Donsker-Type Theorem for BSDEs
Open Access
- 1 January 2001
- journal article
- Published by Institute of Mathematical Statistics in Electronic Communications in Probability
- Vol. 6 (none) , 1-14
- https://doi.org/10.1214/ecp.v6-1030
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.Keywords
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