X: 27, 536-539, LNM 511 (1976)
KAZAMAKI, Norihiko
A characterization of $BMO$ martingales (Martingale theory)
A $L^2$ bounded continuous martingale belongs to $BMO$ if and only if its stochastic exponential satisfies some (Muckenhoupt) condition $A_p$ for $p>1$
Comment: For an extension to non-continuous martingales, see 1125. For a recent survey see the monograph of Kazamaki on exponential martingales and $BMO$, LN 1579, 1994
Keywords: $BMO$
Nature: Original
Retrieve article from Numdam

---