Before revision: We consider the optimal problem \sup:=\sup} _{\tau\inT _{\eps,T } \mathbb{E[i=1^n (\tau-\eps^i)^+^i], where } B_{(\tau-\eps)^+} posed by Shiryaev at the International Conference on Advanced Stochastic Optimization URLanized by the Steklov Institute of Mathematics in September 2012.
After revision: We consider the optimal problem \sup:=\sup} _{\tau\inT _{0,T } \mathbb{E[i=1^n (\tau-\eps^i)^+^i], where } B_{(\tau-\eps)^+} posed by Shiryaev at the International Conference on Advanced Stochastic Optimization URLanized by the Steklov Institute of Mathematics in September 2012.