NEWTON-KANTOROVITCH METHOD FOR DECOUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

Dai Taguchi; Takahiro Tsuchiya

NEWTON-KANTOROVITCH METHOD FOR DECOUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

Dai Taguchi, Takahiro Tsuchiya

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Article number	98
Journal	Electronic Journal of Differential Equations
Volume	2021
Publication status	Published - 2021

Keywords

Newton-type methods
rate of convergence
Stochastic differential equation

ASJC Scopus subject areas

Analysis

Cite this

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title = "NEWTON-KANTOROVITCH METHOD FOR DECOUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS",

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.",

keywords = "Newton-type methods, rate of convergence, Stochastic differential equation",

author = "Dai Taguchi and Takahiro Tsuchiya",

note = "Funding Information: Acknowledgements. We would like to express our sincere appreciation to Professor Toshio Yamada for insightful comments. This work was supported by JSPS KAKENHI Grant Numbers 16J00894 and 17H06833. Publisher Copyright: {\textcopyright} 2021, Texas State University - San Marcos. All rights reserved.",

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language = "English",

volume = "2021",

journal = "Electronic Journal of Differential Equations",

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AU - Taguchi, Dai

AU - Tsuchiya, Takahiro

N1 - Funding Information: Acknowledgements. We would like to express our sincere appreciation to Professor Toshio Yamada for insightful comments. This work was supported by JSPS KAKENHI Grant Numbers 16J00894 and 17H06833. Publisher Copyright: © 2021, Texas State University - San Marcos. All rights reserved.

PY - 2021

Y1 - 2021

N2 - 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.

AB - 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.

KW - Newton-type methods

KW - rate of convergence

KW - Stochastic differential equation

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SN - 1072-6691

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JO - Electronic Journal of Differential Equations

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NEWTON-KANTOROVITCH METHOD FOR DECOUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

Abstract

Keywords

ASJC Scopus subject areas

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