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.
|Electronic Journal of Differential Equations
|Published - 2021
- Newton-type methods
- rate of convergence
- Stochastic differential equation
ASJC Scopus subject areas