6 citations · 13 across the 11 of their papers we have counts for
19 papers
Optimal Operation and Valuation of Electricity Storages in Intraday Markets
Jean-Philippe Chancelier, Michel de Lara, François Pacaud +3
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices…
Optimal Operation and Valuation of Electricity Storages
Jean-Philippe Chancelier, Michel De Lara, François Pacaud +2
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices…
Dynamic programming in convex stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies the dynamic programming principle for general convex stochastic optimization problems introduced by Rockafellar and Wets in [30]. We extend the applicability of…
Topological duals of Banach function spaces
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies topological duals of Banach function spaces (BFS). We assume a finite measure but our arguments extend to general locally convex function spaces whose topology i…
Convex integral functionals of cadlag processes
Ari-Pekka Perkkiö, Erick Treviño-Aguilar
This article characterizes conjugates and subdifferentials of convex integral functionals over linear spaces of cadlag stochastic processes. The approach is based on new measurabil…
Optimal stopping without Snell envelopes
Teemu Pennanen, Ari-Pekka Perkkiö
This paper proves the existence of optimal stopping times via elementary functional analytic arguments. The problem is first relaxed into a convex optimization problem over a close…
Dual spaces of cadlag processes
Teemu Pennanen, Ari-Pekka Perkkiö
This article characterizes topological duals of spaces of cadlag processes. We obtain extensions of functional analytic results of Dellacherie and Meyer that underlie many fundamen…
Convex duality in nonlinear optimal transport
Teemu Pennanen, Ari-Pekka Perkkiö
This article studies problems of optimal transport, by embedding them in a general functional analytic framework of convex optimization. This provides a unified treatment of a larg…
Conjugates of integral functionals on continuous functions
Ari-Pekka Perkkiö
This article gives necessary and sufficient conditions for the dual representation of Rockafellar in (Integrals which are convex functionals. II, Pacific J. Math., 39:439--469, 197…
Convex integral functionals of processes of bounded variation
Teemu Pennanen, Ari-Pekka Perkkiö
This article characterizes conjugates and subdifferentials of convex integral functionals over the linear space of stochastic processes of essentially bounded v…
The Scaling Limit of Superreplication Prices with Small Transaction Costs in the Multivariate Case
Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö
Kusuoka [ Limit Theorem on Option Replication Cost with Transaction Costs, Ann. Appl. Probab. 5, 198--221, (1995).] showed how to obtain non-trivial scaling limits of superreplicat…
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…
Optional and predictable projections of normal integrands and convex-valued processes
Matti Kiiski, Ari-Pekka Perkkiö
This article studies optional and predictable projections of integrands and convex-valued stochastic processes. The existence and uniqueness are shown under general conditions that…
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…
Non-convex dynamic programming and optimal investment
Teemu Penannen, Ari-Pekka Perkkiö, Miklós Rásonyi
We establish the existence of minimizers in a rather general setting of dynamic stochastic optimization without assuming either convexity or coercivity of the objective function. W…
Stochastic programs without duality gaps for objectives without a lower bound
Ari-Pekka Perkkiö
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove…
Duality in convex problems of Bolza over functions of bounded variation
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies convex problems of Bolza in the conjugate duality framework of Rockafellar. We parameterize the problem by a general Borel measure which has direct economic inte…
Continuous essential selections and integral functionals
Ari-Pekka Perkkiö
Given a strictly positive measure, we characterize inner semicontinuous solid convex-valued mappings for which continuous functions which are selections almost everywhere are selec…
Stochastic programs without duality gaps
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies dynamic stochastic optimization problems parametrized by a random variable. Such problems arise in many applications in operations research and mathematical fina…