Before revision:  The approach has the advantage of avoiding the more general techniques based on forward-backward stochastic differential equations described in \mbox{%DIFAUXCMD cviz and leads to a simple recursive system of Hamilton-Jacobi-Bellman equations.
After revision:  The approach has the advantage of avoiding the more general techniques based on forward-backward stochastic differential equations described in 6 and leads to a simple recursive system of Hamilton-Jacobi-Bellman equations.