Closedness results for BMO semi-martingales and application to quadratic BSDEs

DOI10.1016/j.crma.2008.06.010zbMath1149.60024OpenAlexW2007643734MaRDI QIDQ943646

Nicolas Cazanave, Pauline Barrieu, Nicole El Karoui

Publication date: 10 September 2008

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2008.06.010

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (6)

On measure solutions of backward stochastic differential equations ⋮ On the uniqueness result for the BSDE with deterministic coefficient ⋮ Optimal position targeting via decoupling fields ⋮ New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations ⋮ Equilibrium asset pricing with transaction costs ⋮ Stability results for martingale representations: The general case

Cites Work

• Adapted solution of a backward stochastic differential equation
• Weighted norm inequalities and hedging in incomplete markets
• Continuous exponential martingales and BMO
• Backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Utility maximization in incomplete markets
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