SIAM Journal on Control and Optimization, Vol.43, No.6, 2009-2019, 2005
A corrected proof of the stochastic verification theorem within the framework of viscosity solutions
We present a full and corrected proof of the stochastic verification theorem that was first obtained by Zhou, Yong, and Li [SIAM J. Control Optim., 35 (1997), pp. 243-253].
Keywords:stochastic optimal control;verification theorem;HJB equation;viscosity solution;superdifferential;Lebesgue point