scientific article; zbMATH DE number 4012321

MaRDI QIDQ3762077zbMATH OpenFDO

Authors V. P. Kirlitsa

Publication date 1985

zbMATH Keywords

probabilistic constraintsstochastic linear program

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

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• Stochastic programming duality: \({\mathcal L}^\infty\) multipliers for unbounded constraints with an application to mathematical finance
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• Robust two-stage stochastic linear programs with moment constraints

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