Classical Risk-Averse Control for Finite-Horizon Borel Models


Abstract in English

We study a risk-averse optimal control problem with a finite-horizon Borel model, where the cost is assessed via exponential utility. The setting permits non-linear dynamics, non-quadratic costs, and continuous spaces but is less general than the problem of optimizing an expected utility. Our contribution is to show the existence of an optimal risk-averse controller through the use of measure-theoretic first principles.

Download