Stability of multistage stochastic programs

Quantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave ( locally) Lipschitz continuous with respect to the sum of an L-r-distance and of a distance measure for the filtrations of the original and approximate stochastic ( input) processes. Various issues of the result are discussed and an illustrative example is given. Consequences for the reduction of scenario trees are also discussed.