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

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 co...

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Bibliographic Details
Published inStochastic processes and their applications Vol. 127; no. 3; pp. 1042 - 1044
Main Authors Geiss, Christel, Labart, Céline
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.03.2017
Subjects
Wiener Chaos expansion
Wiener Chaos expansion
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Summary: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.
Bibliography:erratum
ISSN:0304-4149
1879-209X
DOI:10.1016/j.spa.2016.12.004