Backward stochastic differential equations and BMO martingales

Author: Besik Chikvinidze
Keywords: Backward stochastic differential equation, BMO martingale, Girsanov's transformation
Annotation:

Backward stochastic differential equations with convex generators of quadratic growth are considered. The existence of a solution is proved for such equations driven by a continuous martingale with unbounded characteristic. Also 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.