|edoc-Server der Humboldt-Universität zu Berlin|
|Author(s):||Teemu Pennanen, Aalto University||Title:||Convex duality in stochastic programming and mathematical finance|
|Date of Acceptance:||25.08.2010|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-100174221)|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.|
|This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given ﬁltration. The framework uniﬁes many well-known duality frameworks from operations research and mathematical ﬁnance. The uniﬁcation allows the extension of some useful techniques from these two ﬁelds to a much wider class of problems. In particular, combining certain ﬁnite-dimensional techniques from convex analysis with measure theoretic techniques from mathematical ﬁnance, we are able to close the duality gap in some situations where traditional topological arguments fail.|
These data concerning access statistics for individual documents
have been compiled using the webserver log files aggregated by AWSTATS.
They refer to a monthly access count to the full text documents as well as to the entry page.
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Gesamtzahl der Zugriffe seit May 2011: