Improved Boundary Error Control for BSDEs using Convolution-FFT
Analysis
Key Takeaways
- •Proposes improvements to the Convolution-FFT (CFFT) method for solving Backward Stochastic Differential Equations (BSDEs).
- •Focuses on reducing boundary errors, a common issue in numerical solutions.
- •Modifies damping and shifting schemes within the CFFT framework.
- •Demonstrates improved accuracy and convergence through numerical results and error analysis.
“The paper focuses on modifying the damping and shifting schemes used in the original CFFT formulation to reduce boundary errors and improve accuracy and convergence.”