First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems
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Publication:6173808
DOI10.1137/22m1489137arXiv2204.03036OpenAlexW4224060622MaRDI QIDQ6173808
Riccardo Bonalli, Benoît Bonnet
Publication date: 13 July 2023
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2204.03036
Pontryagin maximum principleset-valued analysisfirst-order stochastic necessary optimality conditionsrisk-averse stochastic optimal control
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