Stochastic programming duality: \({\mathcal L}^\infty\) multipliers for unbounded constraints with an application to mathematical finance

DOI10.1007/s10107-003-0419-1zbMath1053.46052OpenAlexW2086443244MaRDI QIDQ1434072

Lisa A. Korf

Publication date: 1 July 2004

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-003-0419-1

zbMATH Keywords

Lagrange multipliersstochastic programmingfundamental theorem of asset pricingduality results

Mathematics Subject Classification ID

Related Items (5)

Sequential Bounding Methods for Two-Stage Stochastic Programs ⋮ On duality theory of convex semi-infinite programming ⋮ Some convex programs without a duality gap ⋮ Epi-convergent discretizations of stochastic programs via integration quadratures ⋮ Gain-loss pricing under ambiguity of measure

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