{"entities":{"Q1434072":{"pageid":1444812,"ns":120,"title":"Item:Q1434072","lastrevid":43107513,"modified":"2025-07-21T14:00:54Z","type":"item","id":"Q1434072","labels":{"en":{"language":"en","value":"Stochastic programming duality: \\({\\mathcal L}^\\infty\\) multipliers for unbounded constraints with an application to mathematical finance"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 2077957"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1434072$198BBB3D-CCCB-41A0-A848-90CDC0AE9638","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"690897679e635bca48604a7b19eb5f7320c6b505","datavalue":{"value":{"text":"Stochastic programming duality: \\({\\mathcal L}^\\infty\\) multipliers for unbounded constraints with an application to mathematical finance","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1434072$C3DF97F0-9153-42AD-A74D-6DB043AE2290","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"d48e234aee798860d34876da84f73a72cd713800","datavalue":{"value":"1053.46052","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1434072$3667F621-BD05-4FFC-92D0-831C7BF6069F","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"28c7e42b53ba6dc33e8d005ca33110d7d33f240f","datavalue":{"value":{"entity-type":"item","numeric-id":904499,"id":"Q904499"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1434072$88EB14AF-DBF8-4FB3-B4CB-767AD1E7BE2F","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"99da72655942e9c2c9c01874c026b7cceeb02de6","datavalue":{"value":{"entity-type":"item","numeric-id":163006,"id":"Q163006"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1434072$FE2FC933-2BF4-4F45-B472-A46C310BAEE8","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"7f1c91819e1068c0617e66c7ecdafdccd99ae8ff","datavalue":{"value":{"time":"+2004-07-01T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1434072$E3F9858E-E3D4-40AE-9993-5566BFBF8AA9","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"48d397ab26fc440e8ec1b67c1d876d2924635f49","datavalue":{"value":"Suppose that for a closed convex subset \\(C\\subset \\mathbb R^ n\\) and a complete probability space \\((\\Xi,\\mathcal F, P)\\) there are given the convex functions \\(f_{1i}:\\mathbb R^ n\\to \\mathbb R,\\; i=0,\\dots ,m_ 1,\\) and the functions \\(f_{2i}:\\Xi \\times \\mathbb R^ n \\to \\mathbb R,\\; i=0,\\dots ,m_ 2,\\) which are convex in \\(x\\in \\mathbb R^ n\\) for fixed \\(\\xi\\in \\Xi\\), and \\(f_{2i}(\\cdot,x)\\in \\mathcal L^ 1(\\Xi,\\mathcal F,P;\\mathbb R)\\) for \\(i=0,\\dots ,m_ 2.\\) The author considers the following stochastic programming problem:     \\((\\mathcal P)\\) Minimize \\(f_{10}(x) + E\\{f_{20}(\\xi,x)\\}\\) subject to \\(f_{1i}(x) \\leq 0,\\, x\\in C,\\, i=1,\\dots ,m_ 1,\\,\\) and \\(f_{2i}(\\xi,x)\\leq 0\\; P\\)-a.s., \\(i=1,\\dots ,m_ 2.\\)     For an appropriately defined Lagrangean \\(L:\\mathbb R^ n\\times \\mathbb R^{m_ 1}\\times \\mathcal L^ \\infty(\\Xi,\\mathcal F,P;\\mathbb R)\\to \\overline{\\mathbb R}\\) the dual problem is:   \\((\\mathcal D)\\) Maximize \\(g(y,z)\\) subject to \\(y\\geq 0, z\\in \\mathcal L^ \\infty(\\Xi,\\mathcal F,P;\\mathbb R),\\,\\) where \\(g(y,z) = \\inf \\{L(x,y,z) : x\\in C\\}\\).     The inequality \\(\\inf \\mathcal P \\geq \\sup \\mathcal D \\) is always true, and a duality results means to look for conditions ensuring the equality. If the existence of dual multipliers is also guaranteed, then we have a strong duality result, expressed as \\(\\inf \\mathcal P =\\max \\mathcal D.\\)    The author proves some duality and strong duality results for problems of this kind without assuming the problem bounded or satisfying a Slater condition of strict feasibility. Also, the complete recourse requirement is replaced by a condition called direction-free feasibility, meaning that a recession cone attached to the problem is a subspace of \\(\\mathbb R^ n\\). A calmness condition is also supposed to hold. The obtained results extend some results of \\textit{R. T. Rockafellar} and \\textit{R. J.-B. Wets} [Pac. J. Math. 62, 173--195 (1976; Zbl 0346.90057) and SIAM J. Control Optim 16, 574--589 (1976; Zbl 0346.90058)]. They are related also to some results on asset pricing of \\textit{W. Schachermayer} [Math. Finance 4, 25--55 (1994; Zbl 0893.90017)].","type":"string"},"datatype":"string"},"type":"statement","id":"Q1434072$AC24028D-A081-47C7-BB4F-BA65081DCB3E","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"dade3bc82a2f7e555fdd92f6a7aa24c002fcafaf","datavalue":{"value":"90C15","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1434072$FB6ACF18-2520-40D0-9FC0-3BDD454D6123","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"147c8a720e6d6c185b949f7a2752aaaafdb28188","datavalue":{"value":"46N10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1434072$ED7E5D86-B504-4194-B79D-8E46CBE73E26","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"38697d6534d6c487b3a9c5a23685b94b3e7a5bf2","datavalue":{"value":"49N15","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1434072$20C63838-0287-4D95-AC88-CC4D135BA827","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"843de71235f44a800ae389e1734df6bb7650efec","datavalue":{"value":"65K10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1434072$D9B60D03-0AD5-43FD-AE0E-2F982F0A6DA5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"029224feaa23c10bf0a20e7c543fe64f3de45a0f","datavalue":{"value":"90C48","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1434072$542A5FB2-9F9E-4491-813B-4462645FB4B1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"15f4e876d21d5111ed972346cf4b55d9dc89f6a2","datavalue":{"value":"90C46","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1434072$2081900F-DE42-415F-A984-5CE2A3CFD215","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"7b600a0bd525a05fa571487b461fe5ba90ad6e5d","datavalue":{"value":"91B28","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1434072$AE22E555-032F-4BBA-A0D1-AEBBAAD841A3","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"89d7c53d1e8b5abff8f6d968fa44d32c79d9a552","datavalue":{"value":"2077957","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1434072$AA19F287-C549-48E3-8807-92767F620385","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"fae617ea5679f75caf6a16478788cf8a9f773560","datavalue":{"value":"stochastic programming","type":"string"},"datatype":"string"},"type":"statement","id":"Q1434072$75219937-D5CA-4DD2-8912-98DDFB339A12","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b9e92a1f5ab59d80845abab9abf2fee47c6f36db","datavalue":{"value":"duality results","type":"string"},"datatype":"string"},"type":"statement","id":"Q1434072$8F1224A0-5396-4F94-8486-9B2503E948A3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"f72e3297691f52bc20d440affe30040450e9aba5","datavalue":{"value":"Lagrange multipliers","type":"string"},"datatype":"string"},"type":"statement","id":"Q1434072$83886F90-1667-4404-AAC8-B0A0FDB9CCA5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"4a5c73b604b733dc582518292614d1388946b393","datavalue":{"value":"fundamental theorem of asset pricing","type":"string"},"datatype":"string"},"type":"statement","id":"Q1434072$371FE3C3-6ECF-416B-8CFC-A046D87582A4","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"7d51e375198a16b8ce2f1addc12d63c523988739","datavalue":{"value":{"entity-type":"item","numeric-id":216347,"id":"Q216347"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1434072$17F48FCE-0D26-4FAB-9E0A-F217067AE934","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1434072$B305A666-DDFB-457F-9059-DB72586B774E","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"5c38ddbe1d448e53a5c271f50f2ea4af0a2e766f","datavalue":{"value":"https://doi.org/10.1007/s10107-003-0419-1","type":"string"},"datatype":"url"},"type":"statement","id":"Q1434072$8BEF4AAF-B35E-4C97-B09F-A229B2B95352","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"0deef2c712e92b1460e6f87019e810fd6edae321","datavalue":{"value":"W2086443244","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1434072$D6CB7F8E-5055-4A65-BFD1-B2AD00C883C6","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"26a0f54bfc51c157cc98b12b795c2691fe41a136","datavalue":{"value":"10.1007/S10107-003-0419-1","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1434072$92695388-1AD5-4943-B24C-34072018E591","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"6442ccbfad052f1f9bf5ff00422bb0234a22ccf7","datavalue":{"value":{"entity-type":"item","numeric-id":3323710,"id":"Q3323710"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"2b4aa7498f24158d8f56a83243cad5f16ccfe6cd","datavalue":{"value":{"amount":"+0.8784199","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1434072$98FFC822-BD7B-474D-A7DC-5A05BE57C1E2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"63a2f21aca9d084da656ab6edb7abc006add5fd8","datavalue":{"value":{"entity-type":"item","numeric-id":4732308,"id":"Q4732308"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"082b3678a1fa0a9e881152b3269a0ab4ccd423d2","datavalue":{"value":{"amount":"+0.86048734","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1434072$E45737EB-FFD2-4B70-A8E1-22A7CEFE08EC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"b2c4bdf93abcf845ad88fa7115bf131d70dc1b44","datavalue":{"value":{"entity-type":"item","numeric-id":3475130,"id":"Q3475130"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"0110a2274fca779262d1175984a2639ad888ff18","datavalue":{"value":{"amount":"+0.84974885","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1434072$855BEED7-9364-4A7D-B10A-DF0FAF88775A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"238fc7cc84701760738bd90c08e826be9c4c6eab","datavalue":{"value":{"entity-type":"item","numeric-id":4286936,"id":"Q4286936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"84ac66c02ccc73c16fe0e4b918b5702900e011b2","datavalue":{"value":{"amount":"+0.84353065","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1434072$8375DF47-42FE-41E4-A5B9-348410686643","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c1f46f0df831c00494a5443f02894dacf1f28118","datavalue":{"value":{"entity-type":"item","numeric-id":3762077,"id":"Q3762077"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"b281ac1e9e7439767603b7a9e2eb3f99c6106ea5","datavalue":{"value":{"amount":"+0.83559936","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1434072$C9FECA57-6E39-44FC-820E-E735B79AD5A4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"72ad21ae34329cbca1aa2d5d381f3fe965360514","datavalue":{"value":{"entity-type":"item","numeric-id":5947821,"id":"Q5947821"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"d9a824c6cdb142727cbeb4a8958b5cc344705124","datavalue":{"value":{"amount":"+0.8339768","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1434072$2B894C66-5422-4602-A571-5429023C7B81","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"cfa51a70d5e9d1d970949d7ce2ed449640c66de7","datavalue":{"value":{"entity-type":"item","numeric-id":3609102,"id":"Q3609102"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ce6ffa9065d04cdcfb0aa735cdf9999a10da183c","datavalue":{"value":{"amount":"+0.8329609","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1434072$13811FEC-0A14-4F33-B452-1B0394C06998","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"cd2f49411911af7ca969ba361563f706fda16a5f","datavalue":{"value":{"entity-type":"item","numeric-id":4035106,"id":"Q4035106"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"163dc10bd1c50660f2511102cfd9b66dd8fe90f0","datavalue":{"value":{"amount":"+0.8307567","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1434072$4A496E43-4F96-4D54-819A-EFAFF8DD454E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"7726eb2c25068d0c0ccce91b4a0da99597b21ea7","datavalue":{"value":{"entity-type":"item","numeric-id":715095,"id":"Q715095"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"6ba2764cf0d07598eb919451a84627047ab067e9","datavalue":{"value":{"amount":"+0.8287296","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1434072$EA2F5853-E19B-4787-99BD-4E0561A1F088","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"8cb2e9175c3547864f098e346e8fa3d577079c7e","datavalue":{"value":{"entity-type":"item","numeric-id":3698647,"id":"Q3698647"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"12ca30a7e9abb51eb626f9d0a74f508450e48748","datavalue":{"value":{"amount":"+0.8284755","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1434072$F0635E07-BC72-43BA-BB2A-C689AD23142F","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:1434072","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:1434072"}}}}}