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

- BSDEs with Jumps

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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.
  • BLACK NOVEMBER
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Leveringstid: 8-11 hverdage
Forventet levering: 20. november 2024

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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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