Finite-horizon optimal state-control pairs for regime-switching stochastic LQ problems converge exponentially to the infinite-horizon optimal pair on the middle of the horizon.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.OC 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Turnpike Property of Stochastic Linear-Quadratic Optimal Control Problems in Large Horizons with Regime Switching I: Homogeneous Cases
Finite-horizon optimal state-control pairs for regime-switching stochastic LQ problems converge exponentially to the infinite-horizon optimal pair on the middle of the horizon.