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The aim of this paper is to study an optimal stopping problem for dynamicrisk measures induced by backward stochastic differential equations with jumpsand delayed generator. Firstly, we connect the value function of this problemto reflected BSDEs with jump and delayed generator. Furthermore, afterestablishing existence and uniqueness result for this reflected BSDE, we useits to address through a mixed/optimal stopping game problem for the previousdynamic risk measure in ambiguity case.

Robust optimal problem for dynamic risk measures governed by BSDEs with jumps and delayed generator