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.
Citation
Philippe Briand. Bernard Delyon. Jean Mémin. "Donsker-Type Theorem for BSDEs." Electron. Commun. Probab. 6 1 - 14, 2001. https://doi.org/10.1214/ECP.v6-1030
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