Abstract

We present a duality principle for the Legendre transform that yields the shortest path between the graphs of functions and embodies the underlying Nash equilibrium. A useful feature of the algorithm for the shortest path obtained in this way is that its implementation has a local character in the sense that it is applicable at any point in the domain with no reference to calculations made earlier or elsewhere. The derived results are applied to optimal stopping games of Brownian motion and diffusion processes where the duality principle corresponds to the semiharmonic characterisation of the value function.

Author information

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

Goran Peskir

School of Mathematics, University of Manchester, Oxford Road, Manchester M13 9PL, Great Britain

goran@maths.man.ac.uk

Keywords

  • Legendre transform
  • von Neumann's minimax theorem
  • Fenchel's duality theorem
  • shortest path between graphs/obstacles
  • geodesic
  • optimal stopping problem/game
  • free boundary problem
  • Brownian motion
  • diffusion/Markov process
  • superharmonic/subharmonic/semiharmonic characterisation of the value function
  • Stackelberg/Nash equilibrium
  • primal and dual problems of optimal stopping

Mathematics Subject Classification

49J35, 51M25, 60G40; 53C22, 60J65, 91A15

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Suggested citation

G. Peskir. “A Duality Principle for the Legendre Transform.” Journal of Convex Analysis 19 (2012), No. 3, 609–630. https://doi.org/10.68381/jca19034

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Published by Heldermann Verlag, 2012. Rights now held by Banach Press.