Stochastic programs without duality gaps

DOI10.1007/S10107-012-0552-9zbMATH Open1274.90247arXiv1105.0934OpenAlexW1654230272MaRDI QIDQ1925782FDOQ1925782

Ari-Pekka Perkkiö, Teemu Pennanen

Publication date: 19 December 2012

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

Abstract: This paper studies dynamic stochastic optimization problems parametrized by a random variable. Such problems arise in many applications in operations research and mathematical finance. We give sufficient conditions for the existence of solutions and the absence of a duality gap. Our proof uses extended dynamic programming equations, whose validity is established under new relaxed conditions that generalize certain no-arbitrage conditions from mathematical finance.

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

zbMATH Keywords

dynamic programmingconvex dualitystochastic programmingparametric optimizationfinancial application

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Convex Analysis
• Convex analysis and measurable multifunctions
• Stochastic finance. An introduction in discrete time
• Dynamic programming and stochastic control
• Stochastic optimal control. The discrete time case
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Dual representation of superhedging costs in illiquid markets
• The mathematics of arbitrage
• Markets with transaction costs. Mathematical theory.
• Hedging and liquidation under transaction costs in currency markets
• Hedging of Claims with Physical Delivery under Convex Transaction Costs
• A functional version of the Birkhoff ergodic theorem for a normal integrand: A variational approach
• Convex duality in stochastic optimization and mathematical finance
• On utility maximization in discrete-time financial market models
• Arbitrage and deflators in illiquid markets
• Measurable Selection and Dynamic Programming
• Regular Conditional Expectations of Correspondences
• Intégrales convexes et probabilités
• Convex integrands on Souslin locally convex spaces
• Conditional expectation of integrands and random sets

Cited In (21)

• Convex duality in nonlinear optimal transport
• Optimal investment and contingent claim valuation in illiquid markets
• Management of a hydropower system via convex duality
• Multiple-priors optimal investment in discrete time for unbounded utility function
• Topological duals of locally convex function spaces
• Nonconcave robust optimization with discrete strategies under Knightian uncertainty
• Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs
• A convex duality approach for pricing contingent claims under partial information and short selling constraints
• Structure of risk-averse multistage stochastic programs
• Title not available (Why is that?)
• Duality and optimality conditions in stochastic optimization and mathematical finance
• Pricing without no-arbitrage condition in discrete time
• Convex duality in optimal investment under illiquidity
• Robust Utility Maximization in Discrete-Time Markets with Friction
• Log-optimal and rapid paths in von Neumann-Gale dynamical systems
• Introduction to convex optimization in financial markets
• Convex duality in optimal investment and contingent claim valuation in illiquid markets
• On the game interpretation of a shadow price process in utility maximization problems under transaction costs
• Parameter-dependent stochastic optimal control in finite discrete time
• Existence of solutions in non-convex dynamic programming and optimal investment
• Shadow price of information in discrete time stochastic optimization

This page was built for publication: Stochastic programs without duality gaps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1925782)