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.
|Journal||Electronic Journal of Differential Equations|
|Publication status||Published - 2021|
- Newton-type methods
- rate of convergence
- Stochastic differential equation
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