Stochastic programming duality: ℒ ∞ multipliers for unbounded constraints with an application to mathematical finance

Mathematical Programming

Volumn 99, Issue 2, 2004, Pages 241-259

  Korf, Lisa A ^a  

^a Department of Mathematics ^*  (United States)

Author keywords

Arbitrage; Duality; Fundamental theorem of asset pricing; Lagrange multipliers; Stochastic programming

Indexed keywords

ARBITRAGE; CONSTRAINT SETS; DUALITY; FUNDAMENTAL THEOREM OF ASSET PRICING;

COMPUTATIONAL COMPLEXITY; CONSTRAINT THEORY; FUNCTION EVALUATION; LAGRANGE MULTIPLIERS; MATHEMATICAL MODELS; MATRIX ALGEBRA; THEOREM PROVING; VECTORS;

STOCHASTIC PROGRAMMING;

EID: 15544384542     PISSN: 00255610     EISSN: 14364646     Source Type: Journal    
DOI: 10.1007/s10107-003-0419-1     Document Type: Article

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