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.
['Teemu Pennanen']
Erratum: “Convex Duality in Stochastic Optimization and Mathematical Finance”