Add to ORKGThis article studies convex duality in stochastic optimization over fi-nite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objective in many applications in operations research and mathematical finance. The second part de-rives optimality conditions by combining general saddle-point conditions from convex duality with the dual representations obtained in the first part of the paper. Several applications to stochastic optimization and mathematical finance are given.
This book provides a concise introduction to convex duality in financial mathematics. Convex duality...
Many topics in Actuarial and Financial Mathematics lead to Minimax or Maximin problems (risk measure...
We consider a new class of optimization problems involving stochastic dominance constraints of secon...
This article studies convex duality in stochastic optimization over fi-nite discrete-time. The first...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
This paper studies duality and optimality conditions for general convex stochastic optimization prob...
This paper proposes a general duality framework for the problem of minimizing a convex integral func...
This paper proposes a general duality framework for the problem of minimizing a convex integral func...
This textbook provides an introduction to convex duality for optimization problems in Banach spaces,...
This paper proposes a general duality framework for the problem of minimizing a convex integral func...
This paper proposes a general duality framework for the problem of minimizing a convex integral func...
This book provides a concise introduction to convex duality in financial mathematics. Convex duality...
Many topics in Actuarial and Financial Mathematics lead to Minimax or Maximin problems (risk measure...
We consider a new class of optimization problems involving stochastic dominance constraints of secon...
This article studies convex duality in stochastic optimization over fi-nite discrete-time. The first...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
This article studies convex duality in stochastic optimization over finite discrete-time. The first ...
This paper studies duality and optimality conditions for general convex stochastic optimization prob...
This paper proposes a general duality framework for the problem of minimizing a convex integral func...
This paper proposes a general duality framework for the problem of minimizing a convex integral func...
This textbook provides an introduction to convex duality for optimization problems in Banach spaces,...
This paper proposes a general duality framework for the problem of minimizing a convex integral func...
This paper proposes a general duality framework for the problem of minimizing a convex integral func...
This book provides a concise introduction to convex duality in financial mathematics. Convex duality...
Many topics in Actuarial and Financial Mathematics lead to Minimax or Maximin problems (risk measure...
We consider a new class of optimization problems involving stochastic dominance constraints of secon...