Research output: Contribution to journal › Article
Convex integral functionals of regular processes. / Pennanen, Teemu August; Perkkio, Ari-Pekka.
In: Stochastic Processes and Their Applications, Vol. 128, No. 5, 24.08.2017, p. 1652-1677.Research output: Contribution to journal › Article
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TY - JOUR
T1 - Convex integral functionals of regular processes
AU - Pennanen, Teemu August
AU - Perkkio, Ari-Pekka
PY - 2017/8/24
Y1 - 2017/8/24
N2 - This article gives dual representations for convex integral functionalson the linear space of regular processes. This space turns out to be a Banachspace containing many more familiar classes of stochastic processesand its dual can be identified with the space of optional Radon measureswith essentially bounded variation. Combined with classical Banach spacetechniques, 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.
AB - This article gives dual representations for convex integral functionalson the linear space of regular processes. This space turns out to be a Banachspace containing many more familiar classes of stochastic processesand its dual can be identified with the space of optional Radon measureswith essentially bounded variation. Combined with classical Banach spacetechniques, 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.
U2 - 10.1016/j.spa.2017.08.007
DO - 10.1016/j.spa.2017.08.007
M3 - Article
VL - 128
SP - 1652
EP - 1677
JO - Stochastic Processes and Their Applications
JF - Stochastic Processes and Their Applications
SN - 0304-4149
IS - 5
ER -
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