英文标题：
《On the wavelets-based SWIFT method for backward stochastic differential
equations》
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作者：
Ki Wai Chau and Cornelis W. Oosterlee
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最新提交年份：
2016
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英文摘要：
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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中文摘要：
提出了一种基于时间离散和三角小波的倒向随机微分方程数值算法。该方法将基于傅立叶的方法的有效性与基于小波的公式的简单性相结合，产生了一种既精确又易于实现的算法。此外，我们通过抗反射边界技术缓解了计算边界附近的误差问题，给出了一种改进的近似。我们用不同的数值实验来测试我们的算法。
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分类信息：

一级分类：Mathematics 数学
二级分类：Numerical Analysis 数值分析
分类描述：Numerical algorithms for problems in analysis and algebra, scientific computation
分析和代数问题的数值算法，科学计算
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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