Optimal Control versus Stochastic Target problems: An Equivalence Result
Résumé
Within a general abstract framework, we show that any optimal control problem in standard form can be translated into a stochastic target problem as defined in Soner and Touzi (2002), whenever the underlying filtered probability space admits a suitable martingale representation property. This provides a unified way of treating these two classes of stochastic control problems. As an illustration, we show, within a jump diffusion framework, how the Hamilton-Jacobi-Bellman equations associated to an optimal control problem in standard form can be easily retrieved from the partial differential equations associated to its stochastic target counterpart.
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