Discretization of backward stochastic Volterra integral equations

DOI10.1142/9789814436434_0005zbMath1310.91143OpenAlexW4246136706MaRDI QIDQ2849675

Stanislav Pokalyuk, Christian Bender

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/00c252dcb19710cad1e9a3fdc4f405f04acbad7d

zbMATH Keywords

numerical methodnumerical approximationsconvergence theoremspeed of convergencebackward stochastic Volterra integral equationsadapted M-solutionquasilinear partial differential equations of parabolic type

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Financial applications of other theories (91G80) Numerical solutions to stochastic differential and integral equations (65C30) Volterra integral equations (45D05) Stochastic integral equations (60H20) Quasilinear parabolic equations (35K59)

Related Items (6)

Backward doubly stochastic Volterra integral equations and their applications ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations ⋮ Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations ⋮ Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula ⋮ Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations

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