Convex Stochastic Duality and the "Biting Lemma".

A standard approach to duality in stochastic optimization problems with constraints in L(infinite) relies upon the Yosida-Hewitt theorem. We develop an alternative technique which employs only "elementary" means. The technique is based on an e-regularization of the original problem and on passing to the limit as e --> 0 with the help of a simple measure-theoretic fact-the biting lemma.

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Year of publication:	2000
Authors:	Evstigneev, I.V. ; Flam, S.D.
Institutions:	Institutt for Økonomi, Universitetet i Bergen
Subject:	STOCHASTIC MODELS \| MATHEMATICAL ANALYSIS \| ECONOMETRICS

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Series:	Norway; Department of Economics, University of Bergen.
Type of publication:	Book / Working Paper
Notes:	12 pages
Classification:	C60 - Mathematical Methods and Programming. General ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005487288