Wittmüß, Wiebke - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
function for this problem is given
and then we examine properties and relations between primal and dual problem, e.g. we will ….3] for Q ∼ P since then vQ and uQ satisfy the duality
relations. We have v(y) ≤ ˜v(y) as DQ ⊂ D for Q ≪ P. Since Zα ∈ Ze … convexity. Observe that the righthand side of the equation goes to v(y) as α goes to 0.
Due to the duality relations we have …