Decoupling Non-Sequential Stochastic Control Problems

This paper considers the possibility of reducing a class of unconstrained non-sequential stochastic control problems, modeled within the framework of Witsenhausen´s intrinsic model, to equivalent sequential stochastic control problems that are (in theory) amenable to recursive decomposition. It is shown that a sequential reduction exists whenever a causality property and a mild measurability condition are satisfied. This result implies that a large class of N-action non-sequential problems are no harder to solve than the hardest N + 1-action sequential problems.