A Convolution Method for Numerical Solution of Backward Stochastic Differential Equations Based on the Fractional FFT

A Convolution Method for Numerical Solution of Backward Stochastic Differential Equations Based on the Fractional FFT

BSDEs are applied in many areas, particularly in finance and economics. In this paper, we extended the convolution method to numerically solve FBSDEs. First, a generalized <i>θ</i>-scheme is applied to discretize the backwards component. Second, the convolution method is used to solve th...

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Bibliographic Details
Main Authors: Kexin Fu, Xiaoxiao Zeng, Xiaofei Li, Junjie Du
Format: Article
Language:English
Published: MDPI AG 2022-12-01
Series:Fractal and Fractional
Subjects:
convolution method
generalized <i>θ</i>-scheme
backward stochastic differential equations
the fractional FFT
Fourier transform
Online Access:https://www.mdpi.com/2504-3110/7/1/44

Internet

https://www.mdpi.com/2504-3110/7/1/44

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