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arXiv · 1006.4083

Convex duality in stochastic programming and mathematical finance

Teemu Pennanen
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Abstract

This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies many well-known duality frameworks from operations research and mathematical finance. The unification allows the extension of some useful techniques from these two fields to a much wider class of problems. In particular, combining certain finite-dimensional techniques from convex analysis with measure theoretic techniques from mathematical finance, we are able to close the duality gap in some situations where traditional topological arguments fail.

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Teemu Pennanen. 2010-06-21. Convex duality in stochastic programming and mathematical finance. https://arxiv.org/abs/1006.4083

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