Convex Stochastic Duality and the "Biting Lemma"

Igor Evstigneev and Sjur Flåm

Norway; Department of Economics, University of Bergen from Department of Economics, University of Bergen

Abstract: A standard approach to duality in stochastic optimization problems with constraints in L(infinite) relies upon the Yosida-Hewitt theorem. We develop an alternative technique which employs only "elementary" means. The technique is based on an e-regularization of the original problem and on passing to the limit as e --> 0 with the help of a simple measure-theoretic fact-the biting lemma.

Keywords: STOCHASTIC MODELS; MATHEMATICAL ANALYSIS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C60 C61 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:fth:bereco:0300

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