Stochastic programs without duality gaps
Optimization and Control
2011-05-06 v1 Systems and Control
Pricing of Securities
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.
Cite
@article{arxiv.1105.0934,
title = {Stochastic programs without duality gaps},
author = {Teemu Pennanen and Ari-Pekka Perkkiö},
journal= {arXiv preprint arXiv:1105.0934},
year = {2011}
}