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arXiv · 1408.5270

Stochastic programs without duality gaps for objectives without a lower bound

Ari-Pekka Perkkiö
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Abstract

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.

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Ari-Pekka Perkkiö. 2014-08-22. Stochastic programs without duality gaps for objectives without a lower bound. https://arxiv.org/abs/1408.5270

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