Stochastic programs without duality gaps

DOI10.1007/S10107-012-0552-9zbMath1274.90247arXiv1105.0934OpenAlexW1654230272MaRDI QIDQ1925782

Ari-Pekka Perkkiö, Teemu Pennanen

Publication date: 19 December 2012

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.0934

zbMATH Keywords

parametric optimizationstochastic programmingdynamic programmingconvex dualityfinancial application

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Dynamic programming (90C39) Duality theory for topological vector spaces (46A20)

Related Items (20)

Robust Utility Maximization in Discrete-Time Markets with Friction ⋮ Multiple-priors optimal investment in discrete time for unbounded utility function ⋮ On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ Shadow price of information in discrete time stochastic optimization ⋮ Convex duality in nonlinear optimal transport ⋮ Parameter-dependent stochastic optimal control in finite discrete time ⋮ A convex duality approach for pricing contingent claims under partial information and short selling constraints ⋮ Unnamed Item ⋮ Management of a hydropower system via convex duality ⋮ Convex duality in optimal investment under illiquidity ⋮ Pricing without no-arbitrage condition in discrete time ⋮ Existence of solutions in non-convex dynamic programming and optimal investment ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ Nonconcave robust optimization with discrete strategies under Knightian uncertainty ⋮ Introduction to convex optimization in financial markets ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Structure of risk-averse multistage stochastic programs ⋮ Duality and optimality conditions in stochastic optimization and mathematical finance ⋮ Log-optimal and rapid paths in von Neumann-Gale dynamical systems ⋮ Topological duals of locally convex function spaces

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