Convex integral functionals of càdlàg processes

IF 1.1 2区数学 Q3 STATISTICS & PROBABILITY

Stochastic Processes and their Applications Pub Date : 2024-12-30 DOI:10.1016/j.spa.2024.104561

Ari-Pekka Perkkiö , Erick Treviño-Aguilar

引用次数: 0

Abstract

This article characterizes conjugates and subdifferentials of convex integral functionals over linear spaces of

càdlàg

stochastic processes. The approach is based on new measurability results on the Skorokhod space and new interchange rules of integral functionals that are developed in the article. The main results provide a general approach to apply convex duality in a variety of optimization problems ranging from optimal stopping to singular stochastic control and mathematical finance.

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来源期刊

Stochastic Processes and their Applications 数学-统计学与概率论

CiteScore

2.90

自引率

7.10%

发文量

180

审稿时长

23.6 weeks

期刊介绍： Stochastic Processes and their Applications publishes papers on the theory and applications of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests. Characterization, structural properties, inference and control of stochastic processes are covered. The journal is exacting and scholarly in its standards. Every effort is made to promote innovation, vitality, and communication between disciplines. All papers are refereed.