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Main Title: Shadow price of information in discrete time stochastic optimization
Author(s): Pennanen, Teemu
Perkkiö, Ari-Pekka
Type: Article
Language Code: en
Abstract: The shadow price of information has played a central role in stochastic optimization ever since its introduction by Rockafellar and Wets in the mid-seventies. This article studies the concept in an extended formulation of the problem and gives relaxed sufficient conditions for its existence. We allow for general adapted decision strategies, which enables one to establish the existence of solutions and the absence of a duality gap e.g. in various problems of financial mathematics where the usual boundedness assumptions fail. As applications, we calculate conjugates and subdifferentials of integral functionals and conditional expectations of normal integrands. We also give a dual form of the general dynamic programming recursion that characterizes shadow prices of information.
Issue Date: 2017
Date Available: 29-Aug-2017
DDC Class: 510 Mathematik
Subject(s): stochastic optimization
shadow price of information
dynamic programming
Journal Title: Mathematical programming
Publisher: Springer
Publisher Place: Berlin, Heidelberg
Publisher DOI: 10.1007/s10107-017-1163-2
EISSN: 1436-4646
ISSN: 0025-5610
Appears in Collections:FG Finanzmathematik » Publications

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