相关论文: Dual spaces of cadlag processes

This article characterizes conjugates and subdifferentials of convex integral functionals over linear spaces of cadlag stochastic processes. The approach is based on new measurability results on the Skorokhod space and new interchange rules…

This paper studies duality and optimality conditions for general convex stochastic optimization problems. The main result gives sufficient conditions for the absence of a duality gap and the existence of dual solutions in a locally convex…

This article gives dual representations for convex integral functionals on the linear space of regular processes. This space turns out to be a Banach space containing many more familiar classes of stochastic processes and its dual can be…

The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to…

The goal of this paper is to investigate the tools of extreme value theory originally introduced for discrete time stationary stochastic processes (time series), namely the tail process and the tail measure, in the framework of continuous…

For a series of Markov processes we prove stochastic duality relations with duality functions given by orthogonal polynomials. This means that expectations with respect to the original process (which evolves the variable of the orthogonal…

This paper studies topological duals of Banach function spaces (BFS). We assume a finite measure but our arguments extend to general locally convex function spaces whose topology is generated by seminorms that satisfy the usual BFS axioms.…

Let $\alpha=1/2$, $\theta>-1/2$, and $\nu_0$ be a probability measure on a type space $S$. In this paper, we investigate the stochastic dynamic model for the two-parameter Dirichlet process $\Pi_{\alpha,\theta,\nu_0}$. If $S=\mathbb{N}$, we…

We give three characterizations of the Dirichlet-type spaces $D(\mu)$. First we characterize $D(\mu)$ in terms of a double integral and in terms of the mean oscillation in the Bergman metric, none of them involve the use of derivatives.…

We prove a strong duality result for a linear programming problem which has the interpretation of being a discretised optimal Skorokhod embedding problem, and we recover this continuous time problem as a limit of the discrete problems. With…

We prove two duality descriptions of the value function for a generic stochastic optimal problem. These descriptions also hold when the diffusion is controlled, a case left open by the literature so far.

Directed Algebraic Topology studies spaces equipped with a form of direction, to include models of non-reversible processes. In the present extension we also want to cover critical processes, indecomposable and unstoppable. The first part…

We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…

We study the Banach space $D([0,1]^m)$ of functions of several variables that are (in a certain sense) right-continuous with left limits, and extend several results previously known for the standard case $m=1$. We give, for example, a…

This paper investigates general and generalized differentiation properties of the optimal value function associated with perturbed optimization problems. Fundamental results on nearly convex sets and functions in infinite-dimensional spaces…

This paper focuses on systems of nonlinear second-order stochastic differential equations with multi-scales. The motivation for our study stems from mathematical physics and statistical mechanics, for examples, Langevin dynamics and…

We study three classes of continuous time Markov processes (inclusion process, exclusion process, independent walkers) and a family of interacting diffusions (Brownian energy process). For each model we define a boundary driven process…

In this work, optimality conditions and classical results from duality theory are derived for continuous-time linear optimization problems with inequality constraints. The optimality conditions are given in the Karush-Kuhn-Tucker form. Weak…

We introduce a novel real-valued endogenous logic for expressing properties of probabilistic transition systems called Riesz modal logic. The design of the syntax and semantics of this logic is directly inspired by the theory of Riesz…

This paper is about certain linear subspaces of Banach SN spaces (that is to say Banach spaces which have a symmetric nonexpansive linear map into their dual spaces). We apply our results to monotone linear subspaces of the product of a…