Korzeniowski, A.; Ventura, W. On Donsker type theorem for discretely reflected backward SDEs. (English) Zbl 1342.60089 Dyn. Contin. Discrete Impuls. Syst., Ser. A, Math. Anal. 23, No. 3, 195-208 (2016). Summary: We prove an analogue of Donsker’s theorem for backward stochastic differential equations subject to reflections by random barriers at finitely many points in \([0,T]\). The discretization gives rise to an algorithm that is shown to converge to the exact solution uniformly in probability. MSC: 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) 60F05 Central limit and other weak theorems 60F17 Functional limit theorems; invariance principles 60H05 Stochastic integrals 60H35 Computational methods for stochastic equations (aspects of stochastic analysis) 65C30 Numerical solutions to stochastic differential and integral equations Keywords:backward stochastic differential equations; discrete reflection; Donsker-type theorem; discretization; convergence of filtrations; Skorokhod topology PDFBibTeX XMLCite \textit{A. Korzeniowski} and \textit{W. Ventura}, Dyn. Contin. Discrete Impuls. Syst., Ser. A, Math. Anal. 23, No. 3, 195--208 (2016; Zbl 1342.60089) Full Text: Link Link