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
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Identification Number: 10.1016/j.crma.2008.06.010
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 |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 26 Nov 2009 16:32 |
| Last Modified: | 05 Jan 2024 00:45 |
| URI: | http://eprints.lse.ac.uk/id/eprint/25981 |
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