Remarks on a characterisation of BMO-martingales

DOI10.2748/tmj/1178229795zbMath0444.60036OpenAlexW1987495837MaRDI QIDQ1144840

S. H. Smith

Publication date: 1979

Published in: Tôhoku Mathematical Journal. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2748/tmj/1178229795

zbMATH Keywords

stopping timeslocal martingaleBMO-martingale

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (9)

UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH ⋮ Exponential Martingales and Changes of Measure for Counting Processes ⋮ Sharp weighted weak-norm estimates for maximal functions ⋮ BSDEs and log-utility maximization for Lévy processes ⋮ BMO-martingales and inequalities ⋮ Weighted norm inequality for operator on martingales ⋮ Unnamed Item ⋮ On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization ⋮ Numerical simulation of quadratic BSDEs

Cites Work

• On transforming the class of BMO-martingales by a change of law
• On the transformation of some classes of martingales by a change of law
• Weighted norm inequalities for martingales
• Unnamed Item
• Unnamed Item

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