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Donsker-type theorem for BSDEs. (English) Zbl 0977.60067

Summary: 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.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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