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

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.

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Bibliographic Details
Published inJournal of theoretical probability Vol. 27; no. 4; pp. 1213 - 1228
Main Authors Chikvinidze, B., Mania, M.
Format Journal Article
LanguageEnglish
Published Boston Springer US 01.12.2014
Subjects
Mathematics
Mathematics and Statistics
Probability Theory and Stochastic Processes
Statistics
60G44
Backward stochastic differential equation
BMO martingales
Girsanov’s transformation
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Summary: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.
ISSN:0894-9840
1572-9230
DOI:10.1007/s10959-013-0524-x