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

DOI10.1093/IMANUM/DRX022MaRDI QIDQ4555963zbMATH OpenOpenAlexFDO

Authors K. W. Chau, Cornelis W. Oosterlee

Publication date 23 November 2018

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.06098

zbMATH Keywords

antireflective boundarybackward stochastic differential equationsFourier transformShannon wavelets

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for wavelets (65T60)

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.

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