activity
20082026
most citedStochastic modeling of assets and liabilities with mortality risk

94 citations · 145 across the 20 of their papers we have counts for

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Showing 2015Show all

2 papers · 1 filter

math.PR2015

Convex integral functionals of regular processes

Teemu Pennanen, Ari-Pekka Perkkiö

This article gives dual representations for convex integral functionals on the linear space of regular processes. This space turns out to be a Banach space containing many more fam…

math.OC2015★ 3 cited

Duality and optimality conditions in stochastic optimization and mathematical finance

Sara Biagini, Teemu Pennanen, Ari-Pekka Perkkiö

This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for t…