| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): | Teemu Pennanen, University of Jyväskyla | Title: | Stochastic programs without duality gaps |
| Date of Acceptance: | 02.08.2011 |
| Submission Date: | 04.05.2011 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Complete Preprint: | pdf (urn:nbn:de:kobv:11-100191779) |
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| 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. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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