作者：Pennanen, Teemu; Perkkioe, Ari-Pekka
作者单位：University of London; King's College London; Technical University of Berlin
摘要：The shadow price of information has played a central role in stochastic optimization ever since its introduction by Rockafellar and Wets in the mid-seventies. This article studies the concept in an extended formulation of the problem and gives relaxed sufficient conditions for its existence. We allow for general adapted decision strategies, which enables one to establish the existence of solutions and the absence of a duality gap e.g. in various problems of financial mathematics where the usua...
