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

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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.

Original languageEnglish
Pages (from-to)1051-1083
Number of pages33
JournalIMA Journal of Numerical Analysis
Volume38
Issue number2
DOIs
Publication statusPublished - 2018

Keywords

  • antireflective boundary
  • backward stochastic differential equations
  • Fourier transform
  • Shannon wavelets

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