Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps

DOI10.1007/978-1-4471-5331-3zbMath1369.60001OpenAlexW4248757863MaRDI QIDQ354261

Łukasz Delong

Publication date: 18 July 2013

Published in: EAA Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4471-5331-3

zbMATH Keywords

applications to finance and insurancebackward stochastic differential equations with jumps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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