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

DOI10.1016/J.SPA.2016.12.004MaRDI QIDQ511142zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(2)

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

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