Stability of multistage stochastic programming

This paper studies the stability of multistage stochastic programming with recourse in a way that is different from that used in studying stability of two-stage stochastic programs. Here, the multistage programs are transformed into mathematical programs in the space ℝ’n×Lp with a simple objective function and multistage stochastic constraints. By investigating the continuity of the multistage multifunction defined by the multistage stochastic constraints and applying epi-convergence theory, stability results are obtained for linear and linear-quadratic multistage stochastic programs.