×

zbMATH — the first resource for mathematics

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.
Reviewer: Reviewer (Berlin)

MSC:
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
PDF BibTeX XML Cite
Full Text: DOI EMIS EuDML