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

[摘要] 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.

[学科分类] 数学（综合）

[关键词] Stochastic differential equation;Newton-type methods;rate of convergence.