TY - JOUR
T1 - On the wavelet-based SWIFT method for backward stochastic differential equations
AU - Chau, K.W.
AU - Oosterlee, C.W.
PY - 2018/4
Y1 - 2018/4
N2 - We propose a numerical algorithm for backward stochastic differential equations based on time discretization and trigonometric wavelets. This method combines the effectiveness of Fourier-based methods and the simplicity of a wavelet-based formula, resulting in an algorithm that is both accurate and easy to implement. Furthermore, we mitigate the problem of errors near the computation boundaries by means of an antireflective boundary technique, giving an improved approximation. We test our algorithm with different numerical experiments.
AB - We propose a numerical algorithm for backward stochastic differential equations based on time discretization and trigonometric wavelets. This method combines the effectiveness of Fourier-based methods and the simplicity of a wavelet-based formula, resulting in an algorithm that is both accurate and easy to implement. Furthermore, we mitigate the problem of errors near the computation boundaries by means of an antireflective boundary technique, giving an improved approximation. We test our algorithm with different numerical experiments.
UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-85057241646&partnerID=MN8TOARS
U2 - 10.1093/imanum/drx022
DO - 10.1093/imanum/drx022
M3 - Article
SN - 0272-4979
VL - 38
SP - 1051
EP - 1083
JO - IMA Journal of Numerical Analysis
JF - IMA Journal of Numerical Analysis
IS - 2
ER -