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Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps

โœ Scribed by Essaky, El Hassan; Ouknine, Youssef; Harraj, Najoua


Book ID
127030824
Publisher
Taylor and Francis Group
Year
2005
Tongue
English
Weight
173 KB
Volume
23
Category
Article
ISSN
0736-2994

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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 proc