On the Continuity of Stochastic Exit Time Control Problems
arXiv:0907.0062
Abstract
We determine a weaker sufficient condition than that of Theorem 5.2.1 in Fleming and Soner (2006) for the continuity of the value functions of stochastic exit time control problems.
The proof of Lemma 3.1 is slightly modified, and Remark 4.1 is rephrased for better presentations. In addition, some typos are corrected.