Stochastic programs without duality gaps for objectives without a lower bound
نویسنده
چکیده
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove the existence of solutions and the absence of a duality gap under conditions that relax the boundedness assumption made by Pennanen and Perkkiö in [Stochastic programs without duality gaps, Math. Program., 136(1):91–110,2012]. We apply the result to a utility maximization problem with an unbounded utility.
منابع مشابه
Stochastic programs without duality gaps
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 tha...
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