Convex duality in continuous-time stochastic optimization

Teemu Pennanen (King's College London)
Thursday, November 20, 2014 - 4:00pm
HU Berlin, Rudower Chaussee 25, 12489 Berlin, Room 1.115

We develop a duality framework for convex optimization problems over spaces of predictable stochastic processes. This is done by combining the conjugate duality theory of Rockafellar with some stochastic analysis. Various duality relations in stochastic control and mathematical finance are obtained as special cases. Besides classical models of financial markets, the general framework allows for e.g. illiquidity effects and portfolio constraints.

This is joint work with Ari-Pekka Perkkiö.