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math.OC2026
Stability and Dual Valuation of Contingent Claims under Rockafellian Perturbations
Wolfgang Breytmann, Julio Deride, Nicolás Hernández
We study the stability of solutions to the discrete-time contingent-claim problem over a finite investment horizon when uncertainty is modeled by random variables with finite discr…
math.OC2026
Rockafellian relaxation and minimum-norm slack for the Walrasian equilibrium problem
Julio Deride
We propose a Rockafellian relaxation of the Walrasian equilibrium problem for an exchange economy that may not admit one. Market clearing is slackened by a non-negative variable $v…
math.OC2026
On the Value Function of Convex Bolza Problems Governed by Stochastic Difference Equations
Sebastián Álvarez, Julio Deride, Cristopher Hermosilla
In this paper we study the value function of Bolza problems governed by stochastic difference equations, with particular emphasis on the convex non-anticipative case. Our goal is t…