Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications BSDEs with Jumps /

• Main Author: Delong, Łukasz (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: London : Springer London : Imprint: Springer, 2013.
• Series: EAA Series,
• Subjects: Mathematics.; Economics, Mathematical.; Actuarial science.; Mathematical optimization.; Probabilities.; Quantitative Finance.; Actuarial Sciences.; Continuous Optimization.; Probability Theory and Stochastic Processes.

Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step proc...