We propose a numerical algorithm for backward stochastic differentialequations based on time discretization and trigonometric wavelets. This methodcombines the effectiveness of Fourier-based methods and the simplicity of awavelet-based formula, resulting in an algorithm that is both accurate and easyto implement. Furthermore, we mitigate the problem of errors near thecomputation boundaries by means of an antireflective boundary technique, givingan improved approximation. We test our algorithm with different numericalexperiments.
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