An exponential martingale equation

DOI10.1214/ECP.V11-1220MaRDI QIDQ850341zbMATH OpenFDO

Authors R. Tevzadze, M. Mania

Publication date 3 November 2006

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/127423

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integral equations (60H20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamic programming (90C39)

Cited in

(3)

• Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
• New proofs of some results on bounded mean oscillation martingales using backward stochastic differential equations
• Adomian's decomposition method applied to an exponential equation

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