Closedness results for BMO semi-martingales and application to quadratic BSDE's

Barrieu, Pauline ORCID: 0000-0001-9473-263X, Cazanave, Nicolas and El Karoui, Nicole (2008) Closedness results for BMO semi-martingales and application to quadratic BSDE's. Comptes Rendus Mathématique, 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:	11 Dec 2024 23:20
URI:	http://eprints.lse.ac.uk/id/eprint/25981

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