New proofs of some results on BMO martingales using BSDEs

Abstract

Using properties of backward stochastic differential equations we give new proofs of some well known results on BMO martingales and improve some estimates of BMO norms.

arXiv comment15 pages

References in corpus (3)

• Utility maximization in incomplete markets
• BSDEs in Utility Maximization with BMO Market Price of Risk
• Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem

Cited by in corpus (1)

• On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples