Duality for Stochastic Control with non-Markovian Random Coefficients

Abstract: We develop novel duality methods for stochastic optimal control problems under two sources of randomness and non-Markovian random coefficients adapted to just one of them. The Hamilton-Jacobi-Bellman (HJB) equation is a second-order backward stochastic partial differential equation. Our duality theory provides an alternative description of the random value function in terms of a suitable pathwise optimal control problem parameterized by the realizations of one of the Brownian motions. This allows us to regain Markovianity using the theory of rough optimal control problems, leading to rough second order HJB equations that we solve in a suitable viscosity sense.