Stochastic programming duality: \({\mathcal L}^\infty\) multipliers for unbounded constraints with an application to mathematical finance

DOI10.1007/s10107-003-0419-1zbMath1053.46052OpenAlexW2086443244MaRDI QIDQ1434072

Publication date: 1 July 2004

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

Full work available at URL: https://doi.org/10.1007/s10107-003-0419-1

zbMATH Keywords

Lagrange multipliers stochastic programming fundamental theorem of asset pricing duality results

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (5)

Sequential Bounding Methods for Two-Stage Stochastic Programs ⋮ On duality theory of convex semi-infinite programming ⋮ Some convex programs without a duality gap ⋮ Epi-convergent discretizations of stochastic programs via integration quadratures ⋮ Gain-loss pricing under ambiguity of measure

This page was built for publication: Stochastic programming duality: \({\mathcal L}^\infty\) multipliers for unbounded constraints with an application to mathematical finance