A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs.

Marjon J. Ruijter Cornelis W. Oosterlee

Published in: SIAM J. Sci. Comput. (2015)

Keyphrases

similarity measure
dynamic programming
fourier series
image processing
pairwise
special case
cost function
wavelet transform
error rate
steady state
basis functions