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

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. differential equation, Picard iteration, a priori estimate, semilinear parabolic partial differential equation