New proofs of some results on BMO martingales using BSDEs
Besik Chikvinidze, Michael Mania
TL;DR
This paper introduces new proofs for established results on BMO martingales by leveraging properties of backward stochastic differential equations, leading to improved estimates of BMO norms.
Contribution
It provides novel proofs of classical BMO martingale results using BSDE techniques and enhances the bounds on BMO norms.
Findings
New proofs of classical BMO martingale results
Improved estimates of BMO norms
Application of BSDE properties to martingale theory
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.
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Taxonomy
TopicsStochastic processes and financial applications · Insurance, Mortality, Demography, Risk Management · Financial Risk and Volatility Modeling