Stochastic programs without duality gaps

Pennanen, Teemu und Perkkiö, Ari-Pekka (2012): Stochastic programs without duality gaps. In: Mathematical Programming, Bd. 136, Nr. 1: S. 91-110

Abstract

This paper studies dynamic stochastic optimization problems parameterized by a random variable. Such problems arise in many applications in operations research and mathematical finance. We give sufficient conditions for the existence of solutions and the absence of a duality gap. Our proof uses extended dynamic programming equations, whose validity is established under new relaxed conditions that generalize certain no-arbitrage conditions from mathematical finance.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 0025-5610
• Sprache: Englisch