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 Lévy processes. It discusses key results and techniques (including numerical algorithms) fo...