BSDEs with jumps, optimization and applications to dynamic risk measures
✍ Scribed by Quenez, Marie-Claire; Sulem, Agnès
- Book ID
- 122535634
- Publisher
- Elsevier Science
- Year
- 2013
- Tongue
- English
- Weight
- 341 KB
- Volume
- 123
- Category
- Article
- ISSN
- 0304-4149
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
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
This unique treatment systematically interprets a spectrum of importance measures to provide a comprehensive overview of their applications in the areas of reliability, network, risk, mathematical programming, and optimization. Investigating the precise relationships among various importance measure