A Numerical Scheme for BSVIEs

2016/05/16 by Yanqing Wang, Wang, Yanqing · 1 citation
Economics, Econometrics and Finance · #FOS: Mathematics #Financial Risk and Volatility Modeling #Housing Market and Economics #Numerical Analysis (math.NA) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1605.04865

openalex publication_date 2016/05/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we consider the Euler method for backward stochastic Volterra integral equations. First, we approximate the original equation by a family of backward stochastic equations (BSDEs, for short). Then we solve the BSDEs by the Euler method. Finally, by virtue of the numerical solutions to BSDEs, we get the numerical solution to original equation and obtain the global 1/2 order convergence speed in L² norm.

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• A deep solver for backward stochastic Volterra integral equations

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