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Minimizing a stochastic convex function subject to stochastic constraints and some applications

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  • Jacobovic, Royi
  • Kella, Offer

Abstract

In the simplest case, we obtain a general solution to a problem of minimizing an integral of a nondecreasing right continuous stochastic process from zero to some nonnegative random variable τ, under the constraints that for some nonnegative random variable T, τ∈[0,T] almost surely and Eτ=α (or Eτ≤α) for some α. The nondecreasing process and T are allowed to be dependent. In fact a more general setup involving σ finite measures, rather than just probability measures is considered and some consequences for families of stochastic processes are given as special cases. Various applications are provided.

Suggested Citation

  • Jacobovic, Royi & Kella, Offer, 2020. "Minimizing a stochastic convex function subject to stochastic constraints and some applications," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 7004-7018.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:11:p:7004-7018
    DOI: 10.1016/j.spa.2020.07.006
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    References listed on IDEAS

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