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2011-08-02Buch DOI: 10.18452/8417
Stochastic programs without duality gaps
dc.contributor.authorPennanen, Teemu
dc.contributor.authorPerkkiö, Ari-Pekka
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:24:55Z
dc.date.available2017-06-16T20:24:55Z
dc.date.created2011-08-31
dc.date.issued2011-08-02
dc.date.submitted2011-05-04
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9069
dc.description.abstractThis 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 existence of solutions and the absence of a duality gap. Our proofuses extended dynamic programming equations, whose validity is established under new relaxed conditions that generalize certain no-arbitrageconditions from mathematical finance.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subject.ddc510 Mathematik
dc.titleStochastic programs without duality gaps
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100191779
dc.identifier.doihttp://dx.doi.org/10.18452/8417
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages20
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue1
local.edoc.container-erstkatid2936317-2

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