12 citations · 24 across the 3 of their papers we have counts for
3 papers
math.NA2019
Exploration of a Cosine Expansion Lattice Scheme
Ki Wai Chau, Cornelis W. Oosterlee
In this article, we combine a lattice sequence from Quasi-Monte Carlo rules with the philosophy of the Fourier-cosine method to design an approximation scheme for expectation compu…
math.NA2018★ 12 cited
Stochastic grid bundling method for backward stochastic differential equations
Ki Wai Chau, Cornelis W. Oosterlee
In this work, we apply the Stochastic Grid Bundling Method (SGBM) to numerically solve backward stochastic differential equations (BSDEs). The SGBM algorithm is based on conditiona…
math.NA2016★ 12 cited
On the wavelets-based SWIFT method for backward stochastic differential equations
Ki Wai Chau, Cornelis W. Oosterlee
We propose a numerical algorithm for backward stochastic differential equations based on time discretization and trigonometric wavelets. This method combines the effectiveness of F…