Convex integral functionals of càdlàg processes

被引：1

作者：

Perkkioe, Ari-Pekka ^{[1
]}

Trevino-Aguilar, Erick ^{[2
]}

机构：

[1] Ludwig Maximilians Univ Munchen, Dept Math, Theresienstr 39, D-80333 Munich, Germany

[2] Univ Nacl Autonoma Mexico, Unidad Cuernavaca, Inst Matemat, Mexico City, Mexico

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2025年 / 181卷

关键词：

c & agrave; dl & agrave; g stochastic processes; Convex conjugate; Integral functional; Normal integrand; Set-valued analysis; CONTINGENT CLAIM VALUATION; OPTIMAL INVESTMENT; REPRESENTATION; OPTIMIZATION; EXISTENCE; TIME;

D O I：

10.1016/j.spa.2024.104561

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article characterizes conjugates and subdifferentials of convex integral functionals over linear spaces of c & agrave;dl & agrave;g stochastic processes. The approach is based on new measurability results on the Skorokhod space and new interchange rules of integral functionals that are developed in the article. The main results provide a general approach to apply convex duality in a variety of optimization problems ranging from optimal stopping to singular stochastic control and mathematical finance.

引用

页数：25

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