NEWTON-KANTOROVITCH METHOD FOR DECOUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

Dai Taguchi, Takahiro Tsuchiya

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

We formulate a Newton-Kantorovitch method for solving decoupled forward-backward stochastic differential equations involving smooth and degenerate coefficients with uniformly bounded derivatives. We show that it converges globally and its rate of convergence is exponential.

Original languageEnglish
Article number98
JournalElectronic Journal of Differential Equations
Volume2021
Publication statusPublished - 2021

Keywords

  • Newton-type methods
  • rate of convergence
  • Stochastic differential equation

ASJC Scopus subject areas

  • Analysis

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