We provide an explicit gradient formula for linear chance constraints under a (possibly singular) multivariate Gaussian distribution. This formula allows one to reduce the calculus of gradients to the calculus of values ...

This paper studies dynamic stochastic optimization problems parametrizedby a random variable. Such problems arise in many applications in operations research and mathematical finance. We give sufficient conditionsfor the ...

We provide a new identity for the multistage Average Value-at-Risk. The identity is based on the conditional Average Value-at-Risk at random level, which is introduced. It is of interest in situations, where the information ...