Stochastic programs without duality gaps

Teemu Pennanen and Ari-Pekka Perkki\"o

Papers from arXiv.org

Abstract: This paper studies dynamic stochastic optimization problems parametrized by a random variable. Such problems arise in many applications in operations research and mathematical finance. We give sufficient conditions for the existence of solutions and the absence of a duality gap. Our proof uses extended dynamic programming equations, whose validity is established under new relaxed conditions that generalize certain no-arbitrage conditions from mathematical finance.

Date: 2011-05
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1105.0934

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