Stochastic programs without duality gaps

Details Stochastic programs without duality gaps Stochastic programs without duality gaps

2011-05-04

arxiv.org/abs/1105.0934v1

Mathematics

Optimization and Control

Scientific paper

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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