On the wavelet-based SWIFT method for backward stochastic differential equations

Title

On the wavelet-based SWIFT method for backward stochastic differential equations

 Author

Chau, K.W. (Centrum Wiskunde & Informatica (CWI)) ORCID 0000-0002-6198-1178
Oosterlee, C.W. (TU Delft Numerical Analysis; Centrum Wiskunde & Informatica (CWI)) ORCID 0000-0002-7322-4094

 Date

2018

 Abstract

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.


 Subject

antireflective boundary
backward stochastic differential equations
Fourier transform
Shannon wavelets

 To reference this document use:

http://resolver.tudelft.nl/uuid:5df1cf92-2643-43a5-94cc-d0dcc8c5ed3e

 DOI

https://doi.org/10.1093/imanum/drx022

 Embargo date

2019-07-01

 ISSN

0272-4979

 Source

SIAM Journal on Numerical Analysis, 38 (2), 1051-1083

 Part of collection

Institutional Repository

 Document type

journal article

 Rights

© 2018 K.W. Chau, C.W. Oosterlee
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