Titlebook: Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications; BSDEs with Jumps Łukasz Delong Textbo

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Stochastic Calculusdom measures and we recall their properties. We discuss the weak property of predictable representation for local martingales. Equivalent probability measures are defined, and Girsanov’s theorem for Brownian motion and random measures is stated. We give differentiation rules of the Malliavin calculus.

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障碍物

Utility Maximization and Indifference Pricing and Hedgingfunction of the optimization problem and the optimal investment strategy by a nonlinear BSDE. Next, we solve the exponential indifference pricing and hedging problem. We show that the indifference price and the indifference hedging strategy solve a nonlinear BSDE.

Injunction

Delude

Sylvia Topouzkhanian,Palakiyém Abaloonte Carlo simulations. In the case of a FBSDE driven by a Brownian motion and a compensated Poisson process we replace the original driving noises by discrete-space martingales. We also use the connection with partial integro-differential equations and we present an explicit-implicit finite difference method for solving a PIDE.

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IRK

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