6 citations · 13 across the 11 of their papers we have counts for
11 papers · 1 filter
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…
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…
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…
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…
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…