Related papers: Theory of locally concave functions and its applic…
With this paper, we begin a series of studies of extremal problems for estimating distributions of martingale transforms of bounded martingales. The Bellman functions corresponding to such problems are pointwise minimal diagonally concave…
We prove that certain Bellman functions of several variables are the minimal locally concave functions. This generalizes earlier results about Bellman functions of two variables.
We give an exact formula for the Bellman function of the weak type of martingale transform. We also give the extremal functions (actually extremal sequences of functions). We find them using the precise form of the Bellman function. The…
We solve two continuous extremal problems on the classes of monotone functions: in the first problem we find extremal values for a line integral of a coordinate-wise monotone function of two variables from a rearrange\-ment-invariant class…
This paper presents a canonical d.c. (difference of canonical and convex functions) programming problem, which can be used to model general global optimization problems in complex systems. It shows that by using the canonical duality…
We study the convex duality method for robust utility maximization in the presence of a random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true for a…
We provide sharp estimates for the distribution function of a martingale transform of the indicator function of an event. They are formulated in terms of Burkholder functions, which are reduced to the already known Bellman functions for…
We study a special class of non-convex functions which appear in nonlinear elasticity; and we prove that they have well-defined Legandre transforms. Several examples are given, and an application to a nonlinear eigenvalue problem
The present paper provides a generalization of the previous authors' work on Bellman functions for integral functionals on $\mathrm{BMO}$. Those Bellman functions are the minimal locally concave functions on parabolic strips in the plane.…
This paper is aimed to prove the strong duality theorem for continuous-time linear programming problems in which the coefficients are assumed to be piecewise continuous functions. The previous paper proved the strong duality theorem for the…
The study of convex functions - in particular, of their optimization (really minimization) is one of the most important fields of applied mathematics. Convexity seems to be one of those incredibly well-chosen hypotheses which is just…
We introduce extremal affine surface areas in a functional setting. We show their main properties. Among them are linear invariance, isoperimetric inequalities and monotonicity properties. We establish a new duality formula, which shows…
We investigate the convergence of the primal-dual algorithm for composite optimization problems when the objective functions are weakly convex. We introduce a modified duality gap function, which is a lower bound of the standard duality gap…
We use the Bellman function method to give an elementary proof of a sharp weighted estimate for the Haar shifts, which is linear in the $A_2$ norm of the weight and in the complexity of the shift. Together with the representation of a…
We examine the duality theory for a class of non-convex functions obtained by composing a convex function with a continuous one. Using Fenchel duality, we derive a dual problem that satisfies weak duality under general assumptions. To…
The notion of ordinal concavity of utility functions has recently been considered by Hafalir, Kojima, Yenmez, and Yokote in economics while there exist earlier related works in discrete optimization and operations research. In the present…
We present new results on optimization problems where the involved functions are evenly convex. By means of a generalized conjugation scheme and the perturbation theory introduced by Rockafellar, we propose an alternative dual problem for a…
In this paper we associate with an infinite family of real extended functions defined on a locally convex space, a sum, called robust sum, which is always well-defined. We also associate with that family of functions a dual pair of problems…
We provide a unifying interpretation of various optimal transport problems as a minimisation of a linear functional over the set of all Choquet representations of a given pair of probability measures ordered with respect to a certain convex…
We give a direct proof of the local $Tb$ Theorem, in the Euclidean setting, and under the assumption of dual exponents. This Theorem provides a flexible framework for proving the boundedness of a Calder\'on-Zygmund operator, supposing the…