Annunziato, MarioBorzì, AlfioNobile, FabioTempone, Raul2014-09-072014-09-072014-09-07201410.4236/am.2014.516239https://infoscience.epfl.ch/handle/20.500.14299/106763In 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 Itō stochastic process and of a piecewise-deterministic process are considered.Hamilton-Jacobi-Bellman EquationFokker-Planck EquationOptimal Control TheoryStochastic Differential EquationsHybrid Systemstext::journal::journal article::research article