An Optimization-Based Framework for Solving Forward-Backward Stochastic Differential Equations: Convergence Analysis and Error Bounds
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866915401515925504 |
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| author | Wang, Yutian Ni, Yuan-Hua Li, Xun |
| author_facet | Wang, Yutian Ni, Yuan-Hua Li, Xun |
| contents | In this paper, we develop an optimization-based framework for solving coupled forward-backward stochastic differential equations. We introduce an integral-form objective function and prove its equivalence to the error between consecutive Picard iterates. Our convergence analysis establishes that minimizing this objective generates sequences that converge to the true solution. We provide explicit upper and lower bounds that relate the objective value to the error between trial and exact solutions. We validate our approach using two analytical test cases and demonstrate its effectiveness by achieving numerical convergence in a nonlinear stochastic optimal control problem with up to 1000 dimensions. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2507_15234 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | An Optimization-Based Framework for Solving Forward-Backward Stochastic Differential Equations: Convergence Analysis and Error Bounds Wang, Yutian Ni, Yuan-Hua Li, Xun Optimization and Control In this paper, we develop an optimization-based framework for solving coupled forward-backward stochastic differential equations. We introduce an integral-form objective function and prove its equivalence to the error between consecutive Picard iterates. Our convergence analysis establishes that minimizing this objective generates sequences that converge to the true solution. We provide explicit upper and lower bounds that relate the objective value to the error between trial and exact solutions. We validate our approach using two analytical test cases and demonstrate its effectiveness by achieving numerical convergence in a nonlinear stochastic optimal control problem with up to 1000 dimensions. |
| title | An Optimization-Based Framework for Solving Forward-Backward Stochastic Differential Equations: Convergence Analysis and Error Bounds |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2507.15234 |