[Un résultat de fermeture pour des semi-martingales BMO et une application aux EDSRs à croissance quadratique]
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.
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.
Accepté le :
Publié le :
Pauline Barrieu 1 ; Nicolas Cazanave 2 ; Nicole El Karoui 2
@article{CRMATH_2008__346_15-16_881_0,
author = {Pauline Barrieu and Nicolas Cazanave and Nicole El Karoui},
title = {Closedness results for {BMO} semi-martingales and application to quadratic {BSDEs}},
journal = {Comptes Rendus. Math\'ematique},
pages = {881--886},
publisher = {Elsevier},
volume = {346},
number = {15-16},
year = {2008},
doi = {10.1016/j.crma.2008.06.010},
language = {en},
}
TY - JOUR AU - Pauline Barrieu AU - Nicolas Cazanave AU - Nicole El Karoui TI - Closedness results for BMO semi-martingales and application to quadratic BSDEs JO - Comptes Rendus. Mathématique PY - 2008 SP - 881 EP - 886 VL - 346 IS - 15-16 PB - Elsevier DO - 10.1016/j.crma.2008.06.010 LA - en ID - CRMATH_2008__346_15-16_881_0 ER -
%0 Journal Article %A Pauline Barrieu %A Nicolas Cazanave %A Nicole El Karoui %T Closedness results for BMO semi-martingales and application to quadratic BSDEs %J Comptes Rendus. Mathématique %D 2008 %P 881-886 %V 346 %N 15-16 %I Elsevier %R 10.1016/j.crma.2008.06.010 %G en %F CRMATH_2008__346_15-16_881_0
Pauline Barrieu; Nicolas Cazanave; Nicole El Karoui. Closedness results for BMO semi-martingales and application to quadratic BSDEs. Comptes Rendus. Mathématique, Volume 346 (2008) no. 15-16, pp. 881-886. doi : 10.1016/j.crma.2008.06.010. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2008.06.010/
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