Duality in convex stochastic optimization

DOI10.1007/S10107-025-02216-1MaRDI QIDQ6873504zbMATH OpenFDO

Authors Teemu Pennanen, Ari-Pekka Perkkiö

Publication date 16 January 2026

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10107-025-02216-1

zbMATH Keywords

convex dualityfinancial mathematicsstochastic optimal controlstochastic programming

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Stochastic programming (90C15) Optimality conditions and duality in mathematical programming (90C46) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites work

• A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• Arbitrage and deflators in illiquid markets
• Convex Analysis
• Convex duality in optimal investment and contingent claim valuation in illiquid markets
• Convex duality in stochastic optimization and mathematical finance
• Deterministic and stochastic optimization problems of bolza type in discrete time
• Dual solutions in convex stochastic optimization
• Duality and optimality conditions in stochastic optimization and mathematical finance
• Existence of solutions in non-convex dynamic programming and optimal investment
• Hedging and liquidation under transaction costs in currency markets
• Hedging of claims with physical delivery under convex transaction costs
• scientific article; zbMATH DE number 3465097 (Why is no real title available?)
• scientific article; zbMATH DE number 3498608 (Why is no real title available?)
• scientific article; zbMATH DE number 3508241 (Why is no real title available?)
• scientific article; zbMATH DE number 3588383 (Why is no real title available?)
• scientific article; zbMATH DE number 3799545 (Why is no real title available?)
• scientific article; zbMATH DE number 934464 (Why is no real title available?)
• scientific article; zbMATH DE number 1393065 (Why is no real title available?)
• scientific article; zbMATH DE number 3383753 (Why is no real title available?)
• scientific article; zbMATH DE number 7733457 (Why is no real title available?)
• Integrals which are convex functionals
• Measurable Selection and Dynamic Programming
• Model-independent bounds for option prices -- a mass transport approach
• On utility maximization in discrete-time financial market models
• Shadow price of information in discrete time stochastic optimization
• Stochastic finance. An introduction in discrete time.
• Stochastic multi-stage optimization. At the crossroads between discrete time stochastic control and stochastic programming
• Stochastic programs without duality gaps
• Superhedging in illiquid markets
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• The Optimal Recourse Problem in Discrete Time: L^1 -Multipliers for Inequality Constraints
• Topological duals of locally convex function spaces
• Variational Analysis

This page was built for publication: Duality in convex stochastic optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6873504)