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Donsker-Type Theorem for BSDEs

   
@article{ECP1030,
	author = {Philippe Briand and Bernard Delyon and Jean Mémin},
	title = {Donsker-Type Theorem for BSDEs},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {6},
	year = {2001},
	keywords = {Backward stochastic differential equation (BSDE), stabilityof BSDEs, weak convergence of filtrations, discretization.},
	abstract = {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.},
	pages = {no. 1, 1-14},
	issn = {1083-589X},
	doi = {10.1214/ECP.v6-1030},    
        url = {http://ecp.ejpecp.org/article/view/1030}}