We propose a method for numerical approximation of backward stochastic differential equations. Our method allows the final condition of the equation to be quite general and simple to implement. It relies on an approximation of Brownian motion by simple random walk.
"Numberical Method for Backward Stochastic Differential Equations." Ann. Appl. Probab. 12 (1) 302 - 316, February 2002. https://doi.org/10.1214/aoap/1015961165