Stochastic programs without duality gaps
نویسندگان
چکیده
This 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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ورودعنوان ژورنال:
- Math. Program.
دوره 136 شماره
صفحات -
تاریخ انتشار 2012