3 citations · 5 across the 2 of their papers we have counts for
9 papers
Dynamic programming in convex stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies the dynamic programming principle for general convex stochastic optimization problems introduced by Rockafellar and Wets in [30]. We extend the applicability of…
Topological duals of Banach function spaces
Teemu Pennanen, Ari-Pekka Perkkiö
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 i…
Convex integral functionals of cadlag processes
Ari-Pekka Perkkiö, Erick Treviño-Aguilar
This article characterizes conjugates and subdifferentials of convex integral functionals over linear spaces of cadlag stochastic processes. The approach is based on new measurabil…
Optimal stopping without Snell envelopes
Teemu Pennanen, Ari-Pekka Perkkiö
This paper proves the existence of optimal stopping times via elementary functional analytic arguments. The problem is first relaxed into a convex optimization problem over a close…
Dual spaces of cadlag processes
Teemu Pennanen, Ari-Pekka Perkkiö
This article characterizes topological duals of spaces of cadlag processes. We obtain extensions of functional analytic results of Dellacherie and Meyer that underlie many fundamen…
Convex duality in nonlinear optimal transport
Teemu Pennanen, Ari-Pekka Perkkiö
This article studies problems of optimal transport, by embedding them in a general functional analytic framework of convex optimization. This provides a unified treatment of a larg…