A CORRECTED PROOF OF THE STOCHASTIC VERIFICATION THEOREM WITHIN THE FRAMEWORK OF VISCOSITY SOLUTIONS (vol 43, pg 2009, 2005)

Gozzi F; Swiech A; Zhou XY

SIAM Journal on Control and Optimization, Vol.48, No.6, 4177-4179, 2010

Gozzi F, Swiech A, Zhou XY

We correct the proof of Theorem 4.1 in Gozzi, Swiech, and Zhou [SIAM J. Control Optim., 43 (2005), pp. 2009-2019] by imposing additional conditions on the viscosity subsolution U.

Keywords:stochastic optimal control;verification theorem;HJB equation;viscosity solution;superdifferential