Timeline for equivalence between primitive and dual
Current License: CC BY-SA 3.0
4 events
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| Jul 20, 2012 at 15:02 | comment | added | Higgs88 | I apologize for my question is too long. Though I tend to believe that there in no duality gap, but if someone can find a counterexample, it is also great. For example can someone prove that there is no duality gap or find a counterexample when $N=2$? Thanks again for your patience to read this question~ | |
| Jul 20, 2012 at 14:48 | comment | added | Higgs88 | It is very kind if someone can help me for this problem. This problem derives from the model Lagrangian UVM(uncertain volatility model): $$E^{\mathbb{P}}[G]$$ s.t $$|E^{\mathbb{P}}[F]-C|\leq\epsilon$$ and I have proved that there is no duality gap between the primitive problem and the dual problem in continous case, but when we pass to the numerical framework. We meet the previous approximated problem and a natural question to ask is whether there exists the duality gap or not | |
| Jul 20, 2012 at 12:21 | history | edited | Higgs88 | CC BY-SA 3.0 |
added 3092 characters in body
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| Jul 20, 2012 at 11:46 | history | asked | Higgs88 | CC BY-SA 3.0 |