We develop in this article a geometric approach to duality in Multiple Objective Linear Programming. This approach is based on a very old idea, the duality of polytopes, which can be traced back toâ€¦ (More)

Extending the approach of Jouini, Meddeb, and Touzi [Finance Stoch., 8 (2004), pp. 531â€“552] we define set-valued (convex) measures of risk and their acceptance sets, and we give dual representationâ€¦ (More)

This article is a continuation of [14]. We developed in [14] a duality theory for convex vector optimization problems, which is different from other approaches in the literature. The main idea is toâ€¦ (More)

In this paper a numerical method for solving a stochastic optimal control problem under control restrictions is introduced. For this purpose a special kind of Markov chain approximation is used inâ€¦ (More)

We develop a duality theory for multiple objective linear programs which has several advantages in contrast to other theories. For instance, the dual variables are vectors rather than matrices andâ€¦ (More)