Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Non-Markovian optimal stopping problems and constrained BSDEs with jump   We consider a non-Markovian optimal stopping problem on finite horizon. We
prove that the value process can be represented by means of a backward
stochastic differential equation (BSDE), defined on an enlarged probability
space, containing a stochastic integral having a one-jump point process as
integrator and an (unknown) process with a sign constraint as integrand. This
provides an alternative representation with respect to the classical one given
by a reflected BSDE. The connection between the two BSDEs is also clarified.
Finally, we prove that the value of the optimal stopping problem is the same as
the value of an auxiliary optimization problem where the intensity of the point
process is controlled.

16
The categories of this paper are: stat
21
The categories of this paper are: adap-org
22
The categories of this paper are: chao-dyn
36
The categories of this paper are: cmp-lg
8
The categories of this paper are: hep-ex
25
The categories of this paper are: patt-sol
3
The categories of this paper are: physics
31
The categories of this paper are: ao-sci
19
The categories of this paper are: eess
20
The categories of this paper are: acc-phys
14
The categories of this paper are: math-ph
27
The categories of this paper are: comp-gas
10
The categories of this paper are: q-bio
35
The categories of this paper are: mtrl-th
23
The categories of this paper are: solv-int
6
The categories of this paper are: astro-ph