- 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]
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