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On Donsker type theorem for discretely reflected backward SDEs. (English) Zbl 1342.60089

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
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