On the wavelet-based SWIFT method for backward stochastic differential equations
Ki Wai Chau (Centrum Wiskunde & Informatica (CWI))
Cornelis W. Oosterlee (TU Delft - Electrical Engineering, Mathematics and Computer Science, Centrum Wiskunde & Informatica (CWI))
More Info
expand_more
Other than for strictly personal use, it is not permitted to download, forward or distribute the text or part of it, without the consent of the author(s) and/or copyright holder(s), unless the work is under an open content license such as Creative Commons.
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.