First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems
Work
Year: 2023
Type: article
Abstract: .In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints whose costs are general, possibl... more
Authors Riccardo Bonalli, Benoît Bonnet
Institutions CentraleSupélec, Centre National de la Recherche Scientifique, Université Paris-Saclay, Université de Toulouse, Laboratoire d'Analyse et d'Architecture des Systèmes
Cites: 18
Cited by: 8
Related to: 10
FWCI: 2.604
Citation percentile (by year/subfield): 99.99
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green