1 citations · 1 across the 4 of their papers we have counts for
5 papers
Dynamic programming and dimensionality in convex stochastic optimization and control
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies stochastic optimization problems and associated Bellman equations in formats that allow for reduced dimensionality of the cost-to-go functions. In particular, we…
Dual solutions in convex stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies duality and optimality conditions for general convex stochastic optimization problems. The main result gives sufficient conditions for the absence of a duality g…
Michael selections and Castaing representations with cadlag functions
Ari-Pekka Perkkiö, Erick Treviño-Aguilar
Michael's selection theorem implies that a closed convex nonempty-valued mapping from the Sorgenfrey line to a euclidean space is inner semicontinuous if and only if the mapping ca…
Optional projection under equivalent local martingale measures
Francesca Biagini, Andrea Mazzon, Ari-Pekka Perkkiö
Motivation for this paper is to understand the impact of information on asset price bubbles and perceived arbitrage opportunities. This boils down to study optional projections of…
Convex duality in optimal investment and contingent claim valuation in illiquid markets
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constr…