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Closedness Results for BMO-semi-martingales with quadratic growth and Application to Stochastic Control in Finance
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Author (s)
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P. Barrieu, N. Cazanave and El Karoui
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Further Information
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Publications and Research Papers| (P.Barrieu staff page)
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Abstract
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We give a closedness result for BMO- semi-martingales. The BMO- framework appears to be very powerful when dealing with quadratic BSDEs. Our closedness theorem allows us to extend the existence result of Kobylanski. As an illustration, the derivation of the dual representation of quadratic dynamic risk measures is obtained in terms of BMO-processes when the generator of the associated BSDE is continuous with quadratic growth.
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Contact
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Tom Hewlett (Administrative Assistant) Ext. 6879
Department of Statistics, Columbia House
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