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

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 re-formulated 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 un-der 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. Key words: Non-Markovian controlled SDEs, randomization of controls, dominated measures, backward stochastic differential equations. MSC Classification (2010): 60H10, 93E20. 1 ha l-