Friday, 15:45 - 16:10 h, Room: H 3021


Ari-Pekka Perkkiƶ
Stochastic programs without duality gaps

Coauthor: Teemu Pennanen


This talk is on dynamic stochastic optimization problems parameterized 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.


Talk 2 of the invited session Fri.3.H 3021
"Optimization in financial markets" [...]
Cluster 7
"Finance & economics" [...]


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