Back to Search Start Over

Stochastic programs without duality gaps

Authors :
Pennanen, Teemu
Perkkiƶ, Ari-Pekka
Publication Year :
2011

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.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1105.0934
Document Type :
Working Paper