Stochastic programs without duality gaps
dc.contributor.author | Pennanen, Teemu | |
dc.contributor.author | Perkkiö, Ari-Pekka | |
dc.contributor.editor | Higle, Julie L. | |
dc.contributor.editor | Römisch, Werner | |
dc.contributor.editor | Sen, Surrajeet | |
dc.date.accessioned | 2017-06-16T20:24:55Z | |
dc.date.available | 2017-06-16T20:24:55Z | |
dc.date.created | 2011-08-31 | |
dc.date.issued | 2011-08-02 | |
dc.date.submitted | 2011-05-04 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/9069 | |
dc.description.abstract | 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 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.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject.ddc | 510 Mathematik | |
dc.title | Stochastic programs without duality gaps | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-100191779 | |
dc.identifier.doi | http://dx.doi.org/10.18452/8417 | |
local.edoc.pages | 20 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
dc.identifier.zdb | 2936317-2 | |
bua.series.name | Stochastic Programming E-Print Series | |
bua.series.issuenumber | 2011,1 |