Existence of an L^p-viscosity solution in W_loc^{2,p} to the HJB equation is shown for fully nonlinear infinite-horizon stochastic optimal control with measurable coefficients; the solution is also strong, verification theorems are proved, and the value function is characterized as the unique such L
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Stochastic Optimal Control with Measurable Coefficients and Applications
Existence of an L^p-viscosity solution in W_loc^{2,p} to the HJB equation is shown for fully nonlinear infinite-horizon stochastic optimal control with measurable coefficients; the solution is also strong, verification theorems are proved, and the value function is characterized as the unique such L