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

DOI10.1093/IMANUM/DRX022zbMath1477.65019arXiv1611.06098OpenAlexW2556772359MaRDI QIDQ4555963

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

Fourier transformbackward stochastic differential equationsShannon waveletsantireflective boundary

Mathematics Subject Classification ID

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

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