Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A Fourier interpolation method for numerical solution of FBSDEs: Global
  convergence, stability, and higher order discretizations   The implementation of the convolution method for the numerical solution of
backward stochastic differential equations (BSDEs) introduced in [19] uses a
uniform space grid. Locally, this approach produces a truncation error, a space
discretization error, and an additional extrapolation error. Even if the
extrapolation error is convergent in time, the resulting absolute error may be
high at the boundaries of the uniform space grid. In order to solve this
problem, we propose a tree-like grid for the space discretization which
suppresses the extrapolation error leading to a globally convergent numerical
solution for the (F)BSDE. On this alternative grid the conditional expectations
involved in the BSDE time discretization are computed using Fourier analysis
and the fast Fourier transform (FFT) algorithm as in the initial
implementation. The method is then extended to higher-order time
discretizations of FBSDEs. Numerical results demonstrating convergence are also
presented.

9
The categories of this paper are: nlin
4
The categories of this paper are: cond-mat
26
The categories of this paper are: bayes-an
25
The categories of this paper are: patt-sol
12
The categories of this paper are: nucl-th
20
The categories of this paper are: acc-phys
34
The categories of this paper are: chem-ph
21
The categories of this paper are: adap-org
30
The categories of this paper are: q-alg
8
The categories of this paper are: hep-ex
1
The categories of this paper are: cs
13
The categories of this paper are: quant-ph
15
The categories of this paper are: nucl-ex
32
The categories of this paper are: atom-ph
11
The categories of this paper are: hep-lat
33
The categories of this paper are: plasm-ph