Erratum: “Convex Duality in Stochastic Optimization and Mathematical Finance”
Published Online:3 Feb 2016https://doi.org/10.1287/moor.2015.0750
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.
