Dual and backward SDE representation for optimal control of non-Markovian SDEs

Marco Fuhrman (1) , Huyen Pham (2)

1 Dipartimento di Matematica "F. Brioschi"
2 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-dependent, and importantly we do not make any ellipticity assumption on the SDE. We develop a controls randomization approach, and prove that the value function can be reformulated under a family of dominated measures on an enlarged filtered probability space. This value function is then characterized by a backward SDE with nonpositive jumps under a single probability measure, which can be viewed as a path-dependent version of the Hamilton-Jacobi-Bellman equation, and an extension to $G$ expectation.

Mots clés: backward stochastic differential equations; Non-Markovian controlled SDEs; randomization of controls; dominated measures; backward stochastic differential equations.

Domaines: Probabilités [math.PR]

Marco Fuhrman, Huyen Pham. Dual and backward SDE representation for optimal control of non-Markovian SDEs. 2013. ⟨hal-00876957⟩