Convex duality in continuous-time stochastic optimization

Ari-Pekka Perkkio, Technische Universitat Berlin, Germany

Abstract:
This talk adresses convex stochastic optimization problems by embedding them in the general conjugate duality framework of Rockafellar. We give applications to stochastic optimal control and mathematical finance for which we prove the existence of solutions and the absence of a duality gap.

Aalto Stochastics & Statistics Seminar
Mon 17 Nov 2014, 16:15
Lecture Hall M2, Otakaari 1, Espoo