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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
Applied Mathematics and Optimization – Springer Journals
Published: Sep 5, 2017
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