Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems

Gauthier de MAERE d'AERTRYCKE, Alexander Shapiro and Yves Smeers

No 2552, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2013-01-01
Note: In : Mathematical Methods of Operations Research, 77(3), 393-405, 2013
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