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Stochastic Programming: Non-Anticipativity and Lagrange Multipliers

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Author Info

  • Evstigneev, I.V.
  • Flam, S.D.

Abstract

Introduction: Decision making under uncertainty can often be formalized as a stochastic program, constrained not merely in material terms, but also by limited information. The former type of constraints, accounting for material bound, is usually described by inequalities required to hold almost surely. The latter type, reflecting informational restrictions, often assumes the form of linear equations involving conditional expectation operators...

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Bibliographic Info

Paper provided by Department of Economics, University of Bergen in its series Norway; Department of Economics, University of Bergen with number 1100.

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Length: 7 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:bereco:1100

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Postal: Department of Economics, University of Bergen Fosswinckels Gate 6. N-5007 Bergen, Norway
Phone: (+47)55589200
Fax: (+47)55589210
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Web page: http://www.uib.no/econ/
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Related research

Keywords: LAGRANGE MULTIPLIERS ; STOCHATIQUE PROGRAMS;

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Cited by:
  1. Borglin, Anders & Flåm, Sjur, 2007. "Risk Exchange as a Market or Production Game," Working Papers 2007:16, Lund University, Department of Economics.
  2. S. D. Flåm. & L. Koutsougeras, 2007. "Private information, transferable utility,and the core," The School of Economics Discussion Paper Series 0703, Economics, The University of Manchester.
  3. Flåm, S. D. & Ermoliev, Y. M., 2009. "Investment, uncertainty, and production games," Environment and Development Economics, Cambridge University Press, vol. 14(01), pages 51-66, February.

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