FR","type":"education","lineage":["https://openalex.org/I204730241"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Marie-Claire Quenez","raw_affiliation_strings":["LPMA, Universit\u00e9 Paris 7 Denis Diderot, Boite Courrier 7012, 75251, Paris Cedex 05, France"],"affiliations":[{"raw_affiliation_string":"LPMA, Universit\u00e9 Paris 7 Denis Diderot, Boite Courrier 7012, 75251, Paris Cedex 05, France","institution_ids":["https://openalex.org/I204730241","https://openalex.org/I169173203"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5017245116","display_name":"Agn\u00e8s Sulem","orcid":"https://orcid.org/0009-0005-3340-1294"},"institutions":[{"id":"https://openalex.org/I1326498283","display_name":"Institut national de recherche en informatique et en automatique","ror":"https://ror.org/02kvxyf05","country_code":"FR","type":"funder","lineage":["https://openalex.org/I1326498283"]},{"id":"https://openalex.org/I2800365227","display_name":"Paris-Est Sup","ror":"https://ror.org/0268ecp52","country_code":"FR","type":"education","lineage":["https://openalex.org/I2800365227"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Agn\u00e8s Sulem","raw_affiliation_strings":["INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France","Universit\u00e9 Paris-Est, 77455, Marne-la-Vall\u00e9e, France"],"affiliations":[{"raw_affiliation_string":"INRIA Paris-Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153, Le Chesnay Cedex, France","institution_ids":["https://openalex.org/I1326498283"]},{"raw_affiliation_string":"Universit\u00e9 Paris-Est, 77455, Marne-la-Vall\u00e9e, France","institution_ids":["https://openalex.org/I2800365227"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5109088142"],"corresponding_institution_ids":["https://openalex.org/I169173203","https://openalex.org/I204730241"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":4.5647,"has_fulltext":false,"cited_by_count":23,"citation_normalized_percentile":{"value":0.94418384,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"167","issue":"1","first_page":"219","last_page":"242"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9742000102996826,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9686999917030334,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/obstacle-problem","display_name":"Obstacle problem","score":0.8898797035217285},{"id":"https://openalex.org/keywords/variational-inequality","display_name":"Variational inequality","score":0.8744672536849976},{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.8125027418136597},{"id":"https://openalex.org/keywords/viscosity-solution","display_name":"Viscosity solution","score":0.802078127861023},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7846955060958862},{"id":"https://openalex.org/keywords/obstacle","display_name":"Obstacle","score":0.7843819856643677},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.7568982839584351},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.6797303557395935},{"id":"https://openalex.org/keywords/uniqueness","display_name":"Uniqueness","score":0.6385973691940308},{"id":"https://openalex.org/keywords/dynamic-risk-measure","display_name":"Dynamic risk measure","score":0.6196441650390625},{"id":"https://openalex.org/keywords/stopping-time","display_name":"Stopping time","score":0.5643104314804077},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.5351555943489075},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5059656500816345},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.48483073711395264},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4810217022895813},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.4479930102825165},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.444214403629303},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.28031498193740845},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.1543664038181305},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.13657566905021667},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.10188165307044983},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.09453609585762024},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.07189062237739563}],"concepts":[{"id":"https://openalex.org/C132369183","wikidata":"https://www.wikidata.org/wiki/Q3406250","display_name":"Obstacle problem","level":3,"score":0.8898797035217285},{"id":"https://openalex.org/C161999928","wikidata":"https://www.wikidata.org/wiki/Q4556320","display_name":"Variational inequality","level":2,"score":0.8744672536849976},{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.8125027418136597},{"id":"https://openalex.org/C88731125","wikidata":"https://www.wikidata.org/wiki/Q7935676","display_name":"Viscosity solution","level":2,"score":0.802078127861023},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7846955060958862},{"id":"https://openalex.org/C2776650193","wikidata":"https://www.wikidata.org/wiki/Q264661","display_name":"Obstacle","level":2,"score":0.7843819856643677},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.7568982839584351},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.6797303557395935},{"id":"https://openalex.org/C2777021972","wikidata":"https://www.wikidata.org/wiki/Q22976830","display_name":"Uniqueness","level":2,"score":0.6385973691940308},{"id":"https://openalex.org/C167548438","wikidata":"https://www.wikidata.org/wiki/Q5319012","display_name":"Dynamic risk measure","level":4,"score":0.6196441650390625},{"id":"https://openalex.org/C99888217","wikidata":"https://www.wikidata.org/wiki/Q1288707","display_name":"Stopping time","level":2,"score":0.5643104314804077},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.5351555943489075},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5059656500816345},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.48483073711395264},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4810217022895813},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.4479930102825165},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.444214403629303},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.28031498193740845},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.1543664038181305},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.13657566905021667},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.10188165307044983},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.09453609585762024},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.07189062237739563},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10957-014-0635-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10957-014-0635-2","pdf_url":null,"source":{"id":"https://openalex.org/S52430896","display_name":"Journal of Optimization Theory and Applications","issn_l":"0022-3239","issn":["0022-3239","1573-2878"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Optimization Theory and Applications","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-01096501v1","is_oa":false,"landing_page_url":"https://inria.hal.science/hal-01096501","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Optimization Theory and Applications, 2015, 167 (1), pp.23. &#x27E8;10.1007/s10957-014-0635-2&#x27E9;","raw_type":"Journal articles"},{"id":"pmh:oai:RePEc:spr:joptap:v:167:y:2015:i:1:d:10.1007_s10957-014-0635-2","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10957-014-0635-2","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.5199999809265137,"id":"https://metadata.un.org/sdg/10","display_name":"Reduced inequalities"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":10,"referenced_works":["https://openalex.org/W1970805552","https://openalex.org/W1978646054","https://openalex.org/W1994791309","https://openalex.org/W2031654524","https://openalex.org/W2035637414","https://openalex.org/W2060171102","https://openalex.org/W2090929784","https://openalex.org/W2148366450","https://openalex.org/W2240331234","https://openalex.org/W3143766639"],"related_works":["https://openalex.org/W4316830005","https://openalex.org/W3097642646","https://openalex.org/W2022139826","https://openalex.org/W1989184280","https://openalex.org/W2951022852","https://openalex.org/W1963661842","https://openalex.org/W2928626477","https://openalex.org/W2090158052","https://openalex.org/W4290851933","https://openalex.org/W1586127149"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
