Article ID: | iaor20116010 |
Volume: | 36 |
Issue: | 2 |
Start Page Number: | 340 |
End Page Number: | 362 |
Publication Date: | May 2011 |
Journal: | Mathematics of Operations Research |
Authors: | Pennanen Teemu |
Keywords: | programming: mathematical |
This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies many well‐known duality frameworks from operations research and mathematical finance. The unification allows the extension of some useful techniques from these two fields to a much wider class of problems. In particular, combining certain finite‐dimensional techniques from convex analysis with measure theoretic techniques from mathematical finance, we are able to close the duality gap in some situations where traditional topological arguments fail.