Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/u/u2/b/ii/solution

Let , with , . Taylor expansion gives
Division in the Newton update yields
Thus convergence is generically quadratic when that coefficient is nonzero. With a locally Lipschitz second derivative and nonzero , the weaker estimate also proves local quadratic convergence.
“Quadratic at best” is false as a universal upper bound. If the displayed coefficient vanishes, the order can be higher. For example has a minimum at zero, and its Newton optimization update is , which has cubic convergence. For a nondegenerate quadratic objective the method reaches the stationary point in one step. The expansion proves the standard generic quadratic statement while retaining and correcting the source's stronger wording explicitly.

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