Taguchi, DaiTsuchiya, Takahiro2022-11-042022-11-042021-12-20Taguchi, D., & Tsuchiya, T. (2021). Newton-Kantorovitch method for decoupled forward-backward stochastic differential equations. <i>Electronic Journal of Differential Equations, 2021</i>(98), pp. 1-16.1072-6691https://hdl.handle.net/10877/16280We 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.Text16 pages1 file (.pdf)enAttribution 4.0 InternationalStochastic differential equationNewton-type methodsRate of convergenceArticle