Duality and optimality conditions in stochastic optimization and mathematical finance

Biagini, Sara; Pennanen, Teemu und Perkkiö, Ari-Pekka (2018): Duality and optimality conditions in stochastic optimization and mathematical finance. In: Journal of Convex Analysis, Bd. 25, Nr. 2: S. 403-420

Abstract

This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objective in many applications in operations research and mathematical finance. The second part derives optimality conditions by combining general saddle-point conditions from convex duality with the dual representations obtained in the first part of the paper. Several applications to stochastic optimization and mathematical finance are given.

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