Ari-Pekka Perkkiö

Publication Activity (10 Years)

Years Active: 2011-2018
Publications (10 Years): 3

Top Topics

Transaction Costs

Stochastic Optimization

Linear Programming

Top Venues

Finance Stochastics

SIAM J. Control. Optim.

Publications

Teemu Pennanen, Ari-Pekka Perkkiö
Shadow price of information in discrete time stochastic optimization. Math. Program. 168 (1-2) (2018)
Teemu Pennanen, Ari-Pekka Perkkiö
Convex duality in optimal investment and contingent claim valuation in illiquid markets. Finance Stochastics 22 (4) (2018)
Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö
The scaling limit of superreplication prices with small transaction costs in the multivariate case. Finance Stochastics 21 (2) (2017)
Teemu Pennanen, Ari-Pekka Perkkiö
Duality in Convex Problems of Bolza over Functions of Bounded Variation. SIAM J. Control. Optim. 52 (3) (2014)
Teemu Pennanen, Ari-Pekka Perkkiö
Stochastic programs without duality gaps. Math. Program. 136 (1) (2012)
Teemu Pennanen, Ari-Pekka Perkkiö
Stochastic programs without duality gaps CoRR (2011)