A survey of the randomization method proving that the value of an optimal control problem equals the value of a randomized problem and is represented by a constrained BSDE, with a complete tour of applications.
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The randomization method in stochastic optimal control
A survey of the randomization method proving that the value of an optimal control problem equals the value of a randomized problem and is represented by a constrained BSDE, with a complete tour of applications.