Convex integral functionals of regular processes

Teemu Pennanen and Ari-Pekka Perkkiö

Stochastic Processes and their Applications, 2018, vol. 128, issue 5, 1652-1677

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.

Keywords: Regular process; Integral functional; Conjugate duality; Singular stochastic control (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2017.08.007

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