Teemu Pennanen

31 papers Journal 30Unranked 1
YearRankTypeTitle / Venue / Authors
2026 J jnl
Duality in convex stochastic optimization.
Math. Program.
Teemu Pennanen, Ari-Pekka Perkkiö
2026 J jnl
Dynamic programming and dimensionality in convex stochastic optimization and control.
Optim. Lett.
Teemu Pennanen, Ari-Pekka Perkkiö
2026 J jnl
Optimal operation and valuation of electricity storage systems in intraday markets.
Comput. Manag. Sci.
Jean-Philippe Chancelier, Michel De Lara, Tanguy Lindegaard, François Pacaud, Teemu Pennanen, Ari-Pekka Perkkiö
2025 J jnl
Dual Solutions in Convex Stochastic Optimization.
Math. Oper. Res.
Teemu Pennanen, Ari-Pekka Perkkiö
2022 J jnl
Efficient Allocations in Double Auction Markets.
Math. Oper. Res.
Teemu Pennanen
2018 J jnl
Convex duality in optimal investment and contingent claim valuation in illiquid markets.
Finance Stochastics
Teemu Pennanen, Ari-Pekka Perkkiö
2018 J jnl
Shadow price of information in discrete time stochastic optimization.
Math. Program.
Teemu Pennanen, Ari-Pekka Perkkiö
2016 J jnl
Erratum: "Convex Duality in Stochastic Optimization and Mathematical Finance".
Math. Oper. Res.
Teemu Pennanen
2014 J jnl
Convex duality in optimal investment under illiquidity.
Math. Program.
Teemu Pennanen
2014 J jnl
Duality in Convex Problems of Bolza over Functions of Bounded Variation.
SIAM J. Control. Optim.
Teemu Pennanen, Ari-Pekka Perkkiö
2014 J jnl
Optimal investment and contingent claim valuation in illiquid markets.
Finance Stochastics
Teemu Pennanen
2012 J jnl
Introduction to convex optimization in financial markets.
Math. Program.
Teemu Pennanen
2012 J jnl
Stochastic programs without duality gaps.
Math. Program.
Teemu Pennanen, Ari-Pekka Perkkiö
2011 J jnl
Arbitrage and deflators in illiquid markets.
Finance Stochastics
Teemu Pennanen
2011 J jnl
Convex Duality in Stochastic Optimization and Mathematical Finance.
Math. Oper. Res.
Teemu Pennanen
2011 J jnl
Stochastic programs without duality gaps
CoRR
Teemu Pennanen, Ari-Pekka Perkkiö
2010 J jnl
Hedging of Claims with Physical Delivery under Convex Transaction Costs.
SIAM J. Financial Math.
Teemu Pennanen, Irina Penner
2009 J jnl
Epi-convergent discretizations of multistage stochastic programs via integration quadratures.
Math. Program.
Teemu Pennanen
2008 J jnl
Numerical study of discretizations of multistage stochastic programs.
Kybernetika
Petri Hilli, Teemu Pennanen
2008 J jnl
Special issue: Stochastic Programming in EURO XXII in Prague.
Kybernetika
Jitka Dupacová, Teemu Pennanen
2007 J jnl
A stochastic programming model for asset liability management of a Finnish pension company.
Ann. Oper. Res.
Petri Hilli, Matti Koivu, Teemu Pennanen, Antero Ranne
2007 J jnl
Epi-convergent discretization of the generalized Bolza problem in dynamic optimization.
Optim. Lett.
Boris S. Mordukhovich, Teemu Pennanen
2006 J jnl
A splitting method for stochastic programs.
Ann. Oper. Res.
Teemu Pennanen, Markku Kallio
2006 — conf
Financial Optimization.
OR
Teemu Pennanen
2005 J jnl
Epi-Convergent Discretizations of Multistage Stochastic Programs.
Math. Oper. Res.
Teemu Pennanen
2005 J jnl
Epi-convergent discretizations of stochastic programs via integration quadratures.
Numerische Mathematik
Teemu Pennanen, Matti Koivu
2004 J jnl
Proximal Methods for Cohypomonotone Operators.
SIAM J. Control. Optim.
Patrick L. Combettes, Teemu Pennanen
2003 J jnl
Inexact Variants of the Proximal Point Algorithm without Monotonicity.
SIAM J. Optim.
Alfredo N. Iusem, Teemu Pennanen, Benar Fux Svaiter
2003 J jnl
Solving monotone inclusions with linear multi-step methods.
Math. Program.
Teemu Pennanen, Benar Fux Svaiter
2002 J jnl
Local Convergence of the Proximal Point Algorithm and Multiplier Methods Without Monotonicity.
Math. Oper. Res.
Teemu Pennanen
2000 J jnl
Dualization of Generalized Equations of Maximal Monotone Type.
SIAM J. Optim.
Teemu Pennanen