Fenchel-Moreau Conjugation Inequalities with Three Couplings and Application to Stochastic Bellman Equation

zbMath1434.46048arXiv1804.03034MaRDI QIDQ5237035

Michel De Lara, Jean-Philippe Chancelier

Publication date: 16 October 2019

Full work available at URL: https://arxiv.org/abs/1804.03034

zbMATH Keywords

Bellman equationcouplingenvelope functionFenchel-Moreau conjugacygeneralized inf-convolution

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Stochastic programming (90C15) Dynamic programming (90C39) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Duality theory (optimization) (49N15) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

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