Stochastic programs without duality gaps
AbstractThis 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1105.0934.
Date of creation: May 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-14 (All new papers)
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