A1 Journal article (refereed)
Simulation of BSDEs with jumps by Wiener Chaos expansion (2016)


Geiss, C., & Labart, C. (2016). Simulation of BSDEs with jumps by Wiener Chaos expansion. Stochastic Processes and their Applications, 126(7), 2123-2162. https://doi.org/10.1016/j.spa.2016.01.006


JYU authors or editors


Publication details

All authors or editors: Geiss, Christel; Labart, Céline

Journal or series: Stochastic Processes and their Applications

ISSN: 0304-4149

eISSN: 1879-209X

Publication year: 2016

Volume: 126

Issue number: 7

Pages range: 2123-2162

Publisher: Elsevier BV

Place of Publication: Amsterdam

Publication country: Netherlands

Publication language: English

DOI: https://doi.org/10.1016/j.spa.2016.01.006

Publication open access: Not open

Publication channel open access: 

Additional information: Erratum to “Simulation of BSDEs with jumps by Wiener Chaos expansion” [Stochastic Process. Appl. 126 (2016) 2123–2162]. http://dx.doi.org/10.1016/j.spa.2016.12.004


Free keywords: backward stochastic differential equations with jumps; Wiener Chaos expansion; numerical method


Contributing organizations

Other organizations:


Ministry reporting: Yes

Reporting Year: 2016

JUFO rating: 2


Last updated on 2023-06-02 at 17:00