Newton-Kantorovitch method for decoupled forward-backward stochastic differential equations

Simple item page
dc.contributor.authorTaguchi, Dai
dc.contributor.authorTsuchiya, Takahiro
dc.date.accessioned2022-11-04T14:24:16Z
dc.date.available2022-11-04T14:24:16Z
dc.date.issued2021-12-20
dc.description.abstractWe 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.
dc.description.departmentMathematics
dc.formatText
dc.format.extent16 pages
dc.format.medium1 file (.pdf)
dc.identifier.citationTaguchi, 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.
dc.identifier.issn1072-6691
dc.identifier.urihttps://hdl.handle.net/10877/16280
dc.language.isoen
dc.publisherTexas State University, Department of Mathematics
dc.rightsAttribution 4.0 International
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.sourceElectronic Journal of Differential Equations, 2021, San Marcos, Texas: Texas State University and University of North Texas.
dc.subjectStochastic differential equation
dc.subjectNewton-type methods
dc.subjectRate of convergence
dc.titleNewton-Kantorovitch method for decoupled forward-backward stochastic differential equations
dc.typeArticle

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
taguchi.pdf
Size:
340.15 KB
Format:
Adobe Portable Document Format
Description:
Download

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
2.54 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Electronic Journal of Differential Equations