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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| Published in | Stochastic processes and their applications Vol. 127; no. 3; pp. 1042 - 1044 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Elsevier B.V
01.03.2017
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| Subjects | |
| Online Access | Get full text |
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| 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. |
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| AbstractList | 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. |
| Author | Labart, Céline Geiss, Christel |
| Author_xml | – sequence: 1 givenname: Christel surname: Geiss fullname: Geiss, Christel email: christel.geiss@jyu.fi organization: Department of Mathematics and Statistics, P.O.Box 35 (MaD), FI-40014 University of Jyväskylä, Finland – sequence: 2 givenname: Céline surname: Labart fullname: Labart, Céline email: celine.labart@univ-savoie.fr organization: LAMA - Université de Savoie, Campus Scientifique, 73376 Le Bourget du Lac, France |
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| References | Last, Penrose, Schulte, Thäle (br000010) 2014; 46 Peccati, Taqqu (br000015) 2011 Geiss, Labart (br000005) 2016; 126 Geiss (10.1016/j.spa.2016.12.004_br000005) 2016; 126 Last (10.1016/j.spa.2016.12.004_br000010) 2014; 46 Peccati (10.1016/j.spa.2016.12.004_br000015) 2011 |
| References_xml | – volume: 126 start-page: 2123 year: 2016 end-page: 2162 ident: br000005 article-title: Simulation of BSDEs with jumps by Wiener Chaos expansion publication-title: Stochastic Process. Appl. contributor: fullname: Labart – year: 2011 ident: br000015 article-title: Wiener Chaos: Moments, Cumulants and Diagrams contributor: fullname: Taqqu – volume: 46 start-page: 348 year: 2014 end-page: 364 ident: br000010 article-title: Moments and central limit theorems for some multivariate Poisson functionals publication-title: Adv. Appl. Probab. contributor: fullname: Thäle – volume: 126 start-page: 2123 year: 2016 ident: 10.1016/j.spa.2016.12.004_br000005 article-title: Simulation of BSDEs with jumps by Wiener Chaos expansion publication-title: Stochastic Process. Appl. doi: 10.1016/j.spa.2016.01.006 contributor: fullname: Geiss – year: 2011 ident: 10.1016/j.spa.2016.12.004_br000015 contributor: fullname: Peccati – volume: 46 start-page: 348 issue: 2 year: 2014 ident: 10.1016/j.spa.2016.12.004_br000010 article-title: Moments and central limit theorems for some multivariate Poisson functionals publication-title: Adv. Appl. Probab. doi: 10.1239/aap/1401369698 contributor: fullname: Last |
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| Snippet | We correct Proposition 2.9 from “Simulation of BSDEs with jumps by Wiener Chaos expansion” published in Stochastic Processes and their Applications, 126 (2016)... |
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| Title | Erratum to “Simulation of BSDEs with jumps by Wiener Chaos expansion” [Stochastic Process. Appl. 126 (2016) 2123–2162] |
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