Duality in convex problems of Bolza over functions of bounded variation

Teemu Pennanen, Ari-Pekka Perkkiö

Published 2013-09-09Version 1

This paper studies convex problems of Bolza in the conjugate duality framework of Rockafellar. We parameterize the problem by a general Borel measure which has direct economic interpretation in problems of financial economics. We derive a dual representation for the optimal value function in terms of continuous dual arcs and we give conditions for the existence of solutions. Combined with well-known results on problems of Bolza over absolutely continuous arcs, we obtain optimality conditions in terms of extended Hamiltonian conditions.