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2001-07-26Buch DOI: 10.18452/8260
Stochastic programming duality
dc.contributor.authorKorf, Lisa A.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:44:27Z
dc.date.available2017-06-16T19:44:27Z
dc.date.created2006-02-16
dc.date.issued2001-07-26
dc.date.submitted2001-05-26
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8912
dc.description.abstractA new duality theory is developed for a class of stochastic programs in which the probability distribution is not necessarily discrete. This provides a new framework for problems which are not necessarily bounded, are not required to have relatively complete recourse, and do not satisfy the typical Slater condition of strict feasibility. These problems instead satisfy a different constraint qualification called "direction-free feasibility" to deal with possibly unbounded constaint sets, and "calmness" of a certain finite-dimensional value function to serve as a weaker condition than strict feasibility to obtain the existence of dual mulitpliers. In this way, strong duality results are established in which the dual variables are finite-dimensional, despite the possible intinite-dimensional character of the second-stage constraints. From this, infinite-dimensional dual problems are obtained in the space of essentially bounded functions. It is then shown how this framework could be used to ontain duality result in the setting of mathematical finance.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectarbitrageeng
dc.subjectstochastic programmingeng
dc.subjectdualityeng
dc.subjectLagrange multiplierseng
dc.subjectfundamental theorem of asset pricingeng
dc.subject.ddc510 Mathematik
dc.titleStochastic programming duality
dc.typebook
dc.subtitleL ∞ multipliers with an application to mathematical finance
dc.identifier.urnurn:nbn:de:kobv:11-10058217
dc.identifier.urnurn:nbn:de:kobv:11-10058226
dc.identifier.doihttp://dx.doi.org/10.18452/8260
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages22
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2001
local.edoc.container-issue9
local.edoc.container-erstkatid2936317-2

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