Barrieu, Pauline, Cazanave, Nicolas and El Karoui, Nicole (2008) Closedness results for BMO semi-martingales and application to quadratic BSDE's. Comptes Rendus de L'academie des Sciences, 346 (15-16). pp. 881-886. ISSN 1631-073X
Abstract
We give a closedness result for a convex set of BMO semi-martingales, that contains solutions to quadratic BSDEs. We deduce convergence and monotone stability results for quadratic BSDEs.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.sciencedirect.com/science/journal/16310... |
| Additional Information: | © 2008 Académie des sciences |
| Library of Congress subject classification: | H Social Sciences > HA Statistics |
| Sets: | Departments > Statistics |
| Date Deposited: | 26 Nov 2009 16:32 |
| URL: | http://eprints.lse.ac.uk/25981/ |
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