New proofs of some results on BMO martingales using BSDEs

2012/05/06 by Besik Chikvinidze, Chikvinidze, Besik, Michael Mania +1
Economics, Econometrics and Finance · Mathematics · Social Sciences · #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.1205.1249

15 pages

arxiv created 2012/05/06 · openalex publication_date 2012/05/06 · arxiv updated 2012/05/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Using properties of backward stochastic differential equations we give new proofs of some well known results on BMO martingales and improve some estimates of BMO norms.

Citations

• Utility maximization in incomplete markets

Related

• Harmonic Analysis of Stochastic Equations and Backward Stochastic Differential Equations
• Martingale Decomposition and BSDE on Time Scales
• Comparison theorems for mean-field BSDEs whose generators depend on the law of the solution (Y,Z)
• Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators
• BDG inequality for G-martingale