Convex integral functionals of cadlag processes
arXiv:1812.04086
Abstract
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 of integral functionals that are developed in the article. The main results provide a general approach to apply convex duality in a variety of optimization problems ranging from optimal stopping to singular stochastic control and mathematical finance.
30 pages