Duality and Optimality Conditions in Stochastic Optimization and Mathematical Finance

被引：0

作者：

Biagini, Sara ^{[1
]}

Pennanen, Teemu ^{[2
]}

Perkkioe, Ari-Pekka ^{[3
]}

机构：

[1] LUISS, Dept Econ & Finanza, Viale Romania 32, I-00197 Rome, Italy

[2] Kings Coll London, Dept Math, Strand Bldg, London WC2R 2LS, England

[3] Tech Univ Berlin, Dept Math, Str 17 Juni 136, D-10623 Berlin, Germany

来源：

JOURNAL OF CONVEX ANALYSIS | 2018年 / 25卷 / 02期

关键词：

Stochastic optimization; convex duality; optimality conditions; UTILITY MAXIMIZATION; INCOMPLETE MARKETS; DISCRETE-TIME; OPTIMAL INVESTMENT;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objective in many applications in operations research and mathematical finance. The second part derives optimality conditions by combining general saddle-point conditions from convex duality with the dual representations obtained in the first part of the paper. Several applications to stochastic optimization and mathematical finance are given.

引用

页码：403 / 420

页数：18

共 26 条

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