About

Research interests

  • convex stochastic optimization
  • dynamic programming
  • duality theory in optimization
  • stochastic control
  • optimal transport

Optimierung WiSe23/24

Seminar: Applications of convex optimization WiSe23/24

For other teaching events see Teaching

If you are interested in writing a bachelor, master or PhD thesis, contact me via email.

  • Optimal stopping without Snell envelopes
    Pennanen, T., Perkkiö, A.-P.,
    Proceedings of AMS (to appear), 2023 [arXiv]
  • Convex duality for partial hedging of American options: continuous price processes
    Perkkiö, A.-P., Trevino, E.,
    Positivity, 27, 2023 (Link to article)
  • Dynamic programming in convex stochastic optimization
    Pennanen, T., Perkkiö, A.-P.,
    Journal of Convex Analysis, 30 (4), 1241-1283, 2023 [arXiv]
  • Optional projection under equivalent local martingale measures
    Biagini F., Mazzon, A., Perkkiö, A.-P.,
    Finance and Stochastics 27, 435--465, 2023 [arXiv]
  • Dual spaces of cadlag processes
    Pennanen T., Perkkiö, A.-P.,
    Stochastic Processes and Their Applications, 157, 69-93, 2023 [arXiv]
  • Michael selections and Castaing representations with cadlag functions
    Perkkiö, A.-P., Trevino, E,
    Set-Valued and Variational Analysis 31, 2023 [arXiv]
  • Topological duals of locally convex function spaces
    Pennanen, T., Perkkiö, A.-P.,
    Positivity 26 (2), 2022 [arXiv]
  • Convex duality in nonlinear optimal transport
    Pennanen, T., Perkkiö, A.-P.,
    Journal of Functional Analysis, 277 (4), 1029–1060, 2019 [arXiv]
  • Convex duality in optimal investment and contingent claim valuation in illiquid markets
    Pennanen, T., Perkkiö, A.-P.,
    Finance and Stochastics, 22 (4), 733–771, 2018 [arXiv]
  • Shadow price of information in discrete time stochastic optimization
    Pennanen, T, Perkkiö, A.-P.,
    Mathematical programming, 168 (1-2), 2018 [arXiv]
  • Convex integral functionals of processes of bounded variation
    Pennanen, T., Perkkiö, A.-P.,
    Journal of Convex Analysis, 25 (1), 2018 [arXiv]
  • Convex integral functionals of regular processes
    Pennanen, T., Perkkiö, A.-P.,
    Stochastic Processes and Their Applications, 168 (1-2), 347-367, 2018 [arXiv]
  • Duality and optimality conditions in stochastic optimization and mathematical finance
    Biagini, S., Pennanen, T., Perkkiö,
    A.-P., Journal of Convex Analysis, 25 (2), 2018 [arXiv]
  • Conjugates of integral functionals on continuous functions
    Perkkiö, A.-P.,
    Journal of Mathematical Analysis and Applications, 459 (1), 1652-1677, 2018 [arXiv]
  • The scaling limit of superreplication prices with small transaction costs in the multivariate case
    Bank, P., Dolinsky, Y., Perkkiö, A.-P.,
    Finance and Stochastics, 21 (2), 487–508., 2017 [arXiv]
  • Optional and predictable projections of normal integrands and convex-valued processes
    Kiiski, M., Perkkiö, A.-P.,
    Set-Valued and Variational Analysis, 25 (2), 313–332, 2017 [arXiv]
  • Existence of solutions in non-convex dynamic programming and optimal investment
    Pennanen, T., Perkkiö, A.-P., Rásonyi,
    M., Mathematical Finance and Economics, 11 (2), 173–188, 2017 (link to article)
  • Duality in convex problems of Bolza over functions of bounded variation
    Pennanen, T., Perkkiö, A.-P.,
    SIAM Journal of Control and Optimization, 52 (3), 1481–1498, 2014 [arXiv]
  • Continuous essential selections and integral functionals
    Perkkiö, A.-P.,
    Set-Valued and Variational Analysis, 136 (1), 45–58, 2014 [arXiv]
  • Stochastic programs without duality gaps
    Pennanen, T, Perkkiö, A.-P.,
    Mathematical Programming, 136 (1), 91–110, 2012 [arXiv]

For more Publications & Preprints see Publications

  • Convex duality in optimal investment and contingent claim valuation in illiquid markets, 9th World Congress of the Bachelier Finance Society, July 15 — July 19, 2016, New York, USA
  • Convex duality in optimal investment and contingent claim valuation in illiquid markets, The XIV International Conference on Stochastic Programming, June 25 — July 1, 2016, Búzios, Brazil
  • Convex duality in stochastic optimization, 17th British-French-German Conference on Optimization, June 15 — June 17, 2015, London, UK
  • Duality in optimal investment with convex frictions, 8th World Congress of the Bachelier Finance Society, June 2 — June 6, 2014, Brussels, Belgium
  • Stochastic programs without duality gaps, The Fourth International Conference on Continuous Optimization, July 27 — August 1, 2013, Lisbon, Portugal
  • Stochastic programs without duality gaps, 21st International Symposium on Mathematical Programming, August 19 — August 24, 2012, Berlin, Germany
  • Convex duality in financial markets, Finnish mathematical days 2012, January 4 — January 5, 2012, Lappeenranta, Finland
  • Convex Duality in Stochastic Optimization over Adapted Processes of Bounded Variation, Workshop on Advanced Mathematical Methods for Finance, September 27 — September 30, 2010, Berlin, Germany