Simulation of BSDEs with jumps by Wiener Chaos expansion

Published 2016 View Full Article

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Title
Simulation of BSDEs with jumps by Wiener Chaos expansion
Authors
Keywords
Backward stochastic differential equations with jumps, Wiener Chaos expansion, Numerical method
Journal
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Volume 126, Issue 7, Pages 2123-2162
Publisher
Elsevier BV
Online
2016-02-02
DOI
10.1016/j.spa.2016.01.006

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