Erratum: Convex duality in stochastic optimization and mathematical finance (Mathematics of Operations Research (2016) DOI: 10.1287/moor.2015.0750)

Teemu Pennanen

doi:10.1287/moor.2015.0750

Erratum: Convex duality in stochastic optimization and mathematical finance (Mathematics of Operations Research (2016) DOI: 10.1287/moor.2015.0750)

Teemu Pennanen^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

In Pennanen [2] [Pennanen T (2011) Convex duality in stochastic optimization and mathematical finance. Math. Oper. Res. 36(2):340-362], Theorem 2.2 is not valid as stated. It omits certain integrability conditions that are needed in general. The additional conditions are satisfied in most of the applications given in Pennanen [2]. For the remaining ones, sufficient conditions are given below. The topological results in Section 5 remain unaffected. A corrected version is given.

Original language	English
Pages (from-to)	732-733
Number of pages	2
Journal	MATHEMATICS OF OPERATIONS RESEARCH
Volume	41
Issue number	2
DOIs	https://doi.org/10.1287/moor.2015.0750
Publication status	E-pub ahead of print - 3 Feb 2016

Keywords

Convex duality
Mathematical finance
Stochastic programming

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Erratum: Convex duality in stochastic optimization and mathematical finance (Mathematics of Operations Research (2016) DOI: 10.1287/moor.2015.0750)

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Keywords

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