On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks

Abstract

© 2014 by authors and Scientific Research Publishing Inc. In the framework of stochastic processes, the connection between the dynamic programming scheme given by the Hamilton-Jacobi-Bellman equation and a recently proposed control approach based on the Fokker-Planck equation is discussed. Under appropriate assumptions it is shown that the two strategies are equivalent in the case of expected cost functionals, while the Fokker- Planck formalism allows considering a larger class of objectives. To illustrate the connection between the two control strategies, the cases of an Ito stochastic process and of a piecewise-deterministic process are considered.