Erratum to: ``Simulation of BSDEs with jumps by Wiener chaos expansion.

DOI10.1016/J.SPA.2016.12.004zbMATH Open1416.60071OpenAlexW2564778142MaRDI QIDQ511142FDOQ511142

Authors: Christel Geiss, Céline Labart 

Publication date: 14 February 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2016.12.004

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zbMATH Keywords

Wiener chaos expansion

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation
• Moments and central limit theorems for some multivariate Poisson functionals
• Simulation of BSDEs with jumps by Wiener chaos expansion

Cited In (2)

• Product and moment formulas for iterated stochastic integrals (associated with Lévy processes)
• Simulation of BSDEs with jumps by Wiener chaos expansion

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