On the speed of convergence of Picard iterations of backward stochastic differential equations

Martin Hutzenthaler; Thomas Kruse; Tuan Anh Nguyen

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arXiv · 2107.01840

On the speed of convergence of Picard iterations of backward stochastic differential equations

Martin Hutzenthaler·Thomas Kruse·Tuan Anh Nguyen

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Abstract

It is a well-established fact in the scientific literature that Picard iterations of backward stochastic differential equations with globally Lipschitz continuous nonlinearity converge at least exponentially fast to the solution. In this paper we prove that this convergence is in fact at least square-root factorially fast. We show for one example that no higher convergence speed is possible in general. Moreover, if the nonlinearity is $z$-independent, then the convergence is even factorially fast. Thus we reveal a phase transition in the speed of convergence of Picard iterations of backward stochastic differential equations.

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Martin Hutzenthaler, Thomas Kruse, Tuan Anh Nguyen. 2021-07-05. On the speed of convergence of Picard iterations of backward stochastic differential equations. https://arxiv.org/abs/2107.01840

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