Donsker-Type Theorem for BSDEs: Rate of Convergence

Abstract

In this paper, we study in the Markovian case the rate of convergence in the Wasserstein distance of an approximation of the solution to a BSDE given by a BSDE which is driven by a scaled random walk as introduced in Briand, Delyon and M{é}min (Electron. Comm. Probab. 6(2001),1-14).