Risk Aware Minimum Principle for Optimal Control of Stochastic Differential Equations

DOI10.1109/tac.2021.3123229arXiv1812.09179OpenAlexW3209412330WikidataQ115263990 ScholiaQ115263990MaRDI QIDQ6077090

Jukka Isohätälä, William B. Haskell

Publication date: 24 September 2023

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.09179

zbMATH Keywords

optimizationoptimal controlrisk analysisstochastic processesdifferential equations

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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A dynamic analytic method for risk-aware controlled martingale problems ⋮ First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems

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