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New Proofs of Some Results on Bounded Mean Oscillation Martingales Using Backward Stochastic Differential Equations

Author

Listed:
  • B. Chikvinidze

    (Tbilisi State University
    Institute of Cybernetics of Georgian Technical University)

  • M. Mania

    (A. Razmadze Mathematical Institute of Tbilisi State University
    Georgian American University)

Abstract

Using properties of backward stochastic differential equations, we give new proofs of some well-known results on bounded mean oscillation (BMO) martingales and improve some estimates of BMO norms.

Suggested Citation

  • B. Chikvinidze & M. Mania, 2014. "New Proofs of Some Results on Bounded Mean Oscillation Martingales Using Backward Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 27(4), pages 1213-1228, December.
    • Handle: RePEc:spr:jotpro:v:27:y:2014:i:4:d:10.1007_s10959-013-0524-x
    DOI: 10.1007/s10959-013-0524-x
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    References listed on IDEAS

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    1. Marie-Amélie Morlais, 2009. "Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem," Finance and Stochastics, Springer, vol. 13(1), pages 121-150, January.
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    3. Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer, 1997. "Weighted norm inequalities and hedging in incomplete markets," Finance and Stochastics, Springer, vol. 1(3), pages 181-227.
    4. Tevzadze, Revaz, 2008. "Solvability of backward stochastic differential equations with quadratic growth," Stochastic Processes and their Applications, Elsevier, vol. 118(3), pages 503-515, March.
    5. Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489, arXiv.org.
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