  In this paper we present a weak approximation scheme for BSDEs driven by a
Wiener process and an (in)finite activity Poisson random measure with drivers
that are general Lipschitz functionals of the solution of the BSDE. The
approximating backward stochastic difference equations (BS\Delta Es) are driven
by random walks that weakly approximate the given Wiener process and Poisson
random measure. We establish the weak convergence to the solution of the BSDE
and the numerical stability of the sequence of solutions of the BS\Delta Es. By
way of illustration we analyse explicitly a scheme with discrete step-size
distributions.
