Dual spaces of cadlag processes

Pennanen, Teemu und Perkkioe, Ari-Pekka (2022): Dual spaces of cadlag processes. In: Stochastic Processes and Their Applications, Vol. 157: pp. 69-93

Abstract

This article characterizes topological duals of spaces of cadlag processes. We extend functional analytic results of Dellacherie and Meyer that underlie many fundamental results in stochastic analysis and optimization. We unify earlier duality results on Lp and Orlicz spaces of cadlag processes and extend them to general Frechet functions spaces. In particular, we obtain a characterization of the dual of cadlag processes of class (D) in terms of optional measures of essentially bounded variation. When applied to regular processes, we extend (Bismut, 1978) on projections of continuous processes. More interestingly, our argument yields characterizations of dual spaces of regular processes.(c) 2022 Elsevier B.V. All rights reserved.

• Item Type: Journal article
• Faculties: Mathematics, Computer Science and Statistics > Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 0304-4149
• Language: English