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

Marco Fuhrman; Huyên Pham

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arXiv · 1310.6943

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

Marco Fuhrman·Huyên Pham

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Abstract

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.

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BibTeX RIS

Marco Fuhrman, Huyên Pham. 2013-10-25. Dual and backward SDE representation for optimal control of non-Markovian SDEs. https://arxiv.org/abs/1310.6943

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