Donsker-type theorem for BSDEs

DOI10.1214/ECP.v6-1030zbMath0977.60067OpenAlexW2129289929MaRDI QIDQ5936795

Bernard Delyon, Jean Mémin, Philippe Briand

Publication date: 9 July 2001

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/121515

zbMATH Keywords

discretizationbackward stochastic differential equation (BSDE)stability of BSDEsweak convergence of filtrations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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