International Journal of Modern Science and Technology · ISSN 2456-0235

Research Article · Mathematical Sciences · Volume 5, Issue 3 · Mar 2020 · Pages 78–83

Analysis of Convex Optimization and Applications to Financial Engineering

S. O. Asamba, C. M. Kaunda, N. B. Okelo

  • S. O. Asamba: School of Mathematics and Actuarial Science, Jaramogi Oginga Odinga University of Science and Technology, P. O. Box 210-40601, Bondo-Kenya.
  • C. M. Kaunda: School of Mathematics and Actuarial Science, Jaramogi Oginga Odinga University of Science and Technology, P. O. Box 210-40601, Bondo-Kenya.
  • N. B. Okelo: School of Mathematics and Actuarial Science, Jaramogi Oginga Odinga University of Science and Technology, P. O. Box 210-40601, Bondo-Kenya.

Abstract

Convex optimization has become more interesting in studies because of its efficient applications in finance, management science, automatic control systems, economics, signal and image processing, statistics and data analysis. In the present work, we give an in depth analysis of convex optimization in Banach spaces. Lastly, we give the applications to financial engineering.

Keywords

Semi-continuous function; Convexity; Optimization; Financial engineering; Hilbert space

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