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Convex Stochastic Duality and the "Biting Lemma"

Author

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  • Evstigneev, I.V.
  • Flam, S.D.

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.

Suggested Citation

  • Evstigneev, I.V. & Flam, S.D., 2000. "Convex Stochastic Duality and the "Biting Lemma"," Norway; Department of Economics, University of Bergen 0300, Department of Economics, University of Bergen.
  • Handle: RePEc:fth:bereco:0300
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    Keywords

    STOCHASTIC MODELS ; MATHEMATICAL ANALYSIS ; ECONOMETRICS;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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