Logarithmic transformations for discrete-time,finite-horizon stochastic control problems

Using logarithmic transformations, we construct discrete-time stochastic control problems where the optimal value function (cost-to-go) belongs to a same parametrized class of functions that remains invariant under the dynamic programming operator. This extends a well-known property of the classical LQG problems, where the optimal value function is a quadratic. Some related questions are also discussed.