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Convex integral functionals of regular processes

Research output: Contribution to journalArticle

Teemu August Pennanen, Ari-Pekka Perkkio

Original languageEnglish
JournalStochastic Processes and Their Applications
Early online date24 Aug 2017
DOIs
Accepted/In press9 Aug 2017
E-pub ahead of print24 Aug 2017

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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 Radon 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.

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