Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps (Q354261): Difference between revisions

Although there exists at least one well-known book on BSDEs, see for example [\textit{J. Ma} and \textit{J. Yong}, Forward-backward stochastic differential equations and their applications. Berlin: Springer (1999; Zbl 0927.60004)], this book comes to fill some gaps on this field. One such a gap is the study of backward stochastic differential equations with jumps which is very crucial in applications. Part I of the book studies BSDEs with jumps, including existence and uniqueness of solutions, numerical methods, nonlinear expectations and \(g\)-expectations. In Part II, the author studies applications to finance and insurance while in Part III he describes some other classes of BSDEs such as time-delayed BSDEs, reflected and constrained BSDEs.