Closedness results for BMO semi-martingales and application to quadratic BSDEs-Reference-Cited by-同舟云学术

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Closedness results for BMO semi-martingales and application to quadratic BSDEs

Published:2008-08 Issue:15-16 Volume:346 Page:881-886
ISSN:1631-073X
Container-title:Comptes Rendus Mathematique
language:en
Short-container-title:Comptes Rendus Mathematique

Author:

Barrieu Pauline,Cazanave Nicolas,El Karoui Nicole

Publisher

Elsevier BV

Subject

General Mathematics

Reference9 articles.

1. Weighted norm inequalities and hedging in incomplete market;Delbaen;Finance and Stochastics,1997

2. A compactness principle for bounded sequences of martingales with applications;Delbaen,1999

3. Inégalités de normes avec poids;Doléans-Dade;Séminaire de probabilités (Strasbourg),1979

4. Utility maximization in incomplete markets;Hu;Annals of Applied Probability,2005

5. Continuous Exponential Martingales and BMO;Kazamaki,1994

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1. On the uniqueness result for the BSDE with deterministic coefficient;Probability, Uncertainty and Quantitative Risk;2023

2. Equilibrium asset pricing with transaction costs;Finance and Stochastics;2021-03-03

3. Optimal position targeting via decoupling fields;The Annals of Applied Probability;2020-04-01

4. Stability results for martingale representations: The general case;Transactions of the American Mathematical Society;2019-07-30

5. Equilibrium Asset Pricing with Transaction Costs;SSRN Electronic Journal;2019

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