Convex integral functionals of regular processes
From MaRDI portal
Publication:1747792
DOI10.1016/j.spa.2017.08.007zbMath1396.60036arXiv1508.04609OpenAlexW2963267463MaRDI QIDQ1747792
Teemu Pennanen, Ari-Pekka Perkkiö
Publication date: 27 April 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.04609
Probability measures on topological spaces (60B05) Optimal stochastic control (93E20) General theory of stochastic processes (60G07) Optimality conditions for problems involving randomness (49K45)
Related Items
Optional and predictable projections of normal integrands and convex-valued processes, Dual spaces of cadlag processes, Michael selections and Castaing representations with càdlàg functions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Continuous essential selections and integral functionals
- Convex duality for stochastic singular control problems
- Continuous selections. I
- Markets with transaction costs. Mathematical theory.
- Convex integrands on Souslin locally convex spaces
- Convex analysis and measurable multifunctions
- Integrals, conditional expectations, and martingales of multivalued functions
- Integrals which are convex functionals
- Integrals which are convex functionals. II
- Hedging of Claims with Physical Delivery under Convex Transaction Costs
- Absolutely continuous and singular stochastic control†
- Some solvable stochastic control problemst†
- Temps d'arrÊt optimal, théorie générale des processus et processus de Markov
- An Introductory Approach to Duality in Optimal Stochastic Control
- Variational Analysis
- The stochastic maximum principle for a singular control problem
- Level Sets and Continuity of Conjugate Convex Functions
