Pennanen Teemu

Teemu Pennanen

Information about the author Teemu Pennanen will soon be added to the site.
Found 4 papers in total
Convex Duality in Stochastic Optimization and Mathematical Finance
Convex Duality in Stochastic Optimization and Mathematical Finance
2011
This paper proposes a general duality framework for the problem of minimizing a convex...
A stochastic programming model for asset liability management of a Finnish pension company
A stochastic programming model for asset liability management of a Finnish pension company
2007
This paper describes a stochastic programming model that was developed for asset...
A splitting method for stochastic programs
A splitting method for stochastic programs
2006
This paper derives a new splitting-based decomposition algorithm for convex stochastic...
Epi-convergent discretizations of multistage stochastic programs
Epi-convergent discretizations of multistage stochastic programs
2005
In many dynamic stochastic optimization problems in practice, the uncertain factors...
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