| Título: | Donsker-Type Theorem for BSDEs |
| Autores: |
Briand, Philippe; Université Rennes 1 Delyon, Bernard; Université Rennes 1 Mémin, Jean; Université Rennes 1 |
| Fecha: | 2001-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Backward stochastic differential equation (BSDE), stabilityof BSDEs, weak convergence of filtrations, discretization. 60H10, 60Fxx |
| Descripción: | 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. |
| Idioma: | No aplica |
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