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Investment Timing Under Incomplete Information: Erratum

Toulouse School of Economics (GREMAQ, IDEI), 31000 Toulouse, France
Toulouse School of Economics (GREMAQ/CNRS, IDEI), 31000 Toulouse, France
Toulouse School of Economics (GREMAQ, IDEI), 31000 Toulouse, France
decamps{at}cict.fr
mariotti{at}cict.fr
stephane.villeneuve{at}univ-tlse1.fr

In this note, we point out a mistake in the proof of Theorem 5.1 in Décamps et al. [Décamps, J.-P., T. Mariotti, S. Villeneuve. 2005. Investment timing under incomplete information. Math. Oper. Res. 30 472–500].

Key Words: investment under uncertainty; optimal stopping; free boundary; filtering
History: Received: July 19, 2007; revision received: November 16, 2007;