Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7550274 | Stochastic Processes and their Applications | 2018 | 26 Pages |
Abstract
This article gives dual representations for convex integral functionals on the linear space of regular processes. This space turns out to be a Banach space containing many more familiar classes of stochastic processes and its dual can be identified with the space of optional random measures with essentially bounded variation. Combined with classical Banach space techniques, our results allow for a systematic treatment of stochastic optimization problems over BV processes and, in particular, yields a maximum principle for a general class of singular stochastic control problems.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Teemu Pennanen, Ari-Pekka Perkkiö,