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Turnpike properties for stochastic backward linear-quadratic optimal problems

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arxiv 2309.03456 v1 pith:CDGW4QTJ submitted 2023-09-07 math.OC

Yuyang Chen , Peng Luo This is my paper · ORCID
classification math.OC
keywords linear-quadraticoptimalstochasticbackwardproblempropertiestimeturnpike
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This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and strong turnpike properties are established under appropriate conditions, including stabilizability condition. The key ingredients are to formulate the corresponding static optimization problem and determine the correction processes. However, our techniques are quite different from stochastic (forward) linear-quadratic case.

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  1. Turnpike Property of Stochastic Linear-Quadratic Optimal Control Problems in Large Horizons with Regime Switching I: Homogeneous Cases

    math.OC 2025-06 conditional novelty 6.0 of 10

    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.

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