Verification by stochastic Perron's method in stochastic exit time control problems

Abstract: We apply the Stochastic Perron method, created by Bayraktar and S^irbu, to a stochastic exit time control problem. Our main assumption is the validity of the Strong Comparison Result for the related Hamilton-Jacobi-Bellman (HJB) equation. Without relying on Bellman's optimality principle we prove that inside the domain the value function is continuous and coincides with a viscosity solution of the Dirichlet boundary value problem for the HJB equation.