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Donsker-Type Theorem for BSDEs


 
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1. Title Title of document Donsker-Type Theorem for BSDEs
 
2. Creator Author's name, affiliation, country Philippe Briand; Université Rennes 1
 
2. Creator Author's name, affiliation, country Bernard Delyon; Université Rennes 1
 
2. Creator Author's name, affiliation, country Jean Mémin; Université Rennes 1
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Backward stochastic differential equation (BSDE), stabilityof BSDEs, weak convergence of filtrations, discretization.
 
3. Subject Subject classification 60H10, 60Fxx
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2001-01-10
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1030
 
10. Identifier Digital Object Identifier 10.1214/ECP.v6-1030
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 6
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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