Stochastic programs without duality gaps
  This paper studies dynamic stochastic optimization problems parametrized by a random variable. Such problems arise in many applications in operations research and mathematical finance. We give sufficient conditions for the existence of solutions and the absence of a duality gap. Our proof uses extended dynamic programming equations, whose validity is established under new relaxed conditions that generalize certain no-arbitrage conditions from mathematical finance. 
Teemu Pennanen and Ari-Pekka Perkki\"o
math.OC cs.SY q-fin.PR