Related papers: Dual spaces of cadlag processes
We derive a functional change of variable formula for {\it non-anticipative} functionals defined on the space of right continuous paths with left limits. The functional is only required to possess certain directional derivatives, which may…
We establish sample-path large deviation principles for the centered cumulative functional of marked Poisson cluster processes in the Skorokhod space equipped with the M1 topology, under joint regular variation assumptions on the marks and…
In this paper we give two complete characterizations of the Poletsky- Stessin- Hardy spaces in the complex plane: First in terms of their boundary values as a weighted subclass of the usual $L^p$ class with respect to the arclength measure…
This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies many well-known duality frameworks from…
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes which is, for continuous semimartingales, related to symmetry properties of both their ordinary as well as…
In this paper, we develop new optional stopping theorems for scenarios where the stopping rules are defined by bounded continuity regions. Moreover, we establish a wide variety of inequalities on the supremums and infimums of functions of…
In the paper new representations are obtained for duals and dual hulls of the classes of analytic functions. The Ruscheweyh duality principle is shown to hold under somewhat weaker assumptions. For a compact class of functions its subclass…
Well posedness is established for a family of equations modelling particle populations undergoing delocalised coagulation, advection, inflow and outflow in a externally specified velocity field. Very general particle types are allowed while…
The duality of uniform approximation property for Banach spaces is well known. In this note, we establish, under the assumption of local reflexivity, the duality of uniform approximation property in the category of operator spaces.
Consider a system $X = ((x_\xi(t)), \xi \in \Omega_N)_{t \geq 0}$ of interacting Fleming-Viot diffusions with mutation and selection which is a strong Markov process with continuous paths and state space $(\CP(\I))^{\Omega_N}$, where $\I$…
In previous work we established a multilinear duality and factorisation theory for norm inequalities for pointwise weighted geometric means of positive linear operators defined on normed lattices. In this paper we extend the reach of the…
We present a new method of modelling numerical systems where there are two distinct output solution classes, for example tipping points or bifurcations. Gaussian process emulation is a useful tool in understanding these complex systems and…
The motivation of this paper is to prove verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term, in the case that the value function is assumed to be continuous…
In this paper, we prove that all doubling measures on the unit disk $\mathbb{D}$ are Carleson measures for the standard Dirichlet space $\mathcal{D}$. The proof has three ingredients. The first one is a characterization of Carleson measures…
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove the existence of solutions and the absence of a duality gap…
In this paper, we show how under the continuum hypothesis one can obtain an integral representation for elements of the topological dual of the space of functions of bounded variation in terms of Lebesgue and Kolmogorov-Burkill integrals.
We consider the generators of gauge transformations with test functions which do not vanish on the boundary of a spacelike region of interest. These are known to generate the edge degrees of freedom in a gauge theory. In this paper, we…
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…
A convergence theorem for martingales with c\`adl\`ag trajectories (right continuous with left limits everywhere) is obtained in the sense of the weak dual topology on Hilbert space, under conditions that are much weaker than those required…
We explore the limit of stochastic differential equations driven by some random processes satisfying singularly perturbed second order stochastic differential equations. The main tool we employ is the universal limit theorem in rough path…