On the wavelet-based SWIFT method for backward stochastic differential equations. (9th July 2017)

• Record Type: Journal Article
• Authors: Chau, Ki Wai; Oosterlee, Cornelis W
• Is Part Of: IMA journal of numerical analysis. Volume 38:Number 2(2018)
• Page Start: 1051
• Page End: 1083
• Publication Date: 2017-07-09
• Subjects: backward stochastic differential equations -- Shannon wavelets -- Fourier transform -- antireflective boundary; Numerical analysis -- Periodicals; 519.405
• DOI: 10.1093/imanum/drx022
• Languages: English
• ISSNs: 0272-4979

Abstract

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.