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Erratum to: A Verification Theorem for Optimal Stopping Problems with Expectation Constraints

Erratum to: A Verification Theorem for Optimal Stopping Problems with Expectation Constraints Appl Math Optim (2019) 79:179–180 https://doi.org/10.1007/s00245-017-9444-y ERRATUM Erratum to: A Verification Theorem for Optimal Stopping Problems with Expectation Constraints 1 1 Stefan Ankirchner · Maike Klein · Thomas Kruse Published online: 5 September 2017 © Springer Science+Business Media, LLC 2017 Erratum to: Appl Math Optim DOI 10.1007/s00245-017-9424-2 We correct the statement of Lemma 2.2 in the original article. The solution of the SDE (2.2) is, in general, not a martingale but only a supermartingale. The set of controls is restricted to those processes such that the solution of Eq. (2.2) is a martingale. The remaining results and examples are valid for the new set of controls. We first correct the statement of Lemma 2.2 in the original article. For m ∈ R the solution of the SDE dM = 1 α · dW , M = m (2.2) t {M >H } t t 0 t t is a supermartingale but not necessarily a martingale (see Example 2.3 below for a counterexample). To show that M is a martingale we conclude in the original article that τ = τ on {M ≤ n}, which is not true in general. The corrected version of n τ Lemma 2.2 reads as http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Erratum to: A Verification Theorem for Optimal Stopping Problems with Expectation Constraints

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Publisher
Springer Journals
Copyright
Copyright © 2017 by Springer Science+Business Media, LLC
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
DOI
10.1007/s00245-017-9444-y
Publisher site
See Article on Publisher Site

Abstract

Appl Math Optim (2019) 79:179–180 https://doi.org/10.1007/s00245-017-9444-y ERRATUM Erratum to: A Verification Theorem for Optimal Stopping Problems with Expectation Constraints 1 1 Stefan Ankirchner · Maike Klein · Thomas Kruse Published online: 5 September 2017 © Springer Science+Business Media, LLC 2017 Erratum to: Appl Math Optim DOI 10.1007/s00245-017-9424-2 We correct the statement of Lemma 2.2 in the original article. The solution of the SDE (2.2) is, in general, not a martingale but only a supermartingale. The set of controls is restricted to those processes such that the solution of Eq. (2.2) is a martingale. The remaining results and examples are valid for the new set of controls. We first correct the statement of Lemma 2.2 in the original article. For m ∈ R the solution of the SDE dM = 1 α · dW , M = m (2.2) t {M >H } t t 0 t t is a supermartingale but not necessarily a martingale (see Example 2.3 below for a counterexample). To show that M is a martingale we conclude in the original article that τ = τ on {M ≤ n}, which is not true in general. The corrected version of n τ Lemma 2.2 reads as

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Sep 5, 2017

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