IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v181y2025ics0304414924002692.html
   My bibliography  Save this article

Convex integral functionals of càdlàg processes

Author

Listed:
  • Perkkiö, Ari-Pekka
  • Treviño-Aguilar, Erick

Abstract

This article characterizes conjugates and subdifferentials of convex integral functionals over linear spaces of càdlàg 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.

Suggested Citation

  • Perkkiö, Ari-Pekka & Treviño-Aguilar, Erick, 2025. "Convex integral functionals of càdlàg processes," Stochastic Processes and their Applications, Elsevier, vol. 181(C).
    • Handle: RePEc:eee:spapps:v:181:y:2025:i:c:s0304414924002692
    DOI: 10.1016/j.spa.2024.104561
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414924002692
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spa.2024.104561?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Christoph Czichowsky & Rémi Peyre & Walter Schachermayer & Junjian Yang, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Post-Print hal-02373296, HAL.
    2. Boetius, Frederik & Kohlmann, Michael, 1998. "Connections between optimal stopping and singular stochastic control," Stochastic Processes and their Applications, Elsevier, vol. 77(2), pages 253-281, September.
    3. Pennanen, Teemu & Perkkiö, Ari-Pekka, 2018. "Convex integral functionals of regular processes," Stochastic Processes and their Applications, Elsevier, vol. 128(5), pages 1652-1677.
    4. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
    5. Pennanen, Teemu & Perkkiö, Ari-Pekka, 2023. "Dual spaces of cadlag processes," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 69-93.
    6. Christoph Czichowsky & Rémi Peyre & Walter Schachermayer & Junjian Yang, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Finance and Stochastics, Springer, vol. 22(1), pages 161-180, January.
    7. Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
    8. Czichowsky, Christoph Johannes & Peyre, Rémi & Schachermayer, Walter & Yang, Junjian, 2018. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," LSE Research Online Documents on Economics 85230, London School of Economics and Political Science, LSE Library.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Erhan Bayraktar & Christoph Czichowsky & Leonid Dolinskyi & Yan Dolinsky, 2021. "A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios," Papers 2107.01568, arXiv.org, revised Sep 2021.
    2. Christian Bender & Sebastian Ferrando & Alfredo Gonzalez, 2021. "Model-Free Finance and Non-Lattice Integration," Papers 2105.10623, arXiv.org.
    3. Artur Sidorenko, 2025. "Meyer-Zheng topology and multi-asset behavioral portfolio selection under transaction costs," Papers 2505.01876, arXiv.org.
    4. Garnier, Josselin & Solna, Knut, 2019. "Emergence of turbulent epochs in oil prices," Chaos, Solitons & Fractals, Elsevier, vol. 122(C), pages 281-292.
    5. Paolo Guasoni & Yuliya Mishura & Miklós Rásonyi, 2021. "High-frequency trading with fractional Brownian motion," Finance and Stochastics, Springer, vol. 25(2), pages 277-310, April.
    6. Christoph Kühn & Alexander Molitor, 2022. "Semimartingale price systems in models with transaction costs beyond efficient friction," Finance and Stochastics, Springer, vol. 26(4), pages 927-982, October.
    7. Josselin Garnier & Knut Solna, 2018. "Emergence of Turbulent Epochs in Oil Prices," Papers 1808.09382, arXiv.org, revised Apr 2019.
    8. Florig, Michael & Gossner, Olivier, 2024. "Market equilibrium with management costs and implications for insurance accounting," LSE Research Online Documents on Economics 125396, London School of Economics and Political Science, LSE Library.
    9. Marcin Pitera & Łukasz Stettner, 2023. "Discrete‐time risk sensitive portfolio optimization with proportional transaction costs," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1287-1313, October.
    10. Teemu Pennanen & Udomsak Rakwongwan, 2020. "Optimal semi-static hedging in illiquid markets," Papers 2008.01463, arXiv.org.
    11. Kohlmann, Michael, 1999. "(Reflected) Backward Stochastic Differential Equations and Contingent Claims," CoFE Discussion Papers 99/10, University of Konstanz, Center of Finance and Econometrics (CoFE).
    12. John Armstrong & Teemu Pennanen & Udomsak Rakwongwan, 2018. "Pricing Index Options By Static Hedging Under Finite Liquidity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-18, September.
    13. de Angelis, Tiziano & Ferrari, Giorgio, 2014. "A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis," Center for Mathematical Economics Working Papers 477, Center for Mathematical Economics, Bielefeld University.
    14. Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari, 2014. "Optimal Boundary Surface for Irreversible Investment with Stochastic Costs," Papers 1406.4297, arXiv.org, revised Jan 2017.
    15. Romuald Elie & Ludovic Moreau & Dylan Possamai, 2017. "On a class of path-dependent singular stochastic control problems," Papers 1701.08861, arXiv.org, revised Feb 2018.
    16. Palma, Nuno, 2018. "Money and modernization in early modern England," Financial History Review, Cambridge University Press, vol. 25(3), pages 231-261, December.
    17. E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé, 2019. "Log-Optimal and Rapid Paths in von Neumann-Gale Dynamical Systems," Economics Discussion Paper Series 1902, Economics, The University of Manchester.
    18. GAHUNGU, Joachim & SMEERS, Yves, 2011. "A real options model for electricity capacity expansion," LIDAM Discussion Papers CORE 2011044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    19. Jarrow, Robert & Li, Siguang, 2021. "Endogenous liquidity risk and dealer market structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 449-453.
    20. Dianetti, Jodi & Ferrari, Giorgio, 2023. "Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 547-592.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:181:y:2025:i:c:s0304414924002692. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.