We assume that there exist two kinds of investors in the market, the 𝔽-investors and the 𝔾-investors. The 𝔽-investors have the market information 𝔽, which is given by a <I>d</I>-dimensional Brownian motion W = (W₁,...;W_d)'</I> as well as an integer-valued random measure <I>μ(du, dy)</I>. The market...</i></i>

We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.