Abstract
This paper is devoted to the proof of Donsker’s theorem for backward stochastic differential equations (BSDEs for short). The main objective is to give a simple method to discretize in time a BSDE. Our approach is based upon the notion of “convergence of filtrations” and covers the case of a (y; z)(dependent generator. © 2001 Rocky Mountain Mathematics Consortium.
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CITATION STYLE
APA
Briand, P., Delyon, B., & Mémin, J. (2001). Donsker-type theorem for bsdes. Electronic Communications in Probability, 6, 1–14. https://doi.org/10.1214/ECP.v6-1030
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