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