%0 Journal Article
%T Convex duality in stochastic programming and mathematical finance
%A Teemu Pennanen
%J Mathematics
%D 2010
%I arXiv
%X 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.
%U http://arxiv.org/abs/1006.4083v1