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

Jean-Philippe Chancelier; Michel De Lara

Abstract

Keywords: Fenchel-Moreau conjugacy, coupling, envelope function, generalized inf-convolution, Bellman equation

Author information

Contact details are reproduced from the original publication and may be historical.

Jean-Philippe Chancelier

Université Paris-Est, CERMICS - ENPC, 77455 Marne la Vallée 2, France

Michel De Lara

Université Paris-Est, CERMICS - ENPC, 77455 Marne la Vallée 2, France

delara@cermics.enpc.fr

Keywords

Fenchel-Moreau conjugacy
coupling
envelope function
generalized inf-convolution
Bellman equation

Mathematics Subject Classification

46N10, 47N10

Suggested citation

J.-P. Chancelier, M. De Lara. “Fenchel-Moreau Conjugation Inequalities with Three Couplings and Application to the Stochastic Bellman Equation.” Journal of Convex Analysis 26 (2019), No. 3, 945–966.