Duality and optimality conditions in stochastic optimization and mathematical finance

zbMath1408.90208arXiv1504.06683MaRDI QIDQ4642612

Ari-Pekka Perkkiö, Teemu Pennanen, Sara Biagini

Publication date: 23 May 2018

Full work available at URL: https://arxiv.org/abs/1504.06683

zbMATH Keywords

stochastic optimizationoptimality conditionsconvex duality

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15) Convex functions and convex programs in convex geometry (52A41)

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