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RESEARCH PRODUCT

Erratum to “Simulation of BSDEs with jumps by Wiener Chaos expansion” [Stochastic Process. Appl. 126 (2016) 2123–2162]

Christel GeissCéline Labart

subject

Statistics and ProbabilityPolynomial chaosStochastic processApplied MathematicsMultiple integral010102 general mathematicsMathematical analysisMotion (geometry)Poisson processExpression (computer science)01 natural sciences010104 statistics & probabilitysymbols.namesakeMathematics::ProbabilityReflected Brownian motionModeling and SimulationsymbolsApplied mathematics0101 mathematicsMathematics

description

Abstract We correct Proposition 2.9 from “Simulation of BSDEs with jumps by Wiener Chaos expansion” published in Stochastic Processes and their Applications, 126 (2016) 2123–2162. The proposition which provides an expression for the expectation of products of multiple integrals (w.r.t. Brownian motion and compensated Poisson process) requires a stronger integrability assumption on the kernels than previously stated. This does not affect the remaining results of the article.

https://doi.org/10.1016/j.spa.2016.12.004