6 citations · 13 across the 11 of their papers we have counts for
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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…
math.OC2015★ 2 cited
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…