Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

International audienceWe study the optimal stopping problem for a monotonous dynamic riskmeasure induced by a Backward Stochastic Differential Equation with jumps in theMarkovian case.We show that the value function is a viscosity solution of an obstacleproblem for a partial integro-differential variational inequality and we provide anuniqueness result for this obstacle problem