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Comptes Rendus Mathématique
Volume 346, n° 15-16
pages 881-886 (août 2008)
Doi : 10.1016/j.crma.2008.06.010
Received : 24 September 2007 ;  accepted : 27 June 2008
Closedness results for BMO semi-martingales and application to quadratic BSDEs
Un résultat de fermeture pour des semi-martingales BMO et une application aux EDSRs à croissance quadratique
 

Pauline Barrieu a , Nicolas Cazanave b , Nicole El Karoui b
a London School of Economics, Statistics department, Houghton Street, London WC2A 2AE, United Kingdom 
b C.M.A.P., École polytechnique, 91128 Palaiseau cedex, France 

Abstract

We give a closedness result for a convex set of BMO semi-martingales, that contains solutions to quadratic BSDEs. We deduce convergence and monotone stability results for quadratic BSDEs. To cite this article: P. Barrieu et al., C. R. Acad. Sci. Paris, Ser. I 346 (2008).

The full text of this article is available in PDF format.
Résumé

Nous donnons un résultat de fermeture pour un ensemble convexe de semi-martingales BMO, qui inclut les solutions de EDSRs à croissance quadratique. Nous en déduisons des résultats de convergence et de stabilité monotone pour les EDSRs à croissance quadratique. Pour citer cet article : P. Barrieu et al., C. R. Acad. Sci. Paris, Ser. I 346 (2008).

The full text of this article is available in PDF format.


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