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We design a numerical scheme for solving a Dynamic Programming equation with Malliavin weights arising from the time-discretization of backward stochastic differential equations with the integration by parts-representation of the Z-component by (Ann. Appl. Probab. 12 (2002) 1390-1418). When the sequence of conditional expectations is computed using empirical least-squares regressions, we establish, under general conditions, tight error bounds as the time-average of local regression errors onlydoi:10.3150/14-bej667 fatcat:nfaxj5fjd5ebbe2vtue44wgnea