Newton-Kantorovitch method for decoupled forward-backward stochastic differential equations
Date
2021-12-20
Authors
Taguchi, Dai
Tsuchiya, Takahiro
Journal Title
Journal ISSN
Volume Title
Publisher
Texas State University, Department of Mathematics
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.
Description
Keywords
Stochastic differential equation, Newton-type methods, Rate of convergence
Citation
Taguchi, D., & Tsuchiya, T. (2021). Newton-Kantorovitch method for decoupled forward-backward stochastic differential equations. <i>Electronic Journal of Differential Equations, 2021</i>(98), pp. 1-16.
Rights
Attribution 4.0 International