Electronic Communications in Probability · 2001 · 112 citations · 6 references
EngineeringMathematicsProbability TheoryStochastic ModelingStochastic ProcessesContinuous-time Stochastic ProcessesStochastic CalculusStochastic ControlStochastic Differential EquationsTime IntegrationBackward Stochastic Differential EquationsDonsker's TheoremItô's LemmaNumerical Methods For Stochastic Differential Equations
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.
6
Backward Stochastic Differential Equations in Finance
Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.4K citations
Engineering, Economics, Finance +10