Closedness results for BMO semi-martingales and application to quadratic BSDEs (Q943646): Difference between revisions

The authors apply closedness results for convex sets of martingales with bounded mean oscillation to quadratic backward stochastic differential equations.

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reviewed by

Gheorghe Stoica

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.crma.2008.06.010

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cites work

Weighted norm inequalities and hedging in incomplete markets

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Q4263612

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Q4192746

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Utility maximization in incomplete markets

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Continuous exponential martingales and BMO

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Backward stochastic differential equations and partial differential equations with quadratic growth.

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Backward stochastic differential equations with continuous coefficient

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Adapted solution of a backward stochastic differential equation

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Q4172714

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Identifiers

zbMATH Open document ID

1149.60024

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DOI

10.1016/j.crma.2008.06.010

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:943646

@@ Property / cites work @@
+Weighted norm inequalities and hedging in incomplete markets
+Normal rank
@@ Property / cites work @@
+Q4263612
@@ Property / cites work: Q4263612 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4192746
@@ Property / cites work: Q4192746 / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with continuous coefficient
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4172714
@@ Property / cites work: Q4172714 / rank @@
+Normal rank