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

B. Chikvinidze () and M. Mania ()
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B. Chikvinidze: Tbilisi State University
M. Mania: A. Razmadze Mathematical Institute of Tbilisi State University

Journal of Theoretical Probability, 2014, vol. 27, issue 4, 1213-1228

Abstract: 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.

Keywords: BMO martingales; Girsanov’s transformation; Backward stochastic differential equation; 60G44 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10959-013-0524-x

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