Nonsmooth continuous-time optimization problems: necessary conditions

Nonsmooth Continuous-Time Multiobjective Optimization Problems with Invexity

A few Karush-Kuhn-Tucker type of sufficient optimality conditions are given in this paper for nonsmooth continuous-time nonlinear multi-objective optimization problems in the Banach space L∞ [0, T ] of all n-dimensional vector-valued Lebesgue measurable functions which are essentially bounded, using Clarke regularity and generalized convexity. Further, we establish duality theorems for Wolfe an...

Some Results on Necessary Conditions for Tow Quasidifferentiable Optimization Problems

On Necessary Conditions for Nonlipschitz Optimization Problems

In this paper, we establish a nessary condition for nonlipschitz constrained optimization problems in terms of Fréchet subdifferentials and normal cones in Asplund spaces.

Necessary Conditions for Constrained Optimization Problems with Semicontinuous and Continuous Data

We consider nonsmooth constrained optimization problems with semicontinuous and continuous data in Banach space and derive necessary conditions without constraint qualification in terms of smooth subderivatives and normal cones. These results, in different versions, are set in reflexive and smooth Banach spaces.

Continuous time portfolio optimization

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...