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Stochastic programs without duality gaps

Teemu Pennanen(teemu.pennanen***at***tkk.fi)
Ari-Pekka Perkki\(aperkkio***at***math.hut.fi)

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.

Keywords: stochastic programming, convex duality, dynamic programming

Category 1: Stochastic Programming


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Entry Submitted: 05/04/2011
Entry Accepted: 05/04/2011
Entry Last Modified: 05/04/2011

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