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  5. Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications

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

- BSDEs with Jumps

af Lukasz Delong

indgår i EAA Series serien

Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications af Lukasz Delong
Bag om Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications

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 processes and Levy processes.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781447153306
  • Indbinding:
  • Paperback
  • Sideantal:
  • 288
  • Udgivet:
  • 11. juni 2013
  • Udgave:
  • 2013
  • Størrelse:
  • 227x146x21 mm.
  • Vægt:
  • 458 g.
  • 8-11 hverdage.
  • 10. december 2024
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Forlænget returret til d. 31. januar 2025

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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 processes and Levy processes.

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