Lisa A. Korf  Home/Search
Context
Related
| washington.edu/~korf/PSfil...krfdua.pdf Cached: PS.gz PS PDF This document uses CoBlitz to cache paper downloads. If your firewall is blocking outgoing connections to port 3125, you can use these links to download local copies.
Image Update HelpPS.gz PS PDF From: washington.edu/~korf/abstracts (more) (Enter author homepages) |
Rate this article:      (best)Comment on this article |
Abstract: A new duality theory is developed for a class of stochastic programs in which the probability distribution is not necessarily discrete. This provides a new framework for problems which are not necessarily bounded, are not required to have relatively complete recourse, and do not satisfy the typical Slater condition of strict feasibility. These problems instead satisfy a di#erent constraint qualification called `direction-free feasibility' to deal with possibly unbounded constraint sets, and... (Update)
Active bibliography (related documents): More All
2.7: Martingale Pricing Measures in Incomplete Markets via.. - King, Korf (2002) (Correct)
0.5: Stability in Multistage Stochastic Programming - Fiedler, Römisch (1995) (Correct)
0.5: Essential Smoothness, Essential Strict Convexity, and.. - Bauschke, Borwein.. (Correct)
Similar documents based on text: More All
0.5: An Approximation Framework For Infinite - Horizon Stochastic Dynamic (Correct)
0.3: Insurer's Portfolios of Risks: Approximating Infinite Horizon.. - Korf (1998) (Correct)
0.3: The Fundamental Theorem Of Asset Pricing For Unbounded.. - Delbaen, Schachermayer (1996) (Correct)
BibTeX entry: (Update)
@misc{ korf-stochastic,
author = "Lisa A. Korf",
title = "Stochastic Programming Duality: L∞ Multipliers for Unbounded Constraints
with an Application to Mathematical Finance",
url = "citeseer.ist.psu.edu/596197.html" }
Citations (may not include all citations):110 Variational Analysis (context) - Rockafellar, J-B - 1998
61 A general version of the fundamental theorem of asset pricin.. (context) - Delbaen, Schachermayer - 1994
33 Conjugate Duality and Optimization (context) - Rockafellar - 1974
14 Minimax theorems (context) - Fan - 1953
14 Martingale measures for discrete-time processes with infinit.. - Schachermayer - 1994
6 Stochastic convex programming: basic duality (context) - Rockafellar, J-B - 1976
5 Duality for stochastic programming interpreted as L (context) - Eisner, Olsen - 1975
3 martingales in stochastic optimization problems (context) - Rockafellar, J-B et al. - 1976
2 Stochastic convex programming: singular multipliers and exte.. (context) - Rockafellar, J-B - 1976
2 Duality and martingales: a mathematical programming perspect.. (context) - King - 2000
2 Minimax and Monotonicity (context) - Simons - 1998
2 The optimal recourse problem in discrete time: -multipliers .. (context) - Rockafellar, J-B - 1978
2 Stochastic convex programming: relatively complete recourse .. (context) - Rockafellar, J-B - 1976
1 A new approach to Lagrange multipliers (context) - Clark - 1976
1 Contingent claims analysis from an optimization viewpoint (context) - King, Korf - 2000
Documents on the same site (http://www.math.washington.edu/~korf/abstracts.html): More
Insurer's Portfolios of Risks: Approximating Infinite Horizon.. - Korf (1998) (Correct)
An Approximation Framework For Infinite - Horizon Stochastic Dynamic (Correct)
Martingale Pricing Measures in Incomplete Markets via.. - King, Korf (2002) (Correct)
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC