New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations
From MaRDI portal
Publication:482796
DOI10.1007/s10959-013-0524-xzbMath1321.60084OpenAlexW2044260802MaRDI QIDQ482796
Publication date: 6 January 2015
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10959-013-0524-x
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)
Related Items (4)
On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality ⋮ A type of globally solvable BSDEs with triangularly quadratic generators ⋮ A stability approach for solving multidimensional quadratic BSDEs
Cites Work
- BSDEs in utility maximization with BMO market price of risk
- 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- An exponential martingale equation
- Closedness results for BMO semi-martingales and application to quadratic BSDEs
- On transforming the class of BMO-martingales by a change of law
- Weighted norm inequalities and hedging in incomplete markets
- Continuous exponential martingales and BMO
- A semimartingale BSDE related to the minimal entropy martingale measure
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- BSDE with quadratic growth and unbounded terminal value
- Classical and variational differentiability of BSDEs with quadratic growth
- Solvability of backward stochastic differential equations with quadratic growth
- Utility maximization in incomplete markets
- Dynamic exponential utility indifference valuation
- Backward stochastic differential equations with a convex generator
- Minimization of Risk and Linear Quadratic Optimal Control Theory
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations
