Dai Taguchi, Takahiro Tsuchiya
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.
Submitted January 19, 2021. Published December 20, 2021.
Math Subject Classifications: 49M15, 65C30, 41A25, 60H35, 41A25, 60H10.
Key Words: Stochastic differential equation; Newton-type methods; rate of convergence.
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| Dai Taguchi |
Research Institute for Interdisciplinary Science
Okayama University 3-1-1 Tsushima-naka
Kita-ku Okayama 700-8530, Japan
| Takahiro Tsuchiya |
School of Computer Science and Engineering
The University of Aizu, Japan
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