Approximations for adapted M-solutions of type-II backward stochastic Volterra integral equations

DOI10.1051/ps/2022017zbMath1517.60078arXiv2102.08536OpenAlexW4309332109MaRDI QIDQ6175909

Yushi Hamaguchi, Dai Taguchi

Publication date: 21 August 2023

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.08536

zbMATH Keywords

Euler-Maruyama schemebackward stochastic Volterra integral equationsadapted M-solutions\(L^2\)-time regularityBSDE approximations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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Numerical methods for backward stochastic differential equations: a survey

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