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math.OC2022
Viability and Exponentially Stable Trajectories for Differential Inclusions in Wasserstein Spaces
Benoît Bonnet, Hélène Frankowska
In this article, we prove a general viability theorem for continuity inclusions in Wasserstein spaces, and provide an application thereof to the existence of exponentially stable t…
math.OC2022
First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems
Riccardo Bonalli, Benoît Bonnet
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose co…