Dual spaces of cadlag processes

DOI10.1016/J.SPA.2022.11.017MaRDI QIDQ6298498arXivFDO

Authors Teemu Pennanen, Ari-Pekka Perkkiö

Publication date 2 March 2018

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.SPA.2022.11.017

Mathematics Subject Classification ID

Duality and reflexivity in normed linear and Banach spaces (46B10) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Applications of functional analysis in probability theory and statistics (46N30) General theory of stochastic processes (60G07)

arXiv classification

math.PR

Abstract: This article characterizes topological duals of spaces of cadlag processes. We obtain extensions of functional analytic results of Dellacherie and Meyer that underlie many fundamental results in stochastic analysis. In particular, we obtain a characterization of the dual of cadlag processes of class $(D)$ in terms of optional measures of essentially bounded variation. When specialized to regular processes, we find extensions of the main result of Bismut cite{bis78} on projections of continuous processes. The dual characterizations yield existence results and optimality conditions for many fundamental problems from optimal stopping to singular stochastic control well beyond classical formulations.

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