{
  "id": "1105.0934",
  "version": "v1",
  "published": "2011-05-04T20:31:08.000Z",
  "updated": "2011-05-04T20:31:08.000Z",
  "title": "Stochastic programs without duality gaps",
  "authors": [
    "Teemu Pennanen",
    "Ari-Pekka Perkkiö"
  ],
  "categories": [
    "math.OC",
    "cs.SY",
    "q-fin.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2011-05-04T20:31:08.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "duality gap",
      "stochastic programs",
      "studies dynamic stochastic optimization problems",
      "paper studies dynamic stochastic optimization"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2011arXiv1105.0934P"
    }
  }
}