A quasi-sure approach to the control of non-Markovian stochastic differential equations

Marcel Nutz (Columbia University)

Abstract


We study stochastic differential equations (SDEs) whose drift and diffusion coefficients are path-dependent and controlled. We construct a value process on the canonical path space, considered simultaneously under a family of singular measures, rather than the usual family of processes indexed by the controls. This value process is characterized by a second order backward SDE, which can be seen as a non-Markovian analogue of the Hamilton-Jacobi Bellman partial differential equation. Moreover, our value process yields a generalization of the $G$-expectation to the context of SDEs.

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Pages: 1-23

Publication Date: March 19, 2012

DOI: 10.1214/EJP.v17-1892

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