Before revision:  The expansion is performed  around the small-variance limit of the forward SDE and does not necessarily require a small size of the non-linearity in the BSDE's driver, which was actually the case for the linearization method proposed by the current authors in a Brownian setup before.
After revision:  The expansion is performed -finite compensators as well as the standard Brownian motions around the small-variance limit of the forward SDE and does not necessarily require a small size of the non-linearity in the BSDE's driver, which was actually the case for the linearization method proposed by the current authors in a Brownian setup before.