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Une définition faible de BMO. (A weak definition of BMO). (French) Zbl 0611.60043
A local martingale $$(M_ t)_ t$$ belongs to BMO iff, by definition, there exists a constant c such that the inequality $E((M_{\infty}- M_{T-})^ 2| {\mathcal F}_ T)\leq c^ 2$ holds for every stopping time T. The author proves that this definition is equivalent with any of the following four inequalities, supposed to hold for every stopping time T:
(1) There exists an increasing function $$G: {\mathbb{R}}_+\to {\mathbb{R}}_+$$ and a constant $$c<\sup G$$ such that $$E(G(| M_{\infty}-M_{T- })| {\mathcal F}_ T)\leq c;$$
(2) there exists an increasing function G and a constant c as before such that $$E(G([M,M]_{\infty}-[M,M]_{T-})| {\mathcal F}_ T)\leq c$$, where [M,M] is the natural increasing process of the local martingale M;
(3) there exist $$a>0$$, $$\epsilon >0$$ such that $$P([M,M]_{\infty}- [M,M]_{T-}>a| {\mathcal F}_ T)\leq 1-\epsilon;$$
(4) there exist a and $$\epsilon$$ as before such that P($$\sup_{t}| M_{T+t}-M_{T-}| >a| {\mathcal F}_ T)\leq 1-\epsilon.$$
The main tool in the proofs is the following simple and smart Lemma (we do not know if it is known): Suppose that $$A_ t$$ is an increasing natural process satisfying the following two conditions for every stopping time $$T$$: $P(A_{\infty}-A_{T-}>a| {\mathcal F}_ T)\leq \alpha \text{ for some } a,\alpha;$
$P(A_{\infty}-A_{T-}>b| {\mathcal F}_ T)\leq \beta \text{ for some } b,\beta.$ Then $$P(A_{\infty}-A_{T-}>a+b| {\mathcal F}_ T)\leq \alpha \beta$$ for every stopping time T.
We were not able to detect the connection between the paper and its motto.
Reviewer: G.Zbăganu

##### MSC:
 60G46 Martingales and classical analysis 60G44 Martingales with continuous parameter 60E15 Inequalities; stochastic orderings
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