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Donsker-Type Theorem for BSDEs
Briand, Philippe; Université Rennes 1 - Delyon, Bernard; Université Rennes 1 - Mémin, Jean; Université Rennes 1
| Formato: |
Peer-reviewed Article, |
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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…
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| Fecha: |
2001-01-01 |
| Recurso: |
Electronic communications in probability |
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