A REMARK ON A BMO MARTINGALE

向开南

Institute of Applied Mathematics, Academia Sinica, Beijing 100080, China
Department of probability and statistics, Peking University, Beijing 100871, China

收稿日期:1998-10-09 修回日期:1999-10-10 出版日期:2000-06-15 发布日期:2000-06-15
基金资助:
Research supported in part by CNSF, Tianyuan foundation, and
the Mathematical Center of Ministry of Education

XIANG Kai-Na

Institute of Applied Mathematics, Academia Sinica, Beijing 100080, China
Department of probability and statistics, Peking University, Beijing 100871, China

Received:1998-10-09 Revised:1999-10-10 Online:2000-06-15 Published:2000-06-15
Supported by:
Research supported in part by CNSF, Tianyuan foundation, and
the Mathematical Center of Ministry of Education

摘要：

In this paper, a negative answer to a question raised by Durrett(1984)[1] about
a BMO martingale is given.

关键词: Continuous martingale, uniformly integrable, BMO martingale

Abstract:

In this paper, a negative answer to a question raised by Durrett(1984)[1] about
a BMO martingale is given.

Key words: Continuous martingale, uniformly integrable, BMO martingale

中图分类号:

向开南. A REMARK ON A BMO MARTINGALE[J]. 数学物理学报(英文版), 2000, 20(4): 511-514.

XIANG Kai-Na. A REMARK ON A BMO MARTINGALE[J]. Acta mathematica scientia,Series B, 2000, 20(4): 511-514.

[1]	陈世平, 胡德坤. THE SOLUTION TO THE SK-MODEL[J]. 数学物理学报(英文版), 2002, 22(2): 283-288.
[2]	魏刚, 陈世平. PRICING AND HEDGING OPTION UNDER PORTFOLIO CONSTRAINED[J]. 数学物理学报(英文版), 2001, 21(4): 483-494.

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