  We study a risk-averse optimal control problem for a finite-horizon Borel
model, where a cumulative cost is assessed via exponential utility. The setting
permits non-linear dynamics, non-quadratic costs, and continuous state and
control 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 without using state space augmentation and therefore offer a simpler
solution method from first principles compared to what is currently available
in the literature.
