This document is a synthesis of the research that I have been conducting, along with my co–authors, since the defence of my PhD thesis. This encompasses several topics, which although apparently non immediately connected, will turn out to follow, at least from the theoretical point of view, the same breadcrumbs trail, namely stochastic control (and also stochastic differential games). As I will try to make clear, most of my research topics actually share strong connections, be it from the point of view of the applications which drive them, or from the mathematical tools needed to study them. I have nonetheless made the choice to regroup them along four different lines, corresponding to the four parts of the present manuscript(i) 2BSDEs, BSDEs and robust finance. (ii) Regularity and numerics for BSDEs.(iii) Transaction costs and homogenisation of partial differential equations. (iv) Contracting theory.