Donsker-type theorem for BSDEs: Rate of convergence
نویسندگان
چکیده
منابع مشابه
Donsker-type Theorem for Bsdes
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.
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2021
ISSN: 1350-7265
DOI: 10.3150/20-bej1259