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Convex Integral Functionals of Processes of Bounded Variation

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Convex Integral Functionals of Processes of Bounded Variation. / Pennanen, Teemu; Perkkio, Ari-Pekka.

In: JOURNAL OF CONVEX ANALYSIS, Vol. 25, No. 1, 02.2018, p. 161-179.

Research output: Contribution to journalArticle

Harvard

Pennanen, T & Perkkio, A-P 2018, 'Convex Integral Functionals of Processes of Bounded Variation', JOURNAL OF CONVEX ANALYSIS, vol. 25, no. 1, pp. 161-179. <http://www.heldermann.de/JCA/JCA25/jca25.htm>

APA

Pennanen, T., & Perkkio, A-P. (2018). Convex Integral Functionals of Processes of Bounded Variation. JOURNAL OF CONVEX ANALYSIS, 25(1), 161-179. http://www.heldermann.de/JCA/JCA25/jca25.htm

Vancouver

Pennanen T, Perkkio A-P. Convex Integral Functionals of Processes of Bounded Variation. JOURNAL OF CONVEX ANALYSIS. 2018 Feb;25(1):161-179.

Author

Pennanen, Teemu ; Perkkio, Ari-Pekka. / Convex Integral Functionals of Processes of Bounded Variation. In: JOURNAL OF CONVEX ANALYSIS. 2018 ; Vol. 25, No. 1. pp. 161-179.

Bibtex Download

@article{afbf5a45f66144b5b6ed0fc66927e858,
title = "Convex Integral Functionals of Processes of Bounded Variation",
abstract = "This article characterizes conjugates and subdifferentials of convex integral functionals over the linear space of stochastic processes of essentially bounded variation (BV) when the space is identified with the Banach dual of the space of regular processes. Our proofs are based on new results on the interchange of integration and minimization of integral functionals over BV processes. Under mild conditions, the domain of the conjugate is shown to be contained in the space of semimartingales which leads to several applications in the duality theory in stochastic control and mathematical finance. ",
author = "Teemu Pennanen and Ari-Pekka Perkkio",
year = "2018",
month = feb,
language = "English",
volume = "25",
pages = "161--179",
journal = "JOURNAL OF CONVEX ANALYSIS",
issn = "0944-6532",
publisher = "Heldermann Verlag",
number = "1",

}

RIS (suitable for import to EndNote) Download

TY - JOUR

T1 - Convex Integral Functionals of Processes of Bounded Variation

AU - Pennanen, Teemu

AU - Perkkio, Ari-Pekka

PY - 2018/2

Y1 - 2018/2

N2 - This article characterizes conjugates and subdifferentials of convex integral functionals over the linear space of stochastic processes of essentially bounded variation (BV) when the space is identified with the Banach dual of the space of regular processes. Our proofs are based on new results on the interchange of integration and minimization of integral functionals over BV processes. Under mild conditions, the domain of the conjugate is shown to be contained in the space of semimartingales which leads to several applications in the duality theory in stochastic control and mathematical finance.

AB - This article characterizes conjugates and subdifferentials of convex integral functionals over the linear space of stochastic processes of essentially bounded variation (BV) when the space is identified with the Banach dual of the space of regular processes. Our proofs are based on new results on the interchange of integration and minimization of integral functionals over BV processes. Under mild conditions, the domain of the conjugate is shown to be contained in the space of semimartingales which leads to several applications in the duality theory in stochastic control and mathematical finance.

M3 - Article

VL - 25

SP - 161

EP - 179

JO - JOURNAL OF CONVEX ANALYSIS

JF - JOURNAL OF CONVEX ANALYSIS

SN - 0944-6532

IS - 1

ER -

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