Given p∈(1,2), we study Lp - solutions of a reflected backward stochastic differential equation with jumps (RBSDEJ) whose generator g is Lipschitz continuous in (y,z,u). We show that such a RBSDEJ with p - integrable parameters admits a unique Lp solution using a fixed-point argument as well...

Given p ∈ (1, 2), we study L^p solutions of a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) whose generator may not be Lipschitz continuous in (y, z, u). We show that such a BSDEJ with a p−integrable terminal data admits a unique L^p solution by approximating...

This book provides a comprehensive, up-to-date treatment of the application of Fourier analyses to pricing standard and exotic options, and discusses three different factors: stochastic volatility, stochastic interest rate and random jump. The modeling of volatility and interest rate falls into...