A note on costs minimization with stochastic target constraints (Q2183107)

The authors consider the following stochastic control problem \[ v(T,x,c):= \inf_{u \in U(T,x,c)} \mathbb{E} \left( \int_0^T |u_t|^p dt \right) \] for a given \(p > 1\) for some suitable set \(U\). Their main result is to relate the function \(v\) with the solution of the following ODE \[ h(y) g^{''}(y) + (p-1) (g(y) - g^{\frac{p}{p-1}}(y)) = 0, \quad y \in (0,1) \] for some given function \(h(\cdot)\).